310 citations · 1.1k across the 52 of their papers we have counts for
59 papers
Nonparametric Estimation of the Diffusion-Interaction Function in Particle Systems
Chiara Amorino, Francisco Pina, Mark Podolskij
We study the problem of nonparametric estimation of the interaction function in particle systems whose interaction enters through the diffusion coefficient. The particle system is…
Weighted Nuclear Elastic Net Estimation of (Near-) Low-Rank Drift Matrices in Ornstein-Uhlenbeck Processes
Dmytro Marushkevych, Francisco Pina, Mark Podolskij
We study estimation of the drift matrix in a continuously observed high-dimensional Ornstein-Uhlenbeck process when the drift is exactly or approximately low rank. In this setting,…
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…