Research output per year
Research output per year
- 1 - 50 out of 74 results
Search results
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2024
Asymptotic theory for quadratic variation of harmonizable fractional stable processes
Basse-O’connor, A. & Podolskij, M., 2024, In: Theory of Probability and Mathematical Statistics. 110, p. 3-12 10 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access1 Citation (Scopus) -
2023
High-dimensional estimation of quadratic variation based on penalized realized variance
Christensen, K., Nielsen, M. S. & Podolskij, M., Jul 2023, In: Statistical Inference for Stochastic Processes. 26, 2, p. 331-359 29 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile3 Citations (Scopus)4 Downloads (Pure) -
2022
Multidimensional parameter estimation of heavy-tailed moving averages
Ljungdahl, M. M. & Podolskij, M., Jun 2022, In: Scandinavian Journal of Statistics. 49, 2, p. 593-624 32 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access4 Citations (Scopus) -
Optimal estimation of the supremum and occupation times of a self-similar Lévy process
Ivanovs, J. & Podolskij, M., Jul 2022, In: Electronic Journal of Statistics. 16, 1, p. 892-934 43 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access3 Citations (Scopus) -
2021
Local asymptotic self-similarity for heavy-tailed harmonizable fractional Lévy motions
Basse-O'Connor, A., Grønbæk, T. Ø. B. & Podolskij, M., Jul 2021, In: ESAIM: Probability & Statistics. 25, p. 286-297 12 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile2 Citations (Scopus)75 Downloads (Pure) -
2020
A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
Basse-O'Connor, A., Podolskij, M. & Thäle, C., 2020, In: Electronic Journal of Probability. 25, p. 1-31 31 p., 31.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
6 Citations (Scopus) -
A minimal contrast estimator for the linear fractional stable motion
Ljungdahl, M. M. & Podolskij, M., Jul 2020, In: Statistical Inference for Stochastic Processes. 23, 2, p. 381-413 33 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
6 Citations (Scopus) -
Edgeworth expansion for Euler approximation of continuous diffusion processes
Podolskij, M., Veliyev, B. & Yoshida, N., Aug 2020, In: Annals of Applied Probability. 30, 4, p. 1971-2003 33 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile4 Citations (Scopus)43 Downloads (Pure) -
Estimation of the linear fractional stable motion
Mazur, S., Otryakhin, D. & Podolskij, M., 2020, In: Bernoulli. 26, 1, p. 226-252 27 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
14 Citations (Scopus) -
Multi-Dimensional Parameter Estimation of Heavy-Tailed Moving Averages
Ljungdahl, M. M. & Podolskij, M., 2020, (Submitted) In: Scandinavian Journal of Statistics.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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2019
A Note on Parametric Estimation of Lévy Moving Average Processes
Ljungdahl, M. M. & Podolskij, M., 2019, Stochastic Models, Statistics and Their Applications, 2019: Dresden, Germany, March 2019. Steland, A., Rafajłowicz, E. & Okhrin, O. (eds.). Cham: Springer, p. 41-56 16 p. (Springer Proceedings in Mathematics and Statistics, Vol. 294).Research output: Contribution to book/anthology/report/proceeding › Article in proceedings › Research › peer-review
3 Citations (Scopus) -
On limit theory for functionals of stationary increments Lévy driven moving averages
Basse-O'Connor, A., Heinrich, C. & Podolskij, M., Sept 2019, In: Electronic Journal of Probability. 24, 42 p., 79.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile9 Citations (Scopus)151 Downloads (Pure) -
The asymptotic error of chaos expansion approximations for stochastic differential equations
Huschto, T., Podolskij, M. & Sager, S., Jun 2019, In: Modern Stochastics: Theory and Applications. 6, 2, p. 145-165 21 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access2 Citations (Scopus) -
2018
A limit theorem for a class of stationary increments Levy moving average process with multiple singularities
Ljungdahl, M. M. & Podolskij, M., Sept 2018, In: Modern Stochastics: Theory and Applications. 5, 3, p. 297–316 20 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile3 Citations (Scopus)102 Downloads (Pure) -
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, M. & Rosenbaum, M., 1 Sept 2018, In: Journal of Financial Econometrics. 16, 4, p. 588-598 11 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
3 Citations (Scopus) -
Edgeworth expansion for Euler approximation of continuous diffusion processes
Podolskij, M., Veliyev, B. & Yoshida, N., 27 Nov 2018, Aarhus: Institut for Økonomi, Aarhus Universitet, 35 p. (CREATES Research Paper; No. 2018-28).Research output: Working paper/Preprint › Working paper › Research
Open AccessFile165 Downloads (Pure) -
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
Christensen, K., Hounyo, U. & Podolskij, M., Aug 2018, In: Journal of Econometrics. 205, 2, p. 336-362 27 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
34 Citations (Scopus) -
On limit theory for Lévy semi-stationary processes
Basse-O'Connor, A., Heinrich, C. & Podolskij, M., Nov 2018, In: Bernoulli. 24, 4A, p. 3117-3146 29 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
8 Citations (Scopus) -
On the minimal number of driving Lévy motions in a multivariate price model
Jacod, J. & Podolskij, M., 1 Sept 2018, In: Journal of Applied Probability. 55, 3, p. 823-833 11 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
File1 Citation (Scopus)256 Downloads (Pure) -
Review of the book "Mod-phi Convergence. Normality Zones and Precise Deviations"
Podolskij, M., 2018, In: Newsletter of the European Mathematical Society.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Review › Communication
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2017
Edgeworth expansion for the pre-averaging estimator
Podolskij, M., Veliyev, B. & Yoshida, N., Nov 2017, In: Stochastic Processes and Their Applications. 127, 11, p. 3558-3595 38 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access -
Estimation of the global regularity of a multifractional Brownian motion
Podolskij, M. & Lebovits, J., 2017, In: Electronic Journal of Statistics. 11, 1, p. 78-98 21 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile8 Citations (Scopus)69 Downloads (Pure) -
Inference from high-frequency data: A subsampling approach
Christensen, K., Podolskij, M., Thamrongrat, N. & Veliyev, B., 1 Apr 2017, In: Journal of Econometrics. 197, 2, p. 245–272 28 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile408 Downloads (Pure) -
On critical cases in limit theory for stationary increments Levy driven moving averages
Podolskij, M. & Basse-O'Connor, A., 2 Jan 2017, In: Stochastics: An International Journal of Probability and Stochastic Processes . 89, 1, p. 360-383 24 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
7 Citations (Scopus) -
On U- and V-statistics for discontinuous Ito semimartingales
Podolskij, M., Schmidt, C. & Vetter, M., Aug 2017, In: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. 53, 3, p. 1007-1050 44 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
1 Citation (Scopus) -
Power variation for a class of stationary increments Levy driven moving averages
Basse-O'Connor, A., Lachieze-Rey, R. & Podolskij, M., 2017, In: Annals of Probability. 45, 6B, p. 4477-4528 52 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile20 Citations (Scopus)132 Downloads (Pure) -
Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Fissler, T. & Podolskij, M., Nov 2017, In: Bernoulli. 23, 4B, p. 3021-3066 46 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
File5 Citations (Scopus)328 Downloads (Pure) -
2016
A weak limit theorem for numerical approximation of Brownian semi-stationary processes
Podolskij, M. & Thamrongrat, N., 2016, Stochastics of Environmental and Financial Economics. Benth, F. E. & Di Nunno, G. (eds.). Springer, p. 101-120 19 p. (Springer Proceedings in Mathematics & Statistics, Vol. 138).Research output: Contribution to book/anthology/report/proceeding › Book chapter › Research › peer-review
Open Access1 Citation (Scopus) -
Edgeworth expansion for functionals of continuous diffusion processes
Podolskij, M. & Yoshida, N., Dec 2016, In: Annals of Applied Probability. 26, 6, p. 3415-3455 41 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile11 Citations (Scopus)290 Downloads (Pure) -
Estimation of the global regularity of a multifractional Brownian motion
Lebovits, J. & Podolskij, M., 9 Dec 2016, Aarhus: Institut for Økonomi, Aarhus Universitet, 17 p. (CREATES Research Paper; No. 2016-33).Research output: Working paper/Preprint › Working paper › Research
Open AccessFile175 Downloads (Pure) -
The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen
Podolskij, M. (Editor), Stelzer, R. (Editor), Thorbjørnsen, S. (Editor) & Veraart, A. (Editor), 2016, Springer. 527 p.Research output: Book/anthology/dissertation/report › Anthology › Research › peer-review
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2015
Ambit fields: survey and new challenges
Podolskij, M., 2015, XI Symposium of Probability and Stochastic Processes: CIMAT, Mexico, November 18-22, 2013. Mena, R. H., Pardo, J. C., Rivero, V. & Bravo, G. U. (eds.). Springer, p. 241-279 39 p. (Progress in Probability, Vol. 69).Research output: Contribution to book/anthology/report/proceeding › Article in proceedings › Research › peer-review
File13 Citations (Scopus)246 Downloads (Pure) -
A weak limit theorem for numerical approximation of Brownian semi-stationary processes
Podolskij, M. & Thamrongrat, N., 26 Nov 2015, Aarhus: Institut for Økonomi, Aarhus Universitet, 19 p. (CREATES Research Paper; No. 2015-53).Research output: Working paper/Preprint › Working paper › Research
