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Kim Christensen

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First Name:Kim
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Last Name:Christensen
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RePEc Short-ID:pch745
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Location: Aarhus, Denmark
Homepage: http://www.creates.au.dk/
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Postal: Building 1322, DK-8000 Aarhus C
Handle: RePEc:edi:creaudk (more details at EDIRC)
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  1. 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.
  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 & 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.
  4. 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.
  5. 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.
  6. 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.
  7. Christensen, Kim & Podolskij, Mark, 2006. "Range-Based Estimation of Quadratic Variation," Technical Reports 2006,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  8. 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.
  1. 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.
  2. 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.
  3. Kim Christensen & Mark Podolskij, 2012. "Asymptotic Theory of Range-Based Multipower Variation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(3), pages 417-456, June.
  4. 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.
  5. 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.
  6. 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.
  7. Christensen, Kim & Podolskij, Mark, 2007. "Realized range-based estimation of integrated variance," Journal of Econometrics, Elsevier, vol. 141(2), pages 323-349, December.
4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (4) 2009-07-03 2009-10-10 2011-06-04 2011-12-19. Author is listed
  2. NEP-ETS: Econometric Time Series (4) 2009-07-03 2009-10-10 2011-06-04 2011-12-19. Author is listed
  3. NEP-MST: Market Microstructure (4) 2009-07-03 2009-10-10 2011-06-04 2011-12-19. Author is listed
  4. NEP-RMG: Risk Management (1) 2011-06-04. Author is listed

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