251 citations · 582 across the 19 of their papers we have counts for
12 papers · 1 filter
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…
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…