Department of Economics and Business Economics

Kim Christensen

  1. 2019
  2. Published

    The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. / Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen.

    In: Journal of Econometrics, Vol. 212, No. 2, 10.2019, p. 556-583.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. Published

    The Economic Value of VIX ETPs. / Christensen, Kim; Christiansen, Charlotte; Posselt, Anders Merrild.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2019.

    Research output: Working paperResearch

  4. 2018
  5. Published

    The drift burst hypothesis. / Christensen, Kim; Oomen, Roe; Renò, Roberto.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paperResearch

  6. Published

    Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment. / Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark.

    In: Journal of Econometrics, Vol. 205, No. 2, 2018, p. 336-362.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. 2017
  8. Published

    Inference from high-frequency data : A subsampling approach. / Christensen, Kim; Podolskij, Mark; Thamrongrat, Nopporn; Veliyev, Bezirgen.

    In: Journal of Econometrics, Vol. 197, No. 2, 2017, p. 245–272.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  9. 2014
  10. Published

    Fact or friction: Jumps at ultra high frequency. / Christensen, Kim; Oomen, Roel; Podolskij, Mark.

    In: Journal of Financial Economics, Vol. 114, No. 3, 2014, p. 576-599.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. 2013
  12. Published

    A cost-effectiveness analysis of identifying Fusobacterium necrophorum in throat swabs followed by antibiotic treatment to reduce the incidence of Lemierre's syndrome and peritonsillar abscesses. / Bank, S; Christensen, Kim; Kristensen, L H; Prag, J.

    In: European journal of clinical microbiology & infectious diseases : official publication of the European Society of Clinical Microbiology, Vol. 32, No. 1, 01.2013, p. 71-8.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  13. Published

    On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes. / Christensen, Kim; Podolskij, Mark; Vetter, Mathias.

    In: Journal of Multivariate Analysis, Vol. 120, 2013, p. 59-84.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  14. 2012
  15. Published

    Asymptotic theory of range-based multipower variation. / Christensen, Kim; Podolskij, Mark.

    In: Journal of Financial Econometrics, Vol. 10, No. 3, 2012, p. 417-456.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  16. 2010
  17. Published

    Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. / Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark.

    In: Journal of Econometrics, Vol. 159, No. 1, 2010, p. 116-133.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  18. Published

    Realised quantile-based estimation of the integrated variance. / Christensen, Kim; Oomen, Roel; Podolskij, Mark.

    In: Journal of Econometrics, Vol. 159, No. 1, 2010, p. 74-98.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  19. 2009
  20. Published

    Bias-correcting the realised range-based variance in the presence of market microstructure noise. / Christensen, Kim; Podolskij, Mark; Vetter, Mathias.

    In: Finance and Stochastics, Vol. 13, No. 2, 2009, p. 239-268.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  21. 2007
  22. Published

    Realized range-based estimation of integrated variance. / Christensen, Kim; Podolskij, Mark.

    In: Journal of Econometrics, Vol. 141, No. 2, 2007, p. 323-349.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  23. Published

    Topics on high-frequency financial econometrics : Measuring and forecasting volatility. / Christensen, Kim.

    Aarhus : Aarhus School of Business, Aarhus University, Department of Marketing and Statistics, 2007. (PhD Thesis; No. 2007:1).

    Research output: Book/anthology/dissertation/reportPh.D. thesisResearch