| Microstructure noise in the continuous case: the pre-averaging approach J Jacod, Y Li, PA Mykland, M Podolskij, M Vetter Stochastic processes and their applications 119 (7), 2249-2276, 2009 | 804 | 2009 |
| A central limit theorem for realised power and bipower variations of continuous semimartingales Y Kabanov, R Liptser, J Stoyanov, OE Barndorff–Nielsen, SE Graversen, ... From stochastic calculus to mathematical finance: the Shiryaev Festschrift …, 2006 | 385 | 2006 |
| Realized range-based estimation of integrated variance K Christensen, M Podolskij Journal of Econometrics 141 (2), 323-349, 2007 | 355 | 2007 |
| Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps M Podolskij, M Vetter | 354 | 2009 |
| Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data K Christensen, S Kinnebrock, M Podolskij Journal of econometrics 159 (1), 116-133, 2010 | 305 | 2010 |
| Fact or friction: Jumps at ultra high frequency K Christensen, RCA Oomen, M Podolskij Journal of Financial Economics 114 (3), 576-599, 2014 | 238 | 2014 |
| Realised quantile-based estimation of the integrated variance K Christensen, R Oomen, M Podolskij Journal of Econometrics 159 (1), 74-98, 2010 | 176 | 2010 |
| Bipower-type estimation in a noisy diffusion setting M Podolskij, M Vetter Stochastic processes and their applications 119 (9), 2803-2831, 2009 | 131 | 2009 |
| Limit theorems for moving averages of discretized processes plus noise J Jacod, M Podolskij, M Vetter | 124 | 2010 |
| Preaveraging-based estimation of quadratic variation in the presence of noise and jumps: theory, implementation, and empirical evidence N Hautsch, M Podolskij Journal of Business & Economic Statistics 31 (2), 165-183, 2013 | 119 | 2013 |
| Power variation for Gaussian processes with stationary increments OE Barndorff-Nielsen, JM Corcuera, M Podolskij Stochastic processes and their applications 119 (6), 1845-1865, 2009 | 93 | 2009 |
| Multipower variation for Brownian semistationary processes OE Barndorff-Nielsen, JM Corcuera, M Podolskij | 88 | 2011 |
| Understanding limit theorems for semimartingales: a short survey M Podolskij, M Vetter Statistica Neerlandica 64 (3), 329-351, 2010 | 88 | 2010 |
| On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes K Christensen, M Podolskij, M Vetter Journal of Multivariate Analysis 120, 59-84, 2013 | 82 | 2013 |
| New tests for jumps in semimartingale models M Podolskij, D Ziggel Statistical inference for stochastic processes 13, 15-41, 2010 | 77 | 2010 |
| A note on the central limit theorem for bipower variation of general functions S Kinnebrock, M Podolskij Stochastic processes and their applications 118 (6), 1056-1070, 2008 | 70 | 2008 |
| Quantitative Breuer–major theorems I Nourdin, G Peccati, M Podolskij Stochastic Processes and their Applications 121 (4), 793-812, 2011 | 68 | 2011 |
| Bias-correcting the realized range-based variance in the presence of market microstructure noise K Christensen, M Podolskij, M Vetter Finance and Stochastics 13, 239-268, 2009 | 56 | 2009 |
| Estimation of integrated volatility in continuous‐time financial models with applications to goodness‐of‐fit testing H Dette, M Podolskij, M Vetter Scandinavian Journal of Statistics 33 (2), 259-278, 2006 | 55 | 2006 |
| Asymptotic theory for Brownian semi-stationary processes with application to turbulence JM Corcuera, E Hedevang, MS Pakkanen, M Podolskij Stochastic processes and their applications 123 (7), 2552-2574, 2013 | 54 | 2013 |
Kim ChristensenAarhus UniversityAdresse e-mail validée de econ.au.dk
