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 | 823 | 2009 |
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps M Podolskij, M Vetter | 353 | 2009 |
Bipower-type estimation in a noisy diffusion setting M Podolskij, M Vetter Stochastic processes and their applications 119 (9), 2803-2831, 2009 | 131 | 2009 |
Limit theorems for moving averages of discretized processes plus noise J Jacod, M Podolskij, M Vetter | 123 | 2010 |
Understanding limit theorems for semimartingales: a short survey M Podolskij, M Vetter Statistica Neerlandica 64 (3), 329-351, 2010 | 88 | 2010 |
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 | 82 | 2013 |
A measure of stationarity in locally stationary processes with applications to testing H Dette, P Preuß, M Vetter Journal of the American Statistical Association 106 (495), 1113-1124, 2011 | 75 | 2011 |
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 | 59 | 2009 |
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 | 54 | 2006 |
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing M Vetter | 52 | 2015 |
Limit theorems for bipower variation of semimartingales M Vetter Stochastic Processes and their Applications 120 (1), 22-38, 2010 | 44 | 2010 |
Multiscale change point detection for dependent data H Dette, T Eckle, M Vetter Scandinavian Journal of Statistics 47 (4), 1243-1274, 2020 | 42 | 2020 |
A test for stationarity based on empirical processes P Preuß, M Vetter, H Dette | 35 | 2013 |
Nonparametric change-point analysis of volatility M Bibinger, M Jirak, M Vetter | 27 | 2017 |
Nonparametric inference on Lévy measures and copulas A Bücher, M Vetter The Annals of Statistics, 1485-1515, 2013 | 27 | 2013 |
Testing non‐parametric hypotheses for stationary processes by estimating minimal distances H Dette, T Kinsvater, M Vetter Journal of Time Series Analysis 32 (5), 447-461, 2011 | 23 | 2011 |
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps M Bibinger, M Vetter Annals of the Institute of Statistical Mathematics 67, 707-743, 2015 | 21 | 2015 |
Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process A Bücher, M Hoffmann, M Vetter, H Dette | 19 | 2017 |
Estimation of correlation for continuous semimartingales M Vetter Scandinavian Journal of Statistics 39 (4), 757-771, 2012 | 18 | 2012 |
Model checks for the volatility under microstructure noise M Vetter, H Dette | 17 | 2012 |