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Mark Podolskij

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  1. 2023
  2. Published
    High-dimensional estimation of quadratic variation based on penalized realized variance. / Christensen, Kim; Nielsen, Mikkel Slot; Podolskij, Mark.
    In: Statistical Inference for Stochastic Processes, Vol. 26, No. 2, 07.2023, p. 331-359.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  3. 2022
  4. Published
    Optimal estimation of the supremum and occupation times of a self-similar Lévy process. / Ivanovs, Jevgenijs; Podolskij, Mark.
    In: Electronic Journal of Statistics, Vol. 16, No. 1, 07.2022, p. 892-934.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  5. Published
    Multidimensional parameter estimation of heavy-tailed moving averages. / Ljungdahl, Mathias Mørck; Podolskij, Mark.
    In: Scandinavian Journal of Statistics, Vol. 49, No. 2, 06.2022, p. 593-624.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  6. 2021
  7. Published
    Local asymptotic self-similarity for heavy-tailed harmonizable fractional Lévy motions. / Basse-O'Connor, Andreas; Grønbæk, Thorbjørn Øystein Brynimin; Podolskij, Mark.
    In: ESAIM: Probability & Statistics, Vol. 25, 07.2021, p. 286-297.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  8. 2020
  9. Published
    A minimal contrast estimator for the linear fractional stable motion. / Ljungdahl, Mathias Mørck; Podolskij, Mark.
    In: Statistical Inference for Stochastic Processes, Vol. 23, No. 2, 07.2020, p. 381-413.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  10. Published
    A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages. / Basse-O'Connor, Andreas; Podolskij, Mark; Thäle, Christoph.
    In: Electronic Journal of Probability, Vol. 25, 31, 2020, p. 1-31.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  11. Published
    Edgeworth expansion for Euler approximation of continuous diffusion processes. / Podolskij, Mark; Veliyev, Bezirgen; Yoshida, Nakahiro.
    In: Annals of Applied Probability, Vol. 30, No. 4, 2020, p. 1971-2003.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  12. Published
    Estimation of the linear fractional stable motion. / Mazur, Stepan; Otryakhin, Dmitry; Podolskij, Mark.
    In: Bernoulli, Vol. 26, No. 1, 2020, p. 226-252.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  13. Submitted
    Multi-Dimensional Parameter Estimation of Heavy-Tailed Moving Averages. / Ljungdahl, Mathias Mørck; Podolskij, Mark.
    In: Scandinavian Journal of Statistics, 2020.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  14. 2019
  15. Published
    On limit theory for functionals of stationary increments Lévy driven moving averages. / Basse-O'Connor, Andreas; Heinrich, Claudio; Podolskij, Mark.
    In: Electronic Journal of Probability, Vol. 24, 79, 09.2019.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  16. Published
    The asymptotic error of chaos expansion approximations for stochastic differential equations. / Huschto, Tony; Podolskij, Mark; Sager, Sebastian.
    In: Modern Stochastics: Theory and Applications, Vol. 6, No. 2, 06.2019, p. 145-165.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  17. Published
    A Note on Parametric Estimation of Lévy Moving Average Processes. / Ljungdahl, Mathias Mørck; Podolskij, Mark.
    Stochastic Models, Statistics and Their Applications, 2019: Dresden, Germany, March 2019. ed. / Ansgar Steland; Ewaryst Rafajłowicz; Ostap Okhrin. Cham: Springer, 2019. p. 41-56 (Springer proceedings in mathematics & statistics, Vol. 294).

    Research output: Contribution to book/anthology/report/proceeding › Article in proceedings › Research › peer-review

  18. 2018
  19. Published
    Edgeworth expansion for Euler approximation of continuous diffusion processes. / Podolskij, Mark; Veliyev, Bezirgen; Yoshida, Nakahiro.
    Aarhus: Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paper/Preprint › Working paper › Research

  20. Published
    A limit theorem for a class of stationary increments Levy moving average process with multiple singularities. / Ljungdahl, Mathias Mørck; Podolskij, Mark.
    In: Modern Stochastics: Theory and Applications, Vol. 5, No. 3, 09.2018, p. 297–316.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  21. Published
    Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale: Asymptotic behavior of local times related statistics for fractional Brownian motion. / Podolskij, Mark; Rosenbaum, Mathieu.
    In: Journal of Financial Econometrics, Vol. 16, No. 4, 2018, p. 588-598.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  22. 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 newspaper › Journal article › Research › peer-review

