Search Results - "Podolskij, Mark"

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

“…In this paper, we propose a nonparametric way to test the hypothesis that time-variation in intraday volatility is caused solely by a deterministic and…”
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Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps by PODOLSKIJ, MARK, VETTER, MATHIAS

“…We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for…”
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Microstructure noise in the continuous case: The pre-averaging approach by Jacod, Jean, Li, Yingying, Mykland, Per A., Podolskij, Mark, Vetter, Mathias

“…This paper presents a generalized pre-averaging approach for estimating the integrated volatility, in the presence of noise. This approach also provides…”
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Fact or friction: Jumps at ultra high frequency by Christensen, Kim, Oomen, Roel C.A., Podolskij, Mark

“…This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of…”
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EDGEWORTH EXPANSION FOR FUNCTIONALS OF CONTINUOUS DIFFUSION PROCESSES by Podolskij, Mark, Yoshida, Nakahiro

“…This paper presents new results on the Edgeworth expansion for high frequency functional of continuous diffusion processes. We derive asymptotic expansions for…”
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EDGEWORTH EXPANSION FOR EULER APPROXIMATION OF CONTINUOUS DIFFUSION PROCESSES by Podolskij, Mark, Veliyev, Bezirgen, Yoshida, Nakahiro

“…In this paper we present the Edgeworth expansion for the Euler approximation scheme of a continuous diffusion process driven by a Brownian motion. Our…”
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A TEST FOR THE RANK OF THE VOLATILITY PROCESS: THE RANDOM PERTURBATION APPROACH by Jacod, Jean, Podolskij, Mark

“…In this paper, we present a test for the maximal rank of the matrix-valued volatility process in the continuous Itô semimartingale framework. Our idea is based…”
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Optimal estimation of the local time and the occupation time measure for an α-stable Lévy process by Amorino, Chiara, Jaramillo, Arturo, Podolskij, Mark

“…A novel theoretical result on estimation of the local time and the occupation time measure of an α-stable Lévy process with $\alpha \in (1,2)$ is presented…”
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POWER VARIATION FOR A CLASS OF STATIONARY INCREMENTS LÉVY DRIVEN MOVING AVERAGES by Basse-O'Connor, Andreas, Lachièze-Rey, Raphaël, Podolskij, Mark

“…In this paper, we present some new limit theorems for power variation of kth order increments of stationary increments Lévy driven moving averages. In the…”
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Edgeworth expansion for the pre-averaging estimator by Podolskij, Mark, Veliyev, Bezirgen, Yoshida, Nakahiro

“…In this paper, we study the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed…”
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On limit theory for Lévy semi-stationary processes by BASSE-O'CONNOR, ANDREAS, HEINRICH, CLAUDIO, PODOLSKIJ, MARK

“…In this paper, we present some limit theorems for power variation of Lévy semi-stationary processes in the setting of infill asymptotics. Lévy semi-stationary…”
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Understanding limit theorems for semimartingales: a short survey by Podolskij, Mark, Vetter, Mathias

“…This paper presents a short survey on limit theorems for certain functionals of semimartingales that are observed at high frequency. Our aim is to explain the…”
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The asymptotic error of chaos expansion approximations for stochastic differential equations by Huschto, Tony, Podolskij, Mark, Sager, Sebastian

“…In this paper we present a numerical scheme for stochastic differential equations based upon the Wiener chaos expansion. The approximation of a square…”
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A note on the central limit theorem for bipower variation of general functions by Kinnebrock, Silja, Podolskij, Mark

“…In this paper we present a central limit theorem for general functions of the increments of Brownian semimartingales. This provides a natural extension of the…”
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A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities by Ljungdahl, Mathias Mørck, Podolskij, Mark

“…In this paper we present some new limit theorems for power variations of stationary increment Lévy driven moving average processes. Recently, such asymptotic…”
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Multipower variation for Brownian semistationary processes by BARNDORFF-NIELSEN, OLE E., CORCUERA, JOSÉ MANUEL, PODOLSKIJ, MARK

“…In this paper we study the asymptotic behaviour of power and multipower variations of processes Y=$\int {_{ - \infty }^t } \,g(t - s)\sigma _s W(ds) + Z_t ,$…”
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Testing the parametric form of the volatility in continuous time diffusion models—a stochastic process approach by Dette, Holger, Podolskij, Mark

“…We present new tests for the form of the volatility function which are based on stochastic processes of the integrated volatility. We prove weak convergence of…”
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Estimation of mixed fractional stable processes using high-frequency data by Mies, Fabian, Podolskij, Mark

“…The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable Lévy processes, and fractional Brownian motion…”
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Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing by DETTE, HOLGER, PODOLSKIJ, MARK, VETTER, MATHIAS

“…Properties of a specification test for the parametric form of the variance function in diffusion processes are discussed. The test is based on the estimation…”
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On estimation of quadratic variation for multivariate pure jump semimartingales by Heiny, Johannes, Podolskij, Mark

“…In this paper we present the asymptotic analysis of the realised quadratic variation for multivariate symmetric β-stable Lévy processes, β∈(0,2), and certain…”
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