310 citations · 1.1k across the 52 of their papers we have counts for
6 papers · 1 filter
On spectral distribution of high dimensional covariation matrices
Claudio Heinrich, Mark Podolskij
In this paper we present the asymptotic theory for spectral distributions of high dimensional covariation matrices of Brownian diffusions. More specifically, we consider -dimens…
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…
Ambit fields: survey and new challenges
Mark Podolskij
In this paper we present a survey on recent developments in the study of ambit fields and point out some open problems. Ambit fields is a class of spatio-temporal stochastic proces…
On non-standard limits of Brownian semi-stationary processes
Kerstin Gaertner, Mark Podolskij
In this paper we present some new asymptotic results for high frequency statistics of Brownian semi-stationary processes. More precisely, we will show that singularities in the wei…
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…
Asymptotics of weighted random sums
José Manuel Corcuera, David Nualart, Mark Podolskij
In this paper we study the asymptotic behaviour of weighted random sums when the sum process converges stably in law to a Brownian motion and the weight process has continuous traj…