  23. Published
    On limit theory for Lévy semi-stationary processes. / Basse-O'Connor, Andreas; Heinrich, Claudio; Podolskij, Mark.
    In: Bernoulli, Vol. 24, No. 4A, 2018, p. 3117-3146.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  24. Published
    On the minimal number of driving Lévy motions in a multivariate price model. / Jacod, Jean; Podolskij, Mark.
    In: Journal of Applied Probability, Vol. 55, No. 3, 2018, p. 823-833.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  25. Published
    Review of the book "Mod-phi Convergence. Normality Zones and Precise Deviations". / Podolskij, Mark.
    In: Newsletter of the European Mathematical Society, 2018.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Review › Communication

  26. 2017
  27. Published
    On critical cases in limit theory for stationary increments Levy driven moving averages. / Podolskij, Mark; Basse-O'Connor, Andreas.
    In: Stochastics: An International Journal of Probability and Stochastic Processes , Vol. 89, No. 1, 05.01.2017, p. 360-383.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  28. Published
    Edgeworth expansion for the pre-averaging estimator. / Podolskij, Mark; Veliyev, Bezirgen; Yoshida, Nakahiro.
    In: Stochastic Processes and Their Applications, Vol. 127, No. 11, 2017, p. 3558-3595 .

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  29. Published
    Estimation of the global regularity of a multifractional Brownian motion. / Podolskij, Mark; Lebovits, Joachim.
    In: Electronic Journal of Statistics, Vol. 11, No. 1, 2017, p. 78-98.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  30. Published
    Inference from high-frequency data: A subsampling approach. / Christensen, Kim; Podolskij, Mark; Thamrongrat, Nopporn et al.
    In: Journal of Econometrics, Vol. 197, No. 2, 2017, p. 245–272.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  31. Published
    On U- and V-statistics for discontinuous Ito semimartingales. / Podolskij, Mark; Schmidt, Christian; Vetter, Mathias.
    In: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, Vol. 53, No. 3, 2017, p. 1007-1050.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  32. Published
    Power variation for a class of stationary increments Levy driven moving averages. / Basse-O'Connor, Andreas; Lachieze-Rey, Raphael; Podolskij, Mark.
    In: Annals of Probability, Vol. 45, No. 6B, 2017, p. 4477-4528.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  33. Published
    Testing the maximal rank of the volatility process for continuous diffusions observed with noise. / Fissler, Tobias; Podolskij, Mark.
    In: Bernoulli, Vol. 23, No. 4B, 2017, p. 3021-3066.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  34. 2016
  35. Published
    Estimation of the global regularity of a multifractional Brownian motion. / Lebovits, Joachim; Podolskij, Mark.
    Aarhus: Institut for Økonomi, Aarhus Universitet, 2016.

    Research output: Working paper/Preprint › Working paper › Research

  36. Published
    Edgeworth expansion for functionals of continuous diffusion processes. / Podolskij, Mark; Yoshida, Nakahiro.
    In: Annals of Applied Probability, Vol. 26, No. 6, 21.01.2016, p. 3415-3455.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  37. Published
    A weak limit theorem for numerical approximation of Brownian semi-stationary processes. / Podolskij, Mark; Thamrongrat, Nopporn.
    Stochastics of Environmental and Financial Economics. ed. / Fred Espen Benth; Giulia Di Nunno. Springer, 2016. p. 101-120 (Springer Proceedings in Mathematics & Statistics, Vol. 138).

    Research output: Contribution to book/anthology/report/proceeding › Book chapter › Research › peer-review

  38. Published
    The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. / Podolskij, Mark (Editor); Stelzer, Robert (Editor); Thorbjørnsen, Steen (Editor) et al.
    Springer, 2016. 527 p.

    Research output: Book/anthology/dissertation/report › Anthology › Research › peer-review

  39. 2015
  40. Published
    Edgeworth expansion for the pre-averaging estimator. / Podolskij, Mark; Veliyev, Bezirgen; Yoshida, Nakahiro.
    Aarhus: Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paper/Preprint › Working paper › Research

  41. Published
    A weak limit theorem for numerical approximation of Brownian semi-stationary processes. / Podolskij, Mark; Thamrongrat, Nopporn.
    Aarhus: Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paper/Preprint › Working paper › Research

  42. Published
    On U- and V-statistics for discontinuous Itô semimartingale. / Podolskij, Mark; Schmidt, Christian; Vetter, Mathias.
    Aarhus: Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paper/Preprint › Working paper › Research

  43. Published
    Ambit fields: survey and new challenges. / Podolskij, Mark.
    XI Symposium of Probability and Stochastic Processes: CIMAT, Mexico, November 18-22, 2013. ed. / Ramses H. Mena; Juan Carlos Pardo; Victor Rivero; Geronimo Uribe Bravo. Springer, 2015. p. 241-279 (Progress in Probability, Vol. 69).

