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The drift burst hypothesis
Christensen, Kim; Oomen, Roel; Renò, Roberto - 2016
Persistent link: https://www.econbiz.de/10011541692
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The drift burst hypothesis
Christensen, Kim; Oomen, Roel; Renò, Roberto - 2018
Persistent link: https://www.econbiz.de/10011913727
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Title : fact or friction ; jumps at ultra high frequency
Christensen, Kim; Oomen, Roel; Podolskij, Mark - 2011
Persistent link: https://www.econbiz.de/10009125716
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Asymptotic theory of range-based multipower variation
Christensen, Kim; Podolskij, Mark - 2011
Persistent link: https://www.econbiz.de/10009385084
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On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
Christensen, Kim; Podolskij, Mark; Vetter, Mathias - 2011
Persistent link: https://www.econbiz.de/10009413031
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Realised quantile-based estimation of the integrated variance
Christensen, Kim; Oomen, Roel; Podolskij, Mark - 2009
Persistent link: https://www.econbiz.de/10003849570
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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Christensen, Kim; Grawert, Silja; Podolskij, Mark - 2009
Persistent link: https://www.econbiz.de/10003883608
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Testing for heteroscedasticity in jumpy and noisy high-frequency data : a resampling approach
Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - 2016
Persistent link: https://www.econbiz.de/10011541690
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Inference from high-frequency data : a subsampling approach
Christensen, Kim; Podolskij, Mark; Thamrongrat, Nopporn; … - 2015
Persistent link: https://www.econbiz.de/10011343488
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - 2018
Persistent link: https://www.econbiz.de/10011913657