250 citations
2 papers
econ.EM2026★ 250 cited
Realized range-based estimation of integrated variance
Kim Christensen, Mark Podolskij
We provide a set of probabilistic laws for estimating the quadratic variation of continuous semimartingales with realized range-based variance -- a statistic that replaces every sq…
econ.EM2026★ 6 cited
Warp speed price moves: Jumps after earnings announcements
Kim Christensen, Allan Timmermann, Bezirgen Veliyev
Corporate earnings announcements unpack large bundles of public information that should, in efficient markets, trigger jumps in stock prices. Testing this implication is difficult…