output
20222026
most citedRealized range-based estimation of integrated variance

251 citations

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Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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econ.EM2026★ 251 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…