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Mark Podolskij

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Personal Details

First Name: Mark
Middle Name:
Last Name: Podolskij
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RePEc Short-ID: ppo225

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Homepage: http://www.math.ethz.ch/~podolski/
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Affiliation

(in no particular order)

Works

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Working papers

  1. Kim Christensen & Roel Oomen & Mark Podolskij, 2011. "Fact or friction: Jumps at ultra high frequency," CREATES Research Papers 2011-19, School of Economics and Management, University of Aarhus.
  2. Kim Christensen & Mark Podolskij, 2011. "Asymptotic theory of range-based multipower variation," CREATES Research Papers 2011-47, School of Economics and Management, University of Aarhus.
  3. 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, School of Economics and Management, University of Aarhus.
  4. Mark Podolskij & Mathieu Rosenbaum, 2011. "Testing the local volatility assumption: a statistical approach," CREATES Research Papers 2011-04, School of Economics and Management, University of Aarhus.
  5. Ivan Nourdin & Giovanni Peccati & Mark Podolskij, 2010. "Quantitative Breuer-Major Theorems," CREATES Research Papers 2010-22, School of Economics and Management, University of Aarhus.
  6. Nikolaus Hautsch & Mark Podolskij, 2010. "Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence," CREATES Research Papers 2010-29, School of Economics and Management, University of Aarhus.
  7. 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.
  8. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009. "Limit theorems for functionals of higher order differences of Brownian semi-stationary processes," CREATES Research Papers 2009-60, School of Economics and Management, University of Aarhus.
  9. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009. "Multipower Variation for Brownian Semistationary Processes," CREATES Research Papers 2009-21, School of Economics and Management, University of Aarhus.
  10. Mark Podolskij & Mathias Vetter, 2009. "Understanding limit theorems for semimartingales: a short survey," CREATES Research Papers 2009-47, School of Economics and Management, University of Aarhus.
  11. 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.
  12. Silja Kinnebrock & Mark Podolskij, 2008. "An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models," OFRC Working Papers Series 2008fe25, Oxford Financial Research Centre.
  13. Mark Podolskij & Daniel Ziggel, 2008. "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers 2008-22, School of Economics and Management, University of Aarhus.
  14. Mark Podolskij & Mathias Vetter, 2008. "Bipower-type estimation in a noisy diffusion setting," CREATES Research Papers 2008-25, School of Economics and Management, University of Aarhus.
  15. Mark Podolskij & Daniel Ziggel, 2008. "New tests for jumps: a threshold-based approach," CREATES Research Papers 2008-34, School of Economics and Management, University of Aarhus.
  16. Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter, 2007. "Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9," CREATES Research Papers 2007-43, School of Economics and Management, University of Aarhus.
  17. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2007. "Power variation for Gaussian processes with stationary increments," CREATES Research Papers 2007-42, School of Economics and Management, University of Aarhus.
  18. Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2007. "Microstructure noise in the continuous case: the pre-averaging approach," Technical Reports 2007,41, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  19. Silja Kinnebrock & Mark Podolskij, 2007. "A Note on the Central Limit Theorem for Bipower Variation of General Functions," OFRC Working Papers Series 2007fe03, Oxford Financial Research Centre.
  20. Mark Podolskij & Mathias Vetter, 2007. "Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps," CREATES Research Papers 2007-27, School of Economics and Management, University of Aarhus.
  21. 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.
  22. Christensen, Kim & Podolskij, Mark, 2006. "Range-Based Estimation of Quadratic Variation," Technical Reports 2006,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  23. Dette, Holger & Podolskij, Mark, 2005. "Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach," Technical Reports 2005,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  24. Vetter, Mathias & Podolskij, Mark & Dette, Holger, 2004. "Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing," Technical Reports 2004,32, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  25. Ole Barndorff-Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard, 2004. "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," Economics Papers 2004-W29, Economics Group, Nuffield College, University of Oxford.

Articles

  1. Mark Podolskij & Mathieu Rosenbaum, 2012. "Testing the local volatility assumption: a statistical approach," Annals of Finance, Springer, vol. 8(1), pages 31-48, February.
  2. Nourdin, Ivan & Peccati, Giovanni & Podolskij, Mark, 2011. "Quantitative Breuer-Major theorems," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 121(4), pages 793-812, April.
  3. 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, Elsevier, vol. 159(1), pages 116-133, November.
  4. Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010. "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, Elsevier, vol. 159(1), pages 74-98, November.
  5. M. Podolskij & D. Ziggel, 2010. "New tests for jumps in semimartingale models," Statistical Inference for Stochastic Processes, Springer, vol. 13(1), pages 15-41, April.
  6. Mark Podolskij & Mathias Vetter, 2010. "Understanding limit theorems for semimartingales: a short survey," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 329-351.
  7. Podolskij, Mark & Vetter, Mathias, 2009. "Bipower-type estimation in a noisy diffusion setting," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 119(9), pages 2803-2831, September.
  8. Barndorff-Nielsen, Ole E. & Corcuera, José Manuel & Podolskij, Mark, 2009. "Power variation for Gaussian processes with stationary increments," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 119(6), pages 1845-1865, June.
  9. 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.
  10. Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2009. "Microstructure noise in the continuous case: The pre-averaging approach," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 119(7), pages 2249-2276, July.
  11. Kinnebrock, Silja & Podolskij, Mark, 2008. "A note on the central limit theorem for bipower variation of general functions," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 118(6), pages 1056-1070, June.
  12. Dette, Holger & Podolskij, Mark, 2008. "Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach," Journal of Econometrics, Elsevier, Elsevier, vol. 143(1), pages 56-73, March.
  13. Christensen, Kim & Podolskij, Mark, 2007. "Realized range-based estimation of integrated variance," Journal of Econometrics, Elsevier, Elsevier, vol. 141(2), pages 323-349, December.
  14. Holger Dette & Mark Podolskij & Mathias Vetter, 2006. "Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 259-278.

NEP Fields

23 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (21) 2004-12-12 2004-12-20 2007-03-03 2008-05-24 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2009-06-03 2009-07-03 2009-10-10 2009-10-10 2010-05-29 2010-08-28 2011-01-30 2011-06-04 2011-12-19. Author is listed
  2. NEP-ETS: Econometric Time Series (20) 2007-03-03 2008-05-24 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2009-06-03 2009-07-03 2009-10-10 2009-10-10 2010-01-16 2010-08-28 2011-01-30 2011-06-04 2011-12-19. Author is listed
  3. NEP-FMK: Financial Markets (1) 2008-06-27
  4. NEP-MST: Market Microstructure (16) 2007-03-03 2008-05-24 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2009-07-03 2009-10-10 2009-10-10 2010-08-28 2011-06-04 2011-12-19. Author is listed
  5. NEP-ORE: Operations Research (1) 2010-05-29
  6. NEP-RMG: Risk Management (1) 2011-06-04

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