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Information about:
Kim Christensen

Personal Details | Affiliation | Works

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Personal Details

First Name: Kim
Middle Name:
Last Name: Christensen
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RePEc Short-ID: pch745

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Homepage:
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Affiliation

(in no particular order)

Center for Research in Econometric Analysis of Time Series (CREATES)
Aarhus Universitet
Location: Aarhus, Denmark
Homepage: http://www.creates.au.dk/en
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Postal: Building 1322, DK-8000 Aarhus C
Handle: RePEc:edi:creaudk (registered authors at this institution)

Works

Working papers

Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2009. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," CREATES Research Papers 2009-45, School of Economics and Management, University of Aarhus. [Downloadable!]
Kim Christensen & Roel Oomen & Mark Podolskij, 2009. "Realised Quantile-Based Estimation of the Integrated Variance," CREATES Research Papers 2009-27, School of Economics and Management, University of Aarhus. [Downloadable!]

Articles

Kim Christensen & Mark Podolskij & Mathias Vetter, 2009. "Bias-correcting the realized range-based variance in the presence of market microstructure noise," Finance and Stochastics, Springer, vol. 13(2), pages 239-268, April. [Downloadable!] (restricted)
Christensen, Kim & Podolskij, Mark, 2007. "Realized range-based estimation of integrated variance," Journal of Econometrics, Elsevier, vol. 141(2), pages 323-349, December. [Downloadable!] (restricted)

NEP Fields

2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):

NEP-ECM: Econometrics (2) 2009-07-03 2009-10-10 Author is listed
NEP-ETS: Econometric Time Series (2) 2009-07-03 2009-10-10 Author is listed
NEP-MST: Market Microstructure (2) 2009-07-03 2009-10-10 Author is listed

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This page was last updated on 2009-11-14.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.