    Research output: Contribution to book/anthology/report/proceeding › Article in proceedings › Research › peer-review

  44. Published
    High-frequency asymptotics for path-dependent functionals of Ito semimartingales. / Duembgen, Moritz; Podolskij, Mark.
    In: Stochastic Processes and Their Applications, Vol. 125, No. 4, 2015, p. 1195-1217.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  45. Published
    On non-standard limits of Brownian semi-stationary processes. / Gärtner, Kerstin; Podolskij, Mark.
    In: Stochastic Processes and Their Applications, Vol. 125, No. 2, 2015, p. 653-677.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  46. 2014
  47. Published
    On spectral distribution of high dimensional covariation matrices. / Heinrich, Claudio; Podolskij, Mark.
    Aarhus: Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper/Preprint › Working paper › Research

  48. Published
    Testing the maximal rank of the volatility process for continuous diffusions observed with noise. / Fissler, Tobias; Podolskij, Mark.
    Aarhus: Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper/Preprint › Working paper › Research

  49. Published
    Asymptotics of weighted random sums. / Corcuera, José Manuel; Nualart, David; Podolskij, Mark.
    In: Communications in Applied and Industrial Mathematics, Vol. 6, No. 1, e-486, 06.02.2014.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  50. 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 newspaper › Journal article › Research › peer-review

  51. Published
    Limit theorems for nondegenerate U-statistics of continuous semimartingales. / Podolskij, Mark; Schmidt, Christian; Ziegel, Johanna.
    In: Annals of Applied Probability, Vol. 24, No. 6, 2014, p. 2491-2526.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  52. 2013
  53. Published
    Edgeworth expansion for functionals of continuous diffusion processes. / Podolskij, Mark; Yoshida, Nakahiro.
    Aarhus: Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paper/Preprint › Working paper › Research

  54. Published
    A test for the rank of the volatility process: The random perturbation approach. / Jacod, Jean; Podolskij, Mark.
    In: Annals of Statistics, Vol. 41, No. 5, 01.10.2013, p. 2391-2427.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  55. Published
    Goodness-of-fit testing for fractional diffusions. / Podolskij, M.; Wasmuth, K.
    In: Statistical Inference for Stochastic Processes, Vol. 16, No. 2, 01.07.2013, p. 147-159.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  56. Published
    Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence. / Hautsch, Nikolaus; Podolskij, M.
    In: Journal of Business and Economic Statistics, Vol. 31, No. 2, 01.04.2013, p. 165-183.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  57. Published
    Asymptotic theory for Brownian semi-stationary processes with application to turbulence. / Corcuera, José Manuel; Hedevang, Emil; Pakkanen, Mikko S. et al.
    In: Stochastic Processes and Their Applications, Vol. 123, No. 7, 2013, p. 2552-2574.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  58. Published
    Limit theorems for functionals of higher order differences of Brownian semi-stationary processes. / Barndorff-Nielsen, Ole Eiler; Corcuera, José Manuel; Podolskij, Mark.
    Prokhorov and contemporary probability theory: In Honor of Yuri V. Prokhorov. ed. / A. N. Shiryaev; S. R. S. Varadhan; E. L. Presman. Springer, 2013. p. 69-96 (Springer proceedings in mathematics & statistics, Vol. 33).

    Research output: Contribution to book/anthology/report/proceeding › Book chapter › Research › peer-review

  59. 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 newspaper › Journal article › Research › peer-review

  60. Published
    Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: theory, implementation, and empirical evidence. / Hautsch, Nikolaus; Podolskij, Mark.
    In: Journal of Business and Economic Statistics, Vol. 31, No. 2, 2013, p. 165-183.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  61. 2012
  62. Published
    Testing the local volatility assumption: A statistical approach. / Podolskij, Mark; Rosenbaum, Mathieu.
    In: Annals of Finance, Vol. 8, No. 1, 01.02.2012, p. 31-48.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  63. 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 newspaper › Journal article › Research › peer-review

  64. 2011
  65. Published
    Quantitative Breuer-Major theorems. / Nourdin, Ivan; Peccati, Giovanni; Podolskij, Mark.
    In: Stochastic Processes and Their Applications, Vol. 121, No. 4, 01.04.2011, p. 793-812.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  66. Published
    Multipower variation for Brownian semistationary processes. / Barndorff-Nielsen, Ole Eiler; Corcuera, José Manuel; Podolskij, Mark.
    In: Bernoulli, Vol. 17, No. 4, 2011, p. 1159-1194.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  67. 2010
  68. Published
    Understanding limit theorems for semimartingales: A short survey. / Podolskij, Mark; Vetter, Mathias.
    In: Statistica Neerlandica, Vol. 64, No. 3, 01.08.2010, p. 329-351.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  69. Published
    Limit Theorems for moving averages of discretized processes plus noise. / Jacod, Jean; Podolskij, Mark; Vetter, Mathias.
    In: Annals of Statistics, Vol. 38, No. 3, 01.06.2010, p. 1478-1545.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  70. Published
    New tests for jumps in semimartingale models. / Podolskij, Mark; Ziggel, Daniel.
    In: Statistical Inference for Stochastic Processes, Vol. 13, No. 1, 2010, p. 15-41.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  71. 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 newspaper › Journal article › Research › peer-review

  72. 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 newspaper › Journal article › Research › peer-review

  73. Published
    Semimartingales. / Podolskij, Mark.
    Encyclopedia of Quantitative Finance. ed. / Rama Cont. John Wiley, 2010.

    Research output: Contribution to book/anthology/report/proceeding › Book chapter › Research › peer-review

  74. 2009
  75. Published
    Bipower-type estimation in a noisy diffusion setting. / Podolskij, Mark; Vetter, Mathias.
    In: Stochastic Processes and Their Applications, Vol. 119, No. 9, 01.09.2009, p. 2803-2831.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  76. 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 newspaper › Journal article › Research › peer-review

  77. Published
    Bipower variation for Gaussian processes with stationary increments. / Barndorff-Nielsen, Ole Eiler; Corcuera, José Manuel; Podolskij, Mark et al.
    In: Journal of Applied Probability, Vol. 46, No. 1, 2009, p. 132-150.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  78. Published
    Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps. / Podolskij, Mark; Vetter, Mathias.
    In: Bernoulli, Vol. 15, No. 3, 2009, p. 634-658.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  79. Published
    Microstructure noise in the continuous case: The pre-averaging approach. / Jacod, Jean; Li, Yingying; Mykland, Per A. et al.
    In: Stochastic Processes and Their Applications, Vol. 119, No. 7, 2009, p. 2249-2276.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  80. Published
    Power variation for Gaussian processes with stationary increments. / Barndorff-Nielsen, Ole Eiler; Corcuera, J.M.; Podolskij, Mark.
    In: Stochastic Processes and Their Applications, Vol. 119, No. 6, 2009, p. 1845-1865.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  81. 2008
  82. Published
    A note on the central limit theorem for bipower variation of general functions. / Kinnebrock, Silja; Podolskij, Mark.
    In: Stochastic Processes and Their Applications, Vol. 118, No. 6, 01.06.2008, p. 1056-1070.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  83. Published
    Testing the parametric form of the volatility in continuous time diffusion models-a stochastic process approach. / Dette, Holger; Podolskij, Mark.
    In: Journal of Econometrics, Vol. 143, No. 1, 01.03.2008, p. 56-73.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  84. Published
    An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models. / Kinnebrock, Silja; Podolskij, Mark.
    Aarhus: Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paper/Preprint › Working paper › Research

  85. Published
    A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models. / Podolskij, Mark; Ziggel, Daniel.
    Aarhus: Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paper/Preprint › Working paper › Research

  86. 2007
  87. Published
    A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models. / Podolskij, Mark; Ziggel, Daniel.
    Aarhus: Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paper/Preprint › Working paper › Research

  88. 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 newspaper › Journal article › Research › peer-review

  89. 2006
  90. Published
    Estimation of integrated volatility in continuous-time financial models with applications to goodness-of-fit testing. / Dette, Holger; Podolskij, Mark; Vetter, Mathias.
    In: Scandinavian Journal of Statistics, Vol. 33, No. 2, 01.06.2006, p. 259-278.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  91. Published
    A central limit theorem for realised power and bipower variations of continuous semimartingales. / Barndorff-Nielsen, Ole Eiler; Graversen, Svend-Erik; Jacod, Jean et al.
    From stochastic calculus to mathematical finance: the Shiryaev Festschrift. ed. / Yuri Kabanov; Robert Liptser; Jordan Stoyanov. Berlin: Springer, 2006. p. 33-68.

    Research output: Contribution to book/anthology/report/proceeding › Book chapter › Research