2 citations · 4 across the 4 of their papers we have counts for
4 papers
Rank tests for time-varying covariance matrices observed under noise
Markus Reiß, Lars Winkelmann
We consider a -dimensional continuous martingale with quadratic variation matrix and develop tests for the rank of its spot covaria…
Inference on the maximal rank of time-varying covariance matrices using high-frequency data
Markus Reiß, Lars Winkelmann
We study the rank of the instantaneous or spot covariance matrix of a multidimensional continuous semi-martingale . Given high-frequency observations , $i=0,…
Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
Markus Bibinger, Christopher Neely, Lars Winkelmann
An extensive empirical literature documents a generally negative correlation, named the "leverage effect," between asset returns and changes of volatility. It is more challenging t…
Common price and volatility jumps in noisy high-frequency data
Markus Bibinger, Lars Winkelmann
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust…