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 | 824 | 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 | 387 | 2006 |
Realized range-based estimation of integrated variance K Christensen, M Podolskij Journal of Econometrics 141 (2), 323-349, 2007 | 361 | 2007 |
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps M Podolskij, M Vetter | 353 | 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 | 317 | 2010 |
Fact or friction: Jumps at ultra high frequency K Christensen, RCA Oomen, M Podolskij Journal of Financial Economics 114 (3), 576-599, 2014 | 246 | 2014 |
Realised quantile-based estimation of the integrated variance K Christensen, R Oomen, M Podolskij Journal of Econometrics 159 (1), 74-98, 2010 | 178 | 2010 |
Bipower-type estimation in a noisy diffusion setting M Podolskij, M Vetter Stochastic processes and their applications 119 (9), 2803-2831, 2009 | 132 | 2009 |
Limit theorems for moving averages of discretized processes plus noise J Jacod, M Podolskij, M Vetter | 123 | 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 | 120 | 2013 |
Bipower variation for Gaussian processes with stationary increments OE Barndorff-Nielsen, JM Corcuera, M Podolskij, JHC Woerner Journal of Applied Probability 46 (1), 132-150, 2009 | 92 | 2009 |
Multipower variation for Brownian semistationary processes OE Barndorff-Nielsen, JM Corcuera, M Podolskij | 90 | 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 | 79 | 2010 |
Quantitative Breuer–major theorems I Nourdin, G Peccati, M Podolskij Stochastic Processes and their Applications 121 (4), 793-812, 2011 | 71 | 2011 |
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 | 69 | 2008 |
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 | 59 | 2009 |
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes OE Barndorff-Nielsen, JM Corcuera, M Podolskij Prokhorov and Contemporary Probability Theory: In Honor of Yuri V. Prokhorov …, 2013 | 58 | 2013 |
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 | 55 | 2013 |