310 citations · 1.1k across the 52 of their papers we have counts for
3 papers · 1 filter
Edgeworth expansion for the pre-averaging estimator
Mark Podolskij, Bezirgen Veliyev, Nakahiro Yoshida
In this paper, we study the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed with noise. More speci…
Limit theorems for stationary increments Lévy driven moving averages
Andreas Basse-O'Connor, Raphaël Lachièze-Rey, Mark Podolskij
In this paper we present some new limit theorems for power variation of th order increments of stationary increments Lévy driven moving averages. In this infill sampling setting…
On U- and V-statistics for discontinuous Ito semimartingales
Mark Podolskij, Christian Schmidt, Mathias Vetter
In this paper we examine the asymptotic theory for U-statistics and V-statistics of discontinuous Ito semimartingales that are observed at high frequency. For different types of ke…