Следене
Mark Podolskij
Mark Podolskij
Professor of Probability and Statistics, University of Luxembourg
Потвърден имейл адрес: uni.lu - Начална страница
Заглавие
Позовавания
Позовавания
Година
Microstructure noise in the continuous case: the pre-averaging approach
J Jacod, Y Li, PA Mykland, M Podolskij, M Vetter
Stochastic processes and their applications 119 (7), 2249-2276, 2009
8262009
A central limit theorem for realised power and bipower variations of continuous semimartingales
Y Kabanov, R Liptser, J Stoyanov, OE Barndorff–Nielsen, SE Graversen, ...
From stochastic calculus to mathematical finance: the Shiryaev Festschrift …, 2006
3872006
Realized range-based estimation of integrated variance
K Christensen, M Podolskij
Journal of Econometrics 141 (2), 323-349, 2007
3612007
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
M Podolskij, M Vetter
3532009
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
K Christensen, S Kinnebrock, M Podolskij
Journal of econometrics 159 (1), 116-133, 2010
3182010
Fact or friction: Jumps at ultra high frequency
K Christensen, RCA Oomen, M Podolskij
Journal of Financial Economics 114 (3), 576-599, 2014
2462014
Realised quantile-based estimation of the integrated variance
K Christensen, R Oomen, M Podolskij
Journal of Econometrics 159 (1), 74-98, 2010
1782010
Bipower-type estimation in a noisy diffusion setting
M Podolskij, M Vetter
Stochastic processes and their applications 119 (9), 2803-2831, 2009
1322009
Limit theorems for moving averages of discretized processes plus noise
J Jacod, M Podolskij, M Vetter
1232010
Preaveraging-based estimation of quadratic variation in the presence of noise and jumps: theory, implementation, and empirical evidence
N Hautsch, M Podolskij
Journal of Business & Economic Statistics 31 (2), 165-183, 2013
1202013
Bipower variation for Gaussian processes with stationary increments
OE Barndorff-Nielsen, JM Corcuera, M Podolskij, JHC Woerner
Journal of Applied Probability 46 (1), 132-150, 2009
922009
Multipower variation for Brownian semistationary processes
OE Barndorff-Nielsen, JM Corcuera, M Podolskij
912011
Understanding limit theorems for semimartingales: a short survey
M Podolskij, M Vetter
Statistica Neerlandica 64 (3), 329-351, 2010
882010
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
K Christensen, M Podolskij, M Vetter
Journal of Multivariate Analysis 120, 59-84, 2013
822013
New tests for jumps in semimartingale models
M Podolskij, D Ziggel
Statistical inference for stochastic processes 13, 15-41, 2010
802010
Quantitative Breuer–major theorems
I Nourdin, G Peccati, M Podolskij
Stochastic Processes and their Applications 121 (4), 793-812, 2011
732011
A note on the central limit theorem for bipower variation of general functions
S Kinnebrock, M Podolskij
Stochastic processes and their applications 118 (6), 1056-1070, 2008
692008
Bias-correcting the realized range-based variance in the presence of market microstructure noise
K Christensen, M Podolskij, M Vetter
Finance and Stochastics 13, 239-268, 2009
592009
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
OE Barndorff-Nielsen, JM Corcuera, M Podolskij
Prokhorov and Contemporary Probability Theory: In Honor of Yuri V. Prokhorov …, 2013
582013
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
JM Corcuera, E Hedevang, MS Pakkanen, M Podolskij
Stochastic processes and their applications 123 (7), 2552-2574, 2013
552013
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