Mark Podolskij

Publication Activity (10 Years)

Years Active: 2009-2018
Publications (10 Years): 1

Top Topics

Signal Subspace

Estimation Error

Top Venues

J. Appl. Probab.

J. Multivar. Anal.

Publications

Jean Jacod, Mark Podolskij
On the minimal number of driving Lévy motions in a multivariate price model. J. Appl. Probab. 55 (3) (2018)
Kim Christensen, Mark Podolskij, Mathias Vetter
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes. J. Multivar. Anal. 120 (2013)
Kim Christensen, Mark Podolskij, Mathias Vetter
Bias-correcting the realized range-based variance in the presence of market microstructure noise. Finance Stochastics 13 (2) (2009)