From the 3 of 75 papers with an AI index.
139 citations
- Institute of Space SciencesES7 papers
- Osservatorio Astronomico di PadovaIT7 papers
- University of TurkuFI7 papers
- Brera Astronomical ObservatoryIT6 papers
- Turku Centre for Computer ScienceFI6 papers
- Centre National de la Recherche ScientifiqueFR5 papers
- Chinese Academy of SciencesCN5 papers
- Institut d'Estudis Espacials de CatalunyaES5 papers
- Netherlands Institute for Radio AstronomyNL5 papers
- Stockholm UniversitySE5 papers
- The University of SydneyAU5 papers
- Yunnan UniversityCN5 papers
4 papers · 1 filter
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
Kim Christensen, Mark Podolskij, Mathias Vetter
This paper presents a Hayashi-Yoshida type estimator for the covariation matrix of continuous Itô semimartingales observed with noise. The coordinates of the multivariate process…
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Kim Christensen, Silja Kinnebrock, Mark Podolskij
We show how pre-averaging can be applied to the problem of measuring the ex-post covariance of financial asset returns under microstructure noise and non-synchronous trading. A pre…
Asymptotic theory of range-based multipower variation
Kim Christensen, Mark Podolskij
In this paper, we present a realized range-based multipower variation theory, which can be used to estimate return variation and draw jump-robust inference about the diffusive vola…
Fact or friction: Jumps at ultra high frequency
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price varia…