← All authors Mark Podolskij Institute of Applied Mathematics (from arXiv:2602.19287, 2026) · ORCID · OpenAlex
63 papers in scope · 63 published · 3 on the econ.EM arXiv · 2,689 citations · h-index 22 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Kim Christensen Yuta Kurose Giuseppe Storti Lingxiang Zhang Qianli Zhao Fred Espen Benth Thomas K. Kloster Shifan Yu Yasin Şimşek Aleksey Kolokolov Richard Gerlach Chao Wang Hans Manner Laleh Tafakori Matias Quiroz Tetsuya Takabatake Chen Zhang Luca Trapin Peter Reinhard Hansen Jun Yu 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 (3 of 63)
On Lasso estimator for the drift function in diffusion models
published 2025 · Bernoulli · 3 citations · first circulated 2022
with Gabriela Ciołek, Dmytro Marushkevych
Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes
published 2025 · Electronic Journal of Statistics · 1 citations · first circulated 2024
Polynomial rates via deconvolution for nonparametric estimation in McKean–Vlasov SDEs
published 2024 · Probability Theory and Related Fields · 10 citations
Asymptotic theory for quadratic variation of harmonizable fractional stable processes
published 2024 · Theory of Probability and Mathematical Statistics · 1 citations · first circulated 2023
with Andreas Basse-O’Connor
Optimal estimation of the local time and the occupation time measure for an α-stable Lévy process
published 2024 · Modern Stochastics Theory and Applications · 1 citations · first circulated 2022
Limit theorems for general functionals of Brownian local times
published 2024 · Electronic Journal of Probability · first circulated 2023
with Simon Campese, Nicolas Lengert
Estimation of mixed fractional stable processes using high-frequency data
published 2023 · The Annals of Statistics · 5 citations · first circulated 2022
with Fabian Mies
Parameter estimation of discretely observed interacting particle systems
published 2023 · Stochastic Processes and their Applications · 21 citations · first circulated 2022
Semiparametric estimation of McKean–Vlasov SDEs
published 2023 · Annales de l Institut Henri Poincaré Probabilités et Statistiques · 22 citations · first circulated 2021
with Denis Belomestny, Vytautė Pilipauskaitė
published 2022 · Statistical Inference for Stochastic Processes · 5 citations · first circulated 2021
Optimal estimation of the supremum and occupation times of a self-similar Lévy process
published 2022 · Electronic Journal of Statistics · 3 citations
with Jevgeņijs Ivanovs
On estimation of quadratic variation for multivariate pure jump semimartingales
published 2021 · Stochastic Processes and their Applications · 7 citations · first circulated 2020
with Johannes Heiny
Multidimensional parameter estimation of heavy‐tailed moving averages
published 2021 · Scandinavian Journal of Statistics · 5 citations
with Mathias Mørck Ljungdahl
Local asymptotic self-similarity for heavy tailed harmonizable fractional Lévy motions
published 2021 · ESAIM Probability and Statistics · 2 citations · first circulated 2018
with Andreas Basse-O’Connor, Thorbjørn Grønbæk
Editorial
published 2021 · Modern Stochastics Theory and Applications
Edgeworth expansion for Euler approximation of continuous diffusion processes
published 2020 · The Annals of Applied Probability
A minimal contrast estimator for the linear fractional stable motion
published 2020 · Statistical Inference for Stochastic Processes · 1 citations
with Mathias Mørck Ljungdahl
On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
published 2020 · Electronic Journal of Statistics · 10 citations
with Gabriela Ciołek, Dmytro Marushkevych
Estimation of the linear fractional stable motion
published 2019 · Bernoulli · 3 citations
The asymptotic error of chaos expansion approximations for stochastic differential equations
published 2019 · Modern Stochastics Theory and Applications · 4 citations
with Tony Huschto, Sebastian Säger
A Note on Parametric Estimation of Lévy Moving Average Processes
published 2019 · Springer proceedings in mathematics & statistics · 4 citations
with Mathias Mørck Ljungdahl
