Mark Podolskij

Mark Podolskij

Université du Luxembourg - Esch-sur-Alzette / Luxembourg
Natural Sciences / Mathematical Sciences
AD Scientific Index ID: 1851129
University of Luxembourg Universität Luxemburg
person_outline Mark Podolskij's MOST POPULAR ARTICLES
1-) Microstructure noise in the continuous case: the pre-averaging approachJ Jacod, Y Li, PA Mykland, M Podolskij, M VetterStochastic processes and their applications 119 (7), 2249-2276, 20097582009
2-) A central limit theorem for realised power and bipower variations of continuous semimartingalesOE Barndorff–Nielsen, SE Graversen, J Jacod, M Podolskij, N ShephardFrom stochastic calculus to mathematical finance, 33-68, 20063762006
3-) Realized range-based estimation of integrated varianceK Christensen, M PodolskijJournal of Econometrics 141 (2), 323-349, 20073372007
4-) Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumpsM Podolskij, M Vetter3542009
5-) Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous dataK Christensen, S Kinnebrock, M PodolskijJournal of econometrics 159 (1), 116-133, 20103212010