251 citations · 582 across the 19 of their papers we have counts for
19 papers
The "Rough" HAR Model
Mikkel Bennedsen, Kim Christensen, Peter Korsbakke Christensen +2
This paper proposes discrete-time approximations to rough continuous-time models of realized variance (RV). The leading rough models can be viewed as autoregressive processes drive…
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 a…
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…
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Kim Christensen, Martin Thyrsgaard, Bezirgen Veliyev
We propose a nonparametric estimator of the empirical distribution function (EDF) of the latent spot variance of the log-price of a financial asset. We show that over a fixed time…
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…
Inference from high-frequency data: A subsampling approach
Kim Christensen, Mark Podolskij, Nopporn Thamrongrat +1
In this paper, we show how to estimate the asymptotic (conditional) covariance matrix, which appears in central limit theorems in high-frequency estimation of asset return volatili…
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
Kim Christensen, Ulrich Hounyo, Mark Podolskij
In this paper, we propose a nonparametric way to test the hypothesis that time-variation in intraday volatility is caused solely by a deterministic and recurrent diurnal pattern. W…
Realised quantile-based estimation of the integrated variance
Kim Christensen, Roel Oomen, Mark Podolskij
In this paper, we propose a new jump robust quantile-based realised variance measure of ex-post return variation that can be computed using potentially noisy data. The estimator is…
The drift burst hypothesis
Kim Christensen, Roel C. A. Oomen, Roberto Renò
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashe…
Effects of syndication network on specialisation and performance of venture capital firms
Qing Yao, Shaodong Ma, Jing Liang +3
The Chinese venture capital (VC) market is a young and rapidly expanding financial subsector. Gaining a deeper understanding of the investment behaviours of VC firms is crucial for…
Emergence of universal scaling in weather extreme events
Qing Yao, Jingfang Fan, Jun Meng +4
The frequency and magnitude of weather extreme events have increased significantly during the past few years in response to anthropogenic climate change. However, global statistica…
Emergence of community structures through biased random walks rewiring
Qing Yao, Bingsheng Chen, Tim S. Evans +1
Community structures have been identified in various complex real-world networks, for example, communication, information, internet and shareholder networks. The scaling of communi…
High-dimensional estimation of quadratic variation based on penalized realized variance
Kim Christensen, Mikkel Slot Nielsen, Mark Podolskij
In this paper, we develop a penalized realized variance (PRV) estimator of the quadratic variation (QV) of a high-dimensional continuous Itô semimartingale. We adapt the principle…
A GMM approach to estimate the roughness of stochastic volatility
Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen +1
We develop a GMM approach for estimation of log-normal stochastic volatility models driven by a fractional Brownian motion with unrestricted Hurst exponent. We show that a paramete…
The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets
Alberto Ciacci, Takumi Sueshige, Hideki Takayasu +2
Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme…
Identifying time dependence in network growth
Max Falkenberg, Jong-Hyeok Lee, Shun-ichi Amano +5
Identifying power-law scaling in real networks - indicative of preferential attachment - has proved controversial. Critics argue that measuring the temporal evolution of a network…
How the network properties of shareholders vary with investor type and country
Qing Yao, Tim Evans, Kim Christensen
We construct two examples of shareholder networks in which shareholders are connected if they have shares in the same company. We do this for the shareholders in Turkish companies…