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Bias-correcting the realized range-based variance in the presence of market microstructure noise
Christensen, Kim; Podolskij, Mark; Vetter, Mathias - In: Finance and stochastics 13 (2009) 2, pp. 239-268
Persistent link: https://www.econbiz.de/10008211979
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Testing the parametric form of the volatility in continuous time diffusion models—a stochastic process approach
Dette, Holger; Podolskij, Mark - In: Journal of econometrics 143 (2008) 1, pp. 56-73
Persistent link: https://www.econbiz.de/10007899831
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Realized range-based estimation of integrated variance
Christensen, Kim; Podolskij, Mark - In: Journal of econometrics 141 (2007) 2, pp. 323-349
Persistent link: https://www.econbiz.de/10007859786
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Understanding limit theorems for semimartingales: a short survey
Podolskij, Mark; Vetter, Mathias - In: Statistica Neerlandica : journal of the Netherlands … 64 (2010) 3, pp. 329-352
Persistent link: https://www.econbiz.de/10008436729
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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - In: Journal of econometrics 159 (2010) 1, pp. 116-134
Persistent link: https://www.econbiz.de/10008455133
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Realised quantile-based estimation of the integrated variance
Christensen, Kim; Oomen, Roel; Podolskij, Mark - In: Journal of econometrics 159 (2010) 1, pp. 74-99
Persistent link: https://www.econbiz.de/10008455135
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Testing the parametric form of the volatility in continuous time diffusion models—a stochastic process approach
Dette, Holger; Podolskij, Mark - In: Journal of econometrics 143 (2008) 1, pp. 56-74
Persistent link: https://www.econbiz.de/10008881150
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Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions
Hautsch, Nikolaus; Klotz, Stefan - In: Journal of economic behavior & organization : JEBO 52 (2003) 1, pp. 97-114
Persistent link: https://www.econbiz.de/10006822523
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Econometric analysis of financial transaction data: Pitfalls and opportunities
Hautsch, Nikolaus; Pohlmeier, Winfried - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 1, pp. 5-30
Persistent link: https://www.econbiz.de/10006561474
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Order aggressiveness and order book dynamics
Hall, Anthony D.; Hautsch, Nikolaus - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 973-1006
Persistent link: https://www.econbiz.de/10006231897