Mark Podolskij

Microstructure noise in the continuous case: The pre-averaging approach

Jean Jacod, Yingying Li, Per A. Mykland et al. · Stochastic Processes and their Applications · 2008 · 713 citations

Noise, Stochastic Resonance, Stochastic Geometry +3

Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

Mark Podolskij, Mathias Vetter · Bernoulli · 2009 · 309 citations · Full text

Volatility Modeling, Integrated Volatility, Engineering +18

Realized range-based estimation of integrated variance

Kim Christensen, Mark Podolskij · Journal of Econometrics · 2006 · 245 citations · Full text

Parameter Estimation, Engineering, Synthetic Aperture Radar +7

Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence

Nikolaus Hautsch, Mark Podolskij · Journal of Business and Economic Statistics · 2013 · 112 citations

Bipower-type estimation in a noisy diffusion setting

Mark Podolskij, Mathias Vetter · Stochastic Processes and their Applications · 2009 · 111 citations

Density Estimation, Engineering, Inverse Problems +5