Department of Economics and Business Economics

Member of Section: Econometrics and Business Analytics
Research Secretary: Solveig Nygaard Sørensen

Education: PhD
Position: Professor

Kim Christensen acquired his PhD from Aarhus School of Business, Aarhus University in 2007. His research interests include financial econometrics, particularly the modelling of financial markets volatility using high-frequency data (intraday transaction and quotation data). He has published his work in a number of leading field journals, including Journal of Econometrics and Journal of Financial Economics. He has previously held a position as an inflation-linked derivatives trader in Nordea, Copenhagen. He is the 2011 and 2019 winner of the Golden Pointer (Lecturer of the year prize awarded for teaching excellence) based on his lecture series in Statistics.

Teaching Interests

Research Interests

• Financial econometrics

Selected Publications

• K. Christensen, R. C. A. Oomen and R. Renò (2021): "The drift burst hypothesis". Journal of Econometrics (Forthcoming).
• K. Christensen, M. Thyrsgaard and B. Veliyev (2019): "The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing". Journal of Econometrics 212(2), pp. 556-583.
• K. Christensen, U. Hounyo and M. Podolskij (2018): "Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment". Journal of Econometrics 205(2), pp. 336-362.
• K. Christensen, M. Podolskij, N. Thamrongrat and B. Velieyv (2017): "Inference from high-frequency data: A subsampling approach". Journal of Econometrics 197(2), pp. 245-272.
• K. Christensen, R. C. A. Oomen and M. Podolskij (2014): "Fact or friction: Jumps at ultra high frequency". Journal of Financial Economics 114(3), pp. 576-599.
• K. Christensen, S. Kinnebrock and M. Podolskij (2010): "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data". Journal of Econometrics 159(1), pp. 116-133.
• K. Christensen, R. Oomen and M. Podolskij (2010): "Realised quantile-based estimation of the integrated variance". Journal of Econometrics 159(1), pp. 74-98.
• K. Christensen and M. Podolskij (2007): "Realized range-based estimation of integrated variance". Journal of Econometrics 141(2), pp. 323-349.