Browsing All of EconStor by Author Podolskij, Mark

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Showing results 1 to 10 of 10
Year of PublicationTitleAuthor(s)
2004 Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testingVetter, Mathias; Podolskij, Mark; Dette, Holger
2004 A central limit theorem for realised power and bipower variations of continuous semimartingalesBarndorff-Nielsen, Ole Eiler; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark
2005 Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approachDette, Holger; Podolskij, Mark
2006 Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure NoiseChristensen, Kim; Podolskij, Mark; Vetter, Mathias
2006 Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and JumpsVetter, Mathias; Podolskij, Mark
2006 Range-Based Estimation of Quadratic VariationChristensen, Kim; Podolskij, Mark
2007 Microstructure noise in the continuous case: the pre-averaging approachJacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias
2008 Bipower-type estimation in a noisy diffusion settingPodolskij, Mark; Vetter, Mathias
2010 Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidenceHautsch, Nikolaus; Podolskij, Mark
2010 Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidenceHautsch, Nikolaus; Podolskij, Mark