| Realized range-based estimation of integrated variance K Christensen, M Podolskij Journal of Econometrics 141 (2), 323-349, 2007 | 371 | 2007 |
| Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data K Christensen, S Kinnebrock, M Podolskij Journal of econometrics 159 (1), 116-133, 2010 | 285 | 2010 |
| Fact or friction: Jumps at ultra high frequency K Christensen, R Oomen, M Podolskij Journal of Financial Economics 114 (3), 576-599, 2014 | 228 | 2014 |
| Realised quantile-based estimation of the integrated variance K Christensen, R Oomen, M Podolskij Journal of Econometrics 159 (1), 74-98, 2010 | 175 | 2010 |
| On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes K Christensen, M Podolskij, M Vetter Journal of Multivariate Analysis 120 (1), 59-84, 2013 | 81 | 2013 |
| Asymptotic theory of range-based multipower variation K Christensen, M Podolskij Journal of Financial Econometrics 10 (3), 417-456, 2012 | 72* | 2012 |
| The drift burst hypothesis K Christensen, R Oomen, R Renò Journal of Econometrics 227 (2), 461-497, 2022 | 58 | 2022 |
| Bias-correcting the realized range-based variance in the presence of market microstructure noise K Christensen, M Podolskij, M Vetter Finance and Stochastics 13, 239-268, 2009 | 55 | 2009 |
| Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment K Christensen, U Hounyo, M Podolskij Journal of Econometrics 205 (2), 336-362, 2018 | 39 | 2018 |
| High-frequency trading during flash crashes: Walk of fame or hall of shame? M Bellia, K Christensen, A Kolokolov, L Pelizzon, R Renò SAFE Working Paper, 2022 | 37 | 2022 |
| A machine learning approach to volatility forecasting K Christensen, M Siggaard, B Veliyev Available at SSRN, 2021 | 35 | 2021 |
| A GMM approach to estimate the roughness of stochastic volatility AE Bolko, K Christensen, MS Pakkanen, B Veliyev Journal of Econometrics, 2022 | 29* | 2022 |
| Inference from high-frequency data: A subsampling approach K Christensen, M Podolskij, N Thamrongrat, B Veliyev Journal of Econometrics 197 (2), 245-272, 2017 | 22 | 2017 |
| The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing K Christensen, M Thyrsgaard, B Veliyev Journal of Econometrics 212 (2), 556-583, 2019 | 9 | 2019 |
| The economic value of VIX ETPs K Christensen, C Christiansen, AM Posselt Journal of Empirical Finance 58 (1), 121-138, 2020 | 7 | 2020 |
| An unbounded intensity model for point processes K Christensen, A Kolokolov futures 106, 107, 2022 | 1 | 2022 |
| High-dimensional estimation of quadratic variation based on penalized realized variance K Christensen, MS Nielsen, M Podolskij Statistical Inference for Stochastic Processes 26 (2), 331-359, 2023 | | 2023 |
| Warp Speed Price Moves: Jumps after Earnings Announcements K Christensen, A Timmermann, B Veliyev Available at SSRN 4422376, 2023 | | 2023 |
| Do designated market makers provide liquidity during a flash crash? M Bellia, K Christensen, A Kolokolov, L Pelizzon, R Renò SAFE Working Paper, 2022 | | 2022 |
| REALIZED PRINCIPAL COMPONENT ANALYSIS OF NOISY HIGH-FREQUENCY DATA F Benvenuti, K Christensen, B Veliyev | | |
Mark PodolskijProfessor of Probability and Statistics, University of LuxembourgVerified email at uni.lu
