310 citations · 1.1k across the 52 of their papers we have counts for
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math.ST2014★ 7 cited
Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Tobias Fissler, Mark Podolskij
In this paper, we present a test for the maximal rank of the volatility process in continuous diffusion models observed with noise. Such models are typically applied in mathematica…
math.ST2014
High-frequency asymptotics for path-dependent functionals of Ito semimartingales
Moritz Duembgen, Mark Podolskij
The estimation of local characteristics of Ito semimartingales has received a great deal of attention in both academia and industry over the past decades. In various papers limit t…