On the minimal number of driving Lévy motions in a multivariate price model
published 2018 · Journal of Applied Probability · 1 citations
with Jean Jacod
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
published 2018 · Journal of Econometrics · 14 citations
On limit theory for Lévy semi-stationary processes
published 2018 · Bernoulli · 11 citations · first circulated 2016
with Andreas Basse-O’Connor, Claudio Heinrich
A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities
published 2018 · Modern Stochastics Theory and Applications · 3 citations
with Mathias Mørck Ljungdahl
Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale*
published 2017 · Journal of Financial Econometrics · 4 citations
On U-and V-statistics for discontinuous Itô semimartingales
published 2017 · Annales de l Institut Henri Poincaré Probabilités et Statistiques · 3 citations · first circulated 2015
with Christian Schmidt, Mathias Vetter
Testing the maximal rank of the volatility process for continuous diffusions observed with noise
published 2017 · Bernoulli · 7 citations · first circulated 2014
Edgeworth expansion for the pre-averaging estimator
published 2017 · Stochastic Processes and their Applications · 11 citations · first circulated 2015
Estimation of the global regularity of a multifractional Brownian motion
published 2017 · Electronic Journal of Statistics · 10 citations · first circulated 2016
with Joachim Lebovits
Inference from high-frequency data: A subsampling approach
published 2016 · Journal of Econometrics · 7 citations · first circulated 2015
Edgeworth expansion for functionals of continuous diffusion processes
published 2016 · The Annals of Applied Probability · 14 citations · first circulated 2013
with Nakahiro Yoshida
On critical cases in limit theory for stationary increments Lévy driven moving averages
published 2016 · Stochastics · 11 citations · first circulated 2015
with Andreas Basse-O’Connor
A Weak Limit Theorem for Numerical Approximation of Brownian Semi-stationary Processes
published 2015 · Springer proceedings in mathematics & statistics
with Nopporn Thamrongrat
Asymptotics of weighted random sums
published 2014 · Communications in Applied and Industrial Mathematics · 1 citations
with José Manuel Corcuera, David Nualart
High-frequency asymptotics for path-dependent functionals of Itô semimartingales
published 2014 · Stochastic Processes and their Applications · 3 citations
with Moritz Duembgen
On non-standard limits of Brownian semi-stationary processes
published 2014 · Stochastic Processes and their Applications · 11 citations
with Kerstin Gärtner, Kerstin Gaertner
Limit theorems for nondegenerate U-statistics of continuous semimartingales
published 2014 · The Annals of Applied Probability · 3 citations · first circulated 2012
Fact or friction: Jumps at ultra high frequency
published 2014 · Journal of Financial Economics · 78 citations · first circulated 2011
A test for the rank of the volatility process: The random perturbation approach
published 2013 · The Annals of Statistics · 11 citations · first circulated 2012
with Jean Jacod
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
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
published 2013 · Stochastic Processes and their Applications · 61 citations · first circulated 2012
with José Manuel Corcuera, Emil Hedevang, Mikko S. Pakkanen
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
published 2013 · Journal of Business and Economic Statistics · 113 citations
published 2012 · Journal of Financial Econometrics · 40 citations
Goodness-of-fit testing for fractional diffusions
published 2012 · CREATES Research Papers · 6 citations
with Katrin Wasmuth
Multipower variation for Brownian semistationary processes
published 2011 · Bernoulli · 73 citations · first circulated 2009
with Ole E. Barndorff-Nielsen, José Manuel Corcuera
Testing the local volatility assumption: a statistical approach
published 2011 · Annals of Finance · 7 citations
with Mathieu Rosenbaum
Quantitative Breuer–Major theorems
published 2010 · Stochastic Processes and their Applications · 9 citations
with Ivan Nourdin, Giovanni Peccati
Understanