Kim Christensen
Personal Details
First Name: | Kim |
Middle Name: | |
Last Name: | Christensen |
Suffix: | |
RePEc Short-ID: | pch745 |
| |
Affiliation
Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Aarhus, Denmarkhttp://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Kim Christensen & Mark Podolskij & Nopporn Thamrongrat & Bezirgen Veliyev, 2015.
"Inference from high-frequency data: A subsampling approach,"
CREATES Research Papers
2015-45, Department of Economics and Business Economics, Aarhus University.
- Christensen, K. & Podolskij, M. & Thamrongrat, N. & Veliyev, B., 2017. "Inference from high-frequency data: A subsampling approach," Journal of Econometrics, Elsevier, vol. 197(2), pages 245-272.
- Kim Christensen & Mark Podolskij, 2011.
"Asymptotic theory of range-based multipower variation,"
CREATES Research Papers
2011-47, Department of Economics and Business Economics, Aarhus University.
- Kim Christensen & Mark Podolskij, 2012. "Asymptotic Theory of Range-Based Multipower Variation," Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 417-456, June.
- Kim Christensen & Roel Oomen & Mark Podolskij, 2011.
"Fact or friction: Jumps at ultra high frequency,"
CREATES Research Papers
2011-19, Department of Economics and Business Economics, Aarhus University.
- Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
- Kim Christensen & Mark Podolskij & Mathias Vetter, 2011.
"On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes,"
CREATES Research Papers
2011-53, Department of Economics and Business Economics, Aarhus University.
- Christensen, Kim & Podolskij, Mark & Vetter, Mathias, 2013. "On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 59-84.
- 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, Department of Economics and Business Economics, Aarhus University.
- Christensen, Kim & Kinnebrock, Silja & Podolskij, Mark, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Journal of Econometrics, Elsevier, vol. 159(1), pages 116-133, November.
- Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Post-Print hal-00732537, HAL.
- Kim Christensen & Roel Oomen & Mark Podolskij, 2009.
"Realised Quantile-Based Estimation of the Integrated Variance,"
CREATES Research Papers
2009-27, Department of Economics and Business Economics, Aarhus University.
- Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010. "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 74-98, November.
- Kim Christensen & Roel Oomen & Mark Podolskij, 2010. "Realised quantile-based estimation of the integrated variance," Post-Print hal-00732538, HAL.
- Christensen, Kim & Podolskij, Mark & Vetter, Mathias, 2006.
"Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise,"
Technical Reports
2006,52, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- 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.
- Christensen, Kim & Podolskij, Mark, 2006. "Range-Based Estimation of Quadratic Variation," Technical Reports 2006,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Christensen, Kim & Podolski, Mark, 2005. "Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale," Technical Reports 2005,18, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
Articles
- Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014.
"Fact or friction: Jumps at ultra high frequency,"
Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
- Kim Christensen & Roel Oomen & Mark Podolskij, 2011. "Fact or friction: Jumps at ultra high frequency," CREATES Research Papers 2011-19, Department of Economics and Business Economics, Aarhus University.
- Christensen, Kim & Podolskij, Mark & Vetter, Mathias, 2013.
"On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes,"
Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 59-84.
- Kim Christensen & Mark Podolskij & Mathias Vetter, 2011. "On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes," CREATES Research Papers 2011-53, Department of Economics and Business Economics, Aarhus University.
- Kim Christensen & Mark Podolskij, 2012.
"Asymptotic Theory of Range-Based Multipower Variation,"
Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 417-456, June.
- Kim Christensen & Mark Podolskij, 2011. "Asymptotic theory of range-based multipower variation," CREATES Research Papers 2011-47, Department of Economics and Business Economics, Aarhus University.
- Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010.
"Realised quantile-based estimation of the integrated variance,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 74-98, November.
- Kim Christensen & Roel Oomen & Mark Podolskij, 2010. "Realised quantile-based estimation of the integrated variance," Post-Print hal-00732538, HAL.
- Kim Christensen & Roel Oomen & Mark Podolskij, 2009. "Realised Quantile-Based Estimation of the Integrated Variance," CREATES Research Papers 2009-27, Department of Economics and Business Economics, Aarhus University.
- Christensen, Kim & Kinnebrock, Silja & Podolskij, Mark, 2010.
"Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 116-133, November.
- Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Post-Print hal-00732537, HAL.
- 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, Department of Economics and Business Economics, Aarhus University.
- 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.
- Christensen, Kim & Podolskij, Mark & Vetter, Mathias, 2006. "Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise," Technical Reports 2006,52, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Christensen, Kim & Podolskij, Mark, 2007. "Realized range-based estimation of integrated variance," Journal of Econometrics, Elsevier, vol. 141(2), pages 323-349, December.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (5) 2009-07-03 2009-10-10 2011-06-04 2011-12-19 2015-10-04. Author is listed
- NEP-ETS: Econometric Time Series (5) 2009-07-03 2009-10-10 2011-06-04 2011-12-19 2015-10-04. Author is listed
- NEP-MST: Market Microstructure (4) 2009-07-03 2009-10-10 2011-06-04 2011-12-19
- NEP-ICT: Information and Communication Technologies (1) 2015-10-04
- NEP-RMG: Risk Management (1) 2011-06-04
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.
To update listings or check citations waiting for approval, Kim Christensen should log into the RePEc Author Service.
To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.
To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.
Please note that most corrections can take a couple of weeks to filter through the various RePEc services.