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
7672009
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
3762006
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
M Podolskij, M Vetter
3392009
Realized range-based estimation of integrated variance
K Christensen, M Podolskij
Journal of Econometrics 141 (2), 323-349, 2007
3382007
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
2932010
Fact or friction: Jumps at ultra high frequency
K Christensen, RCA Oomen, M Podolskij
Journal of Financial Economics 114 (3), 576-599, 2014
2232014
Realised quantile-based estimation of the integrated variance
K Christensen, R Oomen, M Podolskij
Journal of Econometrics 159 (1), 74-98, 2010
1722010
Bipower-type estimation in a noisy diffusion setting
M Podolskij, M Vetter
Stochastic processes and their applications 119 (9), 2803-2831, 2009
1272009
Limit theorems for moving averages of discretized processes plus noise
J Jacod, M Podolskij, M Vetter
1202010
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
1132013
Power variation for Gaussian processes with stationary increments
OE Barndorff-Nielsen, JM Corcuera, M Podolskij
Stochastic processes and their applications 119 (6), 1845-1865, 2009
932009
Multipower variation for Brownian semistationary processes
OE Barndorff-Nielsen, JM Corcuera, M Podolskij
862011
Understanding limit theorems for semimartingales: a short survey
M Podolskij, M Vetter
Statistica Neerlandica 64 (3), 329-351, 2010
862010
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
772013
New tests for jumps in semimartingale models
M Podolskij, D Ziggel
Statistical inference for stochastic processes 13, 15-41, 2010
732010
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
682008
Quantitative Breuer–major theorems
I Nourdin, G Peccati, M Podolskij
Stochastic Processes and their Applications 121 (4), 793-812, 2011
642011
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
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
552009
Estimation of integrated volatility in continuous‐time financial models with applications to goodness‐of‐fit testing
H Dette, M Podolskij, M Vetter
Scandinavian Journal of Statistics 33 (2), 259-278, 2006
552006
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Статии 1–20