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Fact or friction : jumps at ultra high frequency
Christensen, Kimberly; Oomen, Roel C. A.; Podolskij, Mark - In: Journal of financial economics 114 (2014) 3, pp. 576-599
Persistent link: https://www.econbiz.de/10010532687
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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 - In: Journal of econometrics 212 (2019) 2, pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - In: Journal of econometrics 205 (2018) 2, pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
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Dynamic global currency hedging
Christensen, Bent Jesper; Varneskov, Rasmus Tangsgaard - In: Journal of financial econometrics 19 (2021) 1, pp. 97-127
Persistent link: https://www.econbiz.de/10012504315
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A machine learning approach to volatility forecasting
Christensen, Kim; Siggaard, Mathias Voldum; Veliyev, … - 2021
Persistent link: https://www.econbiz.de/10012434010
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Inference from high-frequency data : a subsampling approach
Christensen, Kimberly; Podolskij, Mark; Thamrongrat, Nopporn - In: Journal of econometrics 197 (2017) 2, pp. 245-272
Persistent link: https://www.econbiz.de/10011818358
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The Economic Value of VIX ETPs
Christensen, Kim; Christiansen, Charlotte; Posselt, … - 2019 - This version: September 9, 2019
Persistent link: https://www.econbiz.de/10012316428