Professor Mark Podolskij


INF 294
69120 Heidelberg
Germany


My group

Teaching

Research Interests

  • Inference for semimartingales, asymptotic theory for high-frequency data, tests in diffusion models, multiple stochastic integrals, Malliavin calculus, inference for Gaussian processes, Stein's method, fractional integration

Publications

Papers

  • K. Christensen, R. Oomen and M. Podolskij (2014): Fact or friction: Jumps at ultra high frequency. to appear in Journal of Financial Economics (pdf)
  • M. Podolskij, C. Schmidt and J. Fasciati Ziegel (2013): Limit theorems for non-degenerate U-statistics of continuous semimartingales. to appear in Annals of Applied Probability (pdf)
  • J. Jacod and M. Podolskij (2013): A test for the rank of the volatility process: the random perturbation approach. to appear in Annals of Statistics (pdf)
  • K. Christensen, M. Podolskij and M. Vetter (2013): On covariation estimation for multivariate continuous Ito semimartingales with noise in non-synchronous observation schemes. Journal of Multivariate Analysis 120, 59-84 (pdf)
  • J.M. Corcuera, E. Hedevang, M. Pakkanen and M. Podolskij (2013): Asymptotic theory for Brownian semi-stationary processes with application to turbulence. Stochastic Processes and Their Applications 123, 2552-2574 (pdf)
  • M. Podolskij and K. Wasmuth (2013): Goodness-of-fit testing for fractional diffusions. Statistical Inference for Stochastic Processes 16(2), 147-159 (pdf)
  • N. Hautsch and M. Podolskij (2013): Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: theory, implementation, and empirical evidence. Journal of Business and Economic Statistics 31(2), 165-183 (pdf)
  • O. E. Barndorff-Nielsen, J. M. Corcuera and M. Podolskij (2013): Limit theorems for functionals of higher order differences of Brownian semi-stationary processes. In "Prokhorov and Contemporary Probability Theory: In Honor of Yuri V. Prokhorov", eds. A.N. Shiryaev, S.R.S. Varadhan and E.L. Presman. Springer. (pdf)
  • K. Christensen and M. Podolskij (2012): Asymptotic theory of range-based multipower variation. Journal of Financial Econometrics 10(3), 417-456 (pdf)
  • M. Podolskij and M. Rosenbaum (2011): Testing the local volatility assumption: a statistical approach. Annals of Finance 8(1), 31-48 (pdf)
  • O. E. Barndorff-Nielsen, J. M. Corcuera and M. Podolskij (2011): Multipower variation for Brownian semi-stationary processes. Bernoulli 17(4), 1159-1194 (pdf)
  • I. Nourdin, G. Peccati and M. Podolskij (2010): Quantitative Breuer-Major theorems. Stochastic Processes and Their Applications 121, 793-812 (pdf)
  • K. Christensen, S. Kinnebrock and M. Podolskij (2010): Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. Journal of Econometrics 159, 116-133 (pdf)
  • K. Christensen, R. Oomen and M. Podolskij (2010): Realised quantile-based estimation of the integrated variance. Journal of Econometrics 159, 74-98 (pdf) (MatLabCode)
  • M. Podolskij (2010): Semimartingales. Encyclopedia of Quantative Finance, R. Cont eds.
  • M. Podolskij and M. Vetter (2010): Understanding limit theorems for semimartingales: a short survey. Statistica Nederlandica 64(3), 329-351 (pdf)
  • J. Jacod, M. Podolskij and M. Vetter (2010): Limit theorems for moving averages of discretized processes plus noise. Annals of Statistics 38(3), 1478-1545 (pdf)
  • M. Podolskij and D. Ziggel (2010): New tests for jumps in semimartingale models. Statistical Inference for Stochastic Processes 13(1), 15-41 (pdf)
  • M. Podolskij and M. Vetter (2009): Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps. Bernoulli 15(3), 634-658 (pdf)
  • Podolskij and M. Vetter (2009): Bipower-type estimation in a noisy diffusion setting. Stochastic Processes and Their Applications 119, 2803-2831 (pdf)
  • O. E. Barndorff-Nielsen, J. M. Corcuera, M. Podolskij and J. H. C. Woerner (2009): Bipower variation for Gaussian processes with stationary increments. Journal of Applied Probability 46, 132-150 (pdf)
  • O. E. Barndorff-Nielsen, J. M. Corcuera and M. Podolskij (2009): Power variation for Gaussian processes with stationary increments. Stochastic Processes and Their Applications 119, 1845-1865 (pdf) Corrected proof.(pdf)
  • J. Jacod, Y. Li, P. Mykland, M. Podolskij and M. Vetter (2009): Microstructure noise in the continuous case: the pre-averaging approach. Stochastic Processes and Their Applications 119, 2249-2276 (pdf)
  • K. Christensen, M. Podolskij and M. Vetter (2009): Bias-correcting the realised range-based variance in the presence of market microstructure noise. Finance and Stochastics 13(2), 239-268 (pdf)
  • S. Kinnebrock and M. Podolskij (2008): A note on the central limit theorem for bipower variation of general functions. Stochastic Processes and Their Applications 118, 1056-1070 (pdf)
  • H. Dette and M. Podolskij (2008): Testing the parametric form of the volatility in continuous time diffusion models - an empirical process approach. Journal of Econometrics 143, 56-73 (pdf)
  • K. Christensen and M. Podolskij (2007): Realised range-based estimation of integrated variance. Journal of Econometrics 141, 323-349 (pdf)
  • H. Dette, M. Podolskij and M. Vetter (2006): Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing. Scandinavian Journal of Statistics 33, 259-278 (pdf)
  • O. E. Barndorff-Nielsen, S. E. Graversen, J. Jacod, M. Podolskij and N. Shephard (2006): A central limit theorem for realised power and bipower variations of continuous semimartingales. in "From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev", Springer (pdf)
  • M. Podolskij (2006): New theory on estimation of integrated volatility with applications. PhD thesis, Ruhr-University Bochum (pdf)
  • M. Podolskij (2003): Tests auf parametrische Struktur der Volatilität in stochastischen Differentialgleichungen. Diploma thesis, Ruhr-University Bochum (pdf)
Submitted
  • M. Duembgen and M. Podolskij (2013): High-frequency asymptotics for path-dependent functionals of Ito semimartingales. (pdf)
  • M. Podolskij and N. Yoshida (2013): Edgeworth expansion for functionals of continuous diffusion processes. (pdf)
  • J.M. Corcuera, D. Nualart and M. Podolskij (2014): Asymptotics of weighted random sums. (pdf)
  • K. Gaertner and M. Podolskij (2014): On non-standard limits of Brownian semi-stationary processes. (pdf)
Technical reports
  • M. Podolskij and D. Ziggel (2007): Bootstrapping bipower variation. Technical report, Ruhr-University Bochum (pdf)
  • M. Podolskij (2007): Non-parametric estimation of the volatility path in the presence of noise. Oberwolfach report, 7/2007
  • M. Podolskij (2007): Inference for diffusion processes in the simultaneous presence of noise and jumps. Oberwolfach report, 15/2007
  • S. Kinnebrock and M. Podolskij (2008): An econometric analysis of modulated realised covariance, regression and correlation in noisy diffusion models . Technical report (pdf)
  • M. Podolskij and D. Ziggel (2008): A range-based test for the parametric form of the volatility in diffusion models. (pdf)
  • M. Podolskij (2009): Application of the Malliavin calculus to statistical problems on Gaussian fields. Oberwolfach report, 39/2009
  • M. Podolskij (2012): Edgeworth expansion for functionals of continuous diffusion processes. Oberwolfach report,
  • M. Podolskij (2013): Various limit theorems for ambit processes. Oberwolfach report, 9/2013
  • M. Podolskij (2013): Limit theorems for Levy moving average processes. Oberwolfach report, 48/2013

Professional activities

  • Deputy Director of MATCH (The MAThematics Center Heidelberg)
  • Statistical consulting at the Ruhr-University of Bochum (2006-2007)
  • Member of SFB 475 "Reduction of complexity in multivariate data structures" (2003-2007)
  • Advisory Board: Lecture Notes in Mathematics, Springer
  • Associate Editor: Bernoulli, Latin American Journal of Probability and Mathematical Statistics, Statistics and Risk Modeling, Statistica Sinica
  • Referee: Advances in Applied Probability, Annals of Probability, Annals of Statistics, Applied Mathematical Finance, Bernoulli, Econometrica, Electronic Communication in Probability, ESAIM: Probability and Statistics, Finance and Stochastics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Financial Econometrics, Journal of Statistical Planning and Inference, Journal of Time Series Analysis, Mathematical Finance, Statistica Nederlandica, Statistics and Decisions, Stochastic Processes and Their Applications

My former PhD students

  • Dr. Mathias Vetter
  • Prof. Dr. Silja Kinnebrock
  • Dr. Daniel Ziggel, cofounder of quasol

Selected newspaper articles

Curriculum Vitae


Last edited: 2013-08-18
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