Publications (28)
Estimation of the linear fractional stable motion
Stepan Mazur, Dmitry Otryakhin, Mark Podolskij
On non-standard limits of Brownian semi-stationary processes
Kerstin Gaertner, Mark Podolskij
Quantitative Breuer-Major Theorems
Ivan Nourdin, Giovanni Peccati, Mark Podolskij
The asymptotic error of chaos expansion approximations for stochastic differential equations
Tony Huschto, Mark Podolskij, Sebastian Sager
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Mark Podolskij, Mathias Vetter
Asymptotic behavior of local times related statistics for fractional Brownian motion
Mark Podolskij, Mathieu Rosenbaum
On spectral distribution of high dimensional covariation matrices
Claudio Heinrich, Mark Podolskij
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
José Manuel Corcuera, Emil Hedevang, Mikko S. Pakkanen +1
Multipower variation for Brownian semistationary processes
Ole E. Barndorff-Nielsen, José Manuel Corcuera, Mark Podolskij
A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities
Mathias Mørck Ljungdahl, Mark Podolskij
Limit theorems for moving averages of discretized processes plus noise
Jean Jacod, Mark Podolskij, Mathias Vetter
Limit theorems for a class of stationary increments Levy driven moving averages
Andreas Basse-O'Connor, Raphaël Lachièze-Rey, Mark Podolskij
On U- and V-statistics for discontinuous Ito semimartingales
Mark Podolskij, Christian Schmidt, Mathias Vetter
On limit theory for functionals of stationary increments Levy driven moving averages
Andreas Basse-O'Connor, Claudio Heinrich, Mark Podolskij
Local asymptotic self-similarity for heavy tailed harmonizable fractional Lévy motions
Andreas Basse-O'Connor, Thorbjørn Grønbæk, Mark Podolskij
Edgeworth expansion for the pre-averaging estimator
Mark Podolskij, Bezirgen Veliyev, Nakahiro Yoshida
Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Tobias Fissler, Mark Podolskij
Limit theorems for nondegenerate U-statistics of continuous semimartingales
Mark Podolskij, Christian Schmidt, Johanna F. Ziegel
Limit theorems for stationary increments Lévy driven moving averages
Andreas Basse-O'Connor, Raphaël Lachièze-Rey, Mark Podolskij
On limit theory for Levy semi-stationary processes
Andreas Basse-O'Connor, Claudio Heinrich, Mark Podolskij
Edgeworth expansion for Euler approximation of continuous diffusion processes
Mark Podolskij, Bezirgen Veliyev, Nakahiro Yoshida
High-frequency asymptotics for path-dependent functionals of Ito semimartingales
Moritz Duembgen, Mark Podolskij
Asymptotics of weighted random sums
José Manuel Corcuera, David Nualart, Mark Podolskij
Ambit fields: survey and new challenges
Mark Podolskij
Estimation of the global regularity of a multifractional Brownian motion
Joachim Lebovits, Mark Podolskij
A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
Andreas Basse-O'Connor, Mark Podolskij, Christoph Thäle
Edgeworth expansion for functionals of continuous diffusion processes
Mark Podolskij, Nakahiro Yoshida
A test for the rank of the volatility process: the random perturbation approach
Jean Jacod, Mark Podolskij