Open AccessFile135 Downloads (Pure) -
Edgeworth expansion for the pre-averaging estimator
Podolskij, M., Veliyev, B. & Yoshida, N., 15 Dec 2015, Aarhus: Institut for Økonomi, Aarhus Universitet, 36 p. (CREATES Research Paper; No. 2015-60).Research output: Working paper/Preprint › Working paper › Research
Open AccessFile8 Citations (Scopus)259 Downloads (Pure) -
High-frequency asymptotics for path-dependent functionals of Ito semimartingales
Duembgen, M. & Podolskij, M., 2015, In: Stochastic Processes and Their Applications. 125, 4, p. 1195-1217 23 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
File232 Downloads (Pure) -
On non-standard limits of Brownian semi-stationary processes
Gärtner, K. & Podolskij, M., 2015, In: Stochastic Processes and Their Applications. 125, 2, p. 653-677 25 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
File6 Citations (Scopus)248 Downloads (Pure) -
On U- and V-statistics for discontinuous Itô semimartingale
Podolskij, M., Schmidt, C. & Vetter, M., 26 Nov 2015, Aarhus: Institut for Økonomi, Aarhus Universitet, 44 p. (CREATES Research Paper; No. 2015-52).Research output: Working paper/Preprint › Working paper › Research
Open AccessFile63 Downloads (Pure) -
2014
Asymptotics of weighted random sums
Corcuera, J. M., Nualart, D. & Podolskij, M., 6 Feb 2014, In: Communications in Applied and Industrial Mathematics. 6, 1, e-486.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
File20 Citations (Scopus)257 Downloads (Pure) -
Fact or friction: Jumps at ultra high frequency
Christensen, K., Oomen, R. & Podolskij, M., 2014, In: Journal of Financial Economics. 114, 3, p. 576-599 24 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
119 Citations (Scopus) -
Limit theorems for nondegenerate U-statistics of continuous semimartingales
Podolskij, M., Schmidt, C. & Ziegel, J., 2014, In: Annals of Applied Probability. 24, 6, p. 2491-2526 36 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
1 Citation (Scopus) -
On spectral distribution of high dimensional covariation matrices
Heinrich, C. & Podolskij, M., 15 Dec 2014, Aarhus: Institut for Økonomi, Aarhus Universitet, 20 p. (CREATES Research Paper; No. 2014-54).Research output: Working paper/Preprint › Working paper › Research
File210 Downloads (Pure) -
Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Fissler, T. & Podolskij, M., 15 Dec 2014, Aarhus: Institut for Økonomi, Aarhus Universitet, 41 p. (CREATES Research Paper; No. 2014-52).Research output: Working paper/Preprint › Working paper › Research
File102 Downloads (Pure) -
2013
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
Corcuera, J. M., Hedevang, E., Pakkanen, M. S. & Podolskij, M., 2013, In: Stochastic Processes and Their Applications. 123, 7, p. 2552-2574 23 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
37 Citations (Scopus) -
A test for the rank of the volatility process: The random perturbation approach
Jacod, J. & Podolskij, M., 1 Oct 2013, In: Annals of Statistics. 41, 5, p. 2391-2427 37 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
23 Citations (Scopus) -
Edgeworth expansion for functionals of continuous diffusion processes
Podolskij, M. & Yoshida, N., 21 Oct 2013, Aarhus: Institut for Økonomi, Aarhus Universitet, 46 p. (CREATES Research Paper; No. 2013-33).Research output: Working paper/Preprint › Working paper › Research
File339 Downloads (Pure) -
Goodness-of-fit testing for fractional diffusions
Podolskij, M. & Wasmuth, K., 1 Jul 2013, In: Statistical Inference for Stochastic Processes. 16, 2, p. 147-159 13 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
2 Citations (Scopus) -
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
Barndorff-Nielsen, O. E., Corcuera, J. M. & Podolskij, M., 2013, Prokhorov and contemporary probability theory: In Honor of Yuri V. Prokhorov. Shiryaev, A. N., Varadhan, S. R. S. & Presman, E. L. (eds.). Springer, p. 69-96 28 p. (Springer Proceedings in Mathematics and Statistics, Vol. 33).Research output: Contribution to book/anthology/report/proceeding › Book chapter › Research › peer-review
25 Citations (Scopus) -
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
Christensen, K., Podolskij, M. & Vetter, M., 2013, In: Journal of Multivariate Analysis. 120, p. 59-84Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
40 Citations (Scopus) -
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
Hautsch, N. & Podolskij, M., 1 Apr 2013, In: Journal of Business and Economic Statistics. 31, 2, p. 165-183 19 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
58 Citations (Scopus) -
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: theory, implementation, and empirical evidence
Hautsch, N. & Podolskij, M., 2013, In: Journal of Business and Economic Statistics. 31, 2, p. 165-183 18 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review