Research output per year
Research output per year
Personal profile
Research
My research interests include financial econometrics, in particular nonparametric inference about financial markets volatility based on high-frequency data (intraday transaction and quotation data)
Teaching
My teaching centers around econometric analysis and its foundation in probability theory and statistics.
Areas of expertise
- Econometrics
Fingerprint
Dive into the research topics where Kim Christensen is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
- 1 Similar Profiles
Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
-
Do designated market makers provide liquidity during downward extreme price movements?
Bellia, M., Christensen, K., Kolokolov, A., Pelizzon, L. & Renò, R., 2025, (E-pub / Early view) In: Journal of Financial Markets. 100988.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access -
Warp speed price moves: Jumps after earnings announcements
Christensen, K., Timmermann, A. & Veliyev, B., May 2025, In: Journal of Financial Economics. 167, 104010.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
-
An unbounded intensity model for point processes
Christensen, K. & Kolokolov, A., Aug 2024, In: Journal of Econometrics. 244, 1, 37 p., 105840.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access1 Citation (Scopus) -
Composite Likelihood Estimation of Stationary Gaussian Processes With a View Towards Stochastic Volatility
Christensen, P. K., Bennedsen, M. & Christensen, K., 11 Apr 2024, 45 p.Research output: Working paper/Preprint › Working paper › Research
-
A GMM approach to estimate the roughness of stochastic volatility
Bolko, A. E., Christensen, K., Pakkanen, M. S. & Veliyev, B., Aug 2023, In: Journal of Econometrics. 235, 2, p. 745-778 34 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile18 Citations (Scopus)41 Downloads (Pure)
Activities
-
Journal of Empirical Finance (Journal)
Christensen, K. (Reviewer)
2013Activity: Publication peer-review and editorial work types › Peer review of manuscripts › Research
-
Computational Statistics and Data Analysis (Journal)
Christensen, K. (Reviewer)
2012Activity: Publication peer-review and editorial work types › Peer review of manuscripts › Research
-
Management Science (Journal)
Christensen, K. (Reviewer)
2012Activity: Publication peer-review and editorial work types › Peer review of manuscripts › Research
-
Journal of Business and Economic Statistics (Journal)
Christensen, K. (Reviewer)
2012Activity: Publication peer-review and editorial work types › Peer review of manuscripts › Research
-
Journal of Business and Economic Statistics (Journal)
Christensen, K. (Reviewer)
2012Activity: Publication peer-review and editorial work types › Peer review of manuscripts › Research