Mark Podolskij - Publications, H-index & Citations

Mark Podolskij

university of luxembourg

27H指数

172论文数

3.3K被引数

收录论文 10

发表时间

ESTIMATION OF MIXED FRACTIONAL STABLE PROCESSES USING HIGH-FREQUENCY DATA

ANNALS OF STATISTICS

IF3.7

2023-10-01

OAAI

Mies, Fabian; Podolskij, Mark

Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment

JOURNAL OF ECONOMETRICS

IF4

2018-08-01

PREAI

Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark

Inference from high-frequency data: A subsampling approach

JOURNAL OF ECONOMETRICS

IF4

2017-04-01

OAAI

Christensen, K.; Podolskij, M.; Thamrongrat, N.; Veliyev, B.

Fact or friction: Jumps at ultra high frequency 事实或摩擦: 超高频跳跃

JOURNAL OF FINANCIAL ECONOMICS

IF12

2014-12-01

116

PREAI

Christensen, Kim; Oomen, Roel C. A.; Podolskij, Mark

A TEST FOR THE RANK OF THE VOLATILITY PROCESS: THE RANDOM PERTURBATION APPROACH

ANNALS OF STATISTICS

IF3.7

2013-10-01

OAAI

Jacod, Jean; Podolskij, Mark

Realised quantile-based estimation of the integrated variance

JOURNAL OF ECONOMETRICS

IF4

2010-11-01

OAAI

Christensen, Kim; Oomen, Roel; Podolskij, Mark

Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

JOURNAL OF ECONOMETRICS

IF4

2010-11-01

160

OAAI

Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark

LIMIT THEOREMS FOR MOVING AVERAGES OF DISCRETIZED PROCESSES PLUS NOISE

ANNALS OF STATISTICS

IF3.7

2010-06-01

OAAI

Jacod, Jean; Podolskij, Mark; Vetter, Mathias

Testing the parametric form of the volatility in continuous time diffusion models - a stochastic process approach

JOURNAL OF ECONOMETRICS

IF4

2008-03-01

OAAI

Dette, Holger; Podolskij, Mark

Realized range-based estimation of integrated variance

JOURNAL OF ECONOMETRICS

IF4

2007-12-01

165

OAAI

Christensen, Kim; Podolskij, Mark

研究方向