← All authors Kim Christensen Aarhus University (from arXiv:2601.08962, 2026) · ORCID · OpenAlex
45 papers in scope · 41 published · 9 on the econ.EM arXiv · 1,955 citations · h-index 18 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Mark Podolskij Tetsuya Takabatake Chen Zhang Yuta Kurose Giuseppe Storti Lingxiang Zhang Qianli Zhao Fred Espen Benth Thomas K. Kloster Jun Yu Wade Kimbrough Chan Kim Peter Reinhard Hansen Yiyao Luo Mikkel Bennedsen Peter Christensen Shifan Yu Aleksey Kolokolov Yasin Şimşek Allan Timmermann Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (11 of 45)
working paper 2026 · arXiv
published 2026 · Journal of Econometrics · 1 citations · first circulated 2024
Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction
published 2025 · Journal of Time Series Analysis
published 2025 · Journal of Financial Markets · 7 citations · first circulated 2024
published 2025 · Journal of Financial Economics · 8 citations · first circulated 2023
working paper 2024 · arXiv
published 2024 · Journal of Econometrics · 4 citations · first circulated 2023
working paper 2024 · arXiv · 2 citations
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor
published 2023 · Journal of Time Series Analysis
published 2022 · Statistical Inference for Stochastic Processes · 5 citations · first circulated 2021
working paper 2022 · arXiv · 1 citations
A GMM approach to estimate the roughness of stochastic volatility
published 2022 · Journal of Econometrics · 37 citations · first circulated 2020
Identifying locations susceptible to micro-anatomical reentry using a spatial network representation of atrial fibre maps
published 2022 · PLoS ONE · 4 citations · first circulated 2021
with Max Falkenberg, James A. Coleman, Sam Dobson, David Hickey, Louie Terrill, Alberto Ciacci, Belvin Thomas, Arunashis Sau, Fu Siong Ng, Jichao Zhao, Nicholas S. Peters
A Machine Learning Approach to Volatility Forecasting
published 2022 · Journal of Financial Econometrics · 27 citations
Higher-order temporal network effects through triplet evolution
published 2021 · Scientific Reports · 7 citations
with Qing Yao, Bingsheng Chen, Tim Evans
The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets
published 2020 · PLoS ONE · 7 citations
with Alberto Ciacci, Takumi Sueshige, Hideki Takayasu, Misako Takayasu
Understanding the transition from paroxysmal to persistent atrial fibrillation
published 2020 · Physical Review Research · 6 citations · first circulated 2019
with Alberto Ciacci, Max Falkenberg, Kishan A. Manani, Tim Evans, Nicholas S. Peters
The economic value of VIX ETPs
published 2020 · Journal of Empirical Finance · 12 citations · first circulated 2019
with Charlotte Christiansen, Anders Merrild Posselt
How the network properties of shareholders vary with investor type and country
published 2019 · PLoS ONE · 16 citations
with Qing Yao, Tim Evans
Correlations and hyperuniformity in the avalanche size of the Oslo model
published 2018 · Europhysics Letters (EPL) · 17 citations
with Rosalba Garcia-Millan, Gunnar Pruessner, L. Pickering
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
published 2018 · Journal of Econometrics · 14 citations
The Realized Empirical Distribution Function of Stochastic Variance with Application to Goodness-of-Fit Testing
published 2018 · Journal of Econometrics · 2 citations
Inference from high-frequency data: A subsampling approach
published 2016 · Journal of Econometrics · 7 citations · first circulated 2015
The Drift Burst Hypothesis
published 2016 · Journal of Econometrics · 2 citations
Generalised Sandpile Dynamics on Artificial and Real-World Directed Networks
published 2015 · PLoS ONE · 12 citations
with Nicky Zachariou, Paul Expert, Misako Takayasu
Fact or friction: Jumps at ultra high frequency
published 2014 · Journal of Financial Economics · 78 citations · first circulated 2011
Quantitative projections of a quality measure: Performance of a complex task
published 2014 · Physica A Statistical Mechanics and its Applications
with Gisle Kleppe, Martin Vold, Vidar Frette
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
published 2013 · Journal of Multivariate Analysis · 76 citations · first circulated 2011
published 2012 · Journal of Financial Econometrics · 40 citations
Ants in a Labyrinth: A Statistical Mechanics Approach to the Division of Labour
published 2011 · PLoS ONE · 29 citations
with Thomas O. Richardson, Nigel R. Franks, Henrik Jeldtoft Jensen, Ana B. Sendova-Franks
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
published 2010 · Journal of Econometrics · 69 citations
Realised quantile-based estimation of the integrated variance
published 2010 · Journal of Econometrics · 27 citations · first circulated 2009
Record Dynamics in Ants
published 2010 · PLoS ONE · 18 citations
with Thomas O. Richardson, Elva J. H. Robinson, Henrik Jeldtoft Jensen, Nigel R. Franks, Ana B. Sendova-Franks
Bias-correcting the realized range-based variance in the presence of market microstructure noise
published 2009 · Finance and Stochastics · 49 citations · first circulated 2007
Wavelet-based upscaling of advection equations
published 2008 · Physica A Statistical Mechanics and its Applications · 3 citations
with Véra Pancaldi, Peter R. King
On the scaling of probability density functions with apparent power-law exponents less than unity
published 2008 · The European Physical Journal B · 28 citations
with Nazar Farid, Gunnar Pruessner, Matthew Stapleton, Nadia Farid
published 2006 · Journal of Econometrics · 249 citations
Comment on “Earthquakes Descaled: On Waiting Time Distributions and Scaling Laws”
published 2006 · Physical Review Letters · 43 citations
with Álvaro Corral
Rain viewed as relaxational events
published 2006 · Journal of Hydrology · 46 citations
with Ole Peters
Complexity and criticality
published 2004 · Physica A Statistical Mechanics and its Applications · 130 citations
with Preben Alstrøm, Tomas Bohr, Henrik Flyvbjerg, Mogens H. Jensen, B. Lautrup, Kim Sneppen
On self-organised criticality in one dimension
published 2004 · Physica A Statistical Mechanics and its Applications · 10 citations
Rain: Relaxations in the sky
published 2002 · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 92 citations
with Ole Peters
Unified Scaling Law for Earthquakes
published 2002 · Physical Review Letters · 714 citations
with Per Bak, León Danon, Tim Scanlon, Peter Michael Bak, T. Scanlon
Construction of a DLA cluster model
published 1996 · European Journal of Physics · 6 citations
with Thomas Rage, Vidar Frette, Geri Wagner, Thomas Walmann, Tao Sun
Temporal correlations, universality, and multifractality in a spring-block model of earthquakes
published 1992 · Physical Review A · 50 citations
with Zeev Olami
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).