310 citations · 1.1k across the 52 of their papers we have counts for
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math.PR2020
On estimation of quadratic variation for multivariate pure jump semimartingales
Johannes Heiny, Mark Podolskij
In this paper we present the asymptotic analysis of the realised quadratic variation for multivariate symmetric -stable Lévy processes, , and certain pure jump semim…
math.PR2020★ 2 cited
Power variations for fractional type infinitely divisible random fields
Andreas Basse-O'Connor, Vytautė Pilipauskaitė, Mark Podolskij
This paper presents new limit theorems for power variation of fractional type symmetric infinitely divisible random fields. More specifically, the random field $X = (X(\boldsymbol{…
math.PR2020★ 5 cited
Optimal estimation of some random quantities of a Lévy process
Jevgenijs Ivanovs, Mark Podolskij
In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a Lévy process. More specifically, we in…