Browsing All of EconStor by Author Podolskij, Mark


Showing results 1 to 11 of 11
Year of PublicationTitleAuthor(s)
2004Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testingVetter, Mathias; Podolskij, Mark; Dette, Holger
2004A central limit theorem for realised power and bipower variations of continuous semimartingalesBarndorff-Nielsen, Ole Eiler; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark
2005Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approachDette, Holger; Podolskij, Mark
2006Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure NoiseChristensen, Kim; Podolskij, Mark; Vetter, Mathias
2006Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and JumpsVetter, Mathias; Podolskij, Mark
2006Range-Based Estimation of Quadratic VariationChristensen, Kim; Podolskij, Mark
2007Microstructure noise in the continuous case: the pre-averaging approachJacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias
2008Bipower-type estimation in a noisy diffusion settingPodolskij, Mark; Vetter, Mathias
2010Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidenceHautsch, Nikolaus; Podolskij, Mark
2010Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidenceHautsch, Nikolaus; Podolskij, Mark
2018Estimation of the linear fractional stable motionMazur, Stepan; Otryakhin, Dmitry; Podolskij, Mark