Kim Christensen
Kim Christensen
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Realized range-based estimation of integrated variance
K Christensen, M Podolskij
Journal of Econometrics 141 (2), 323-349, 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
Fact or friction: Jumps at ultra high frequency
K Christensen, R Oomen, M Podolskij
Journal of Financial Economics 114 (3), 576-599, 2014
Realised quantile-based estimation of the integrated variance
K Christensen, R Oomen, M Podolskij
Journal of Econometrics 159 (1), 74-98, 2010
A machine learning approach to volatility forecasting
K Christensen, M Siggaard, B Veliyev
Journal of Financial Econometrics 21 (5), 1680-1727, 2023
On covariation estimation for multivariate continuous ItŰ semimartingales with noise in non-synchronous observation schemes
K Christensen, M Podolskij, M Vetter
Journal of Multivariate Analysis 120 (1), 59-84, 2013
The drift burst hypothesis
K Christensen, R Oomen, R RenÚ
Journal of Econometrics 227 (2), 461-497, 2022
Asymptotic theory of range-based multipower variation
K Christensen, M Podolskij
Journal of Financial Econometrics 10 (3), 417-456, 2012
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
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
Do Designated Market Makers Provide Liquidity During Extreme Price Movements?
M Bellia, K Christensen, A Kolokolov, L Pelizzon, R Reno
Available at SSRN 4705101, 2023
A GMM approach to estimate the roughness of stochastic volatility
AE Bolko, K Christensen, MS Pakkanen, B Veliyev
Journal of Econometrics 235 (2), 745-778, 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
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
The economic value of VIX ETPs
K Christensen, C Christiansen, AM Posselt
Journal of Empirical Finance 58 (1), 121-138, 2020
Warp speed price moves: Jumps after earnings announcements
K Christensen, A Timmermann, B Veliyev
Available at SSRN 4422376, 2023
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
An unbounded intensity model for point processes
K Christensen, A Kolokolov
Available at SSRN 4513848, 2023
Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility
M Bennedsen, K Christensen, P Christensen
arXiv preprint arXiv:2403.12653, 2024
Warp Speed Price Moves: Jumps after Earnings Announcements
A Timmermann, K Christensen, B Veliyev
CEPR Discussion Papers, 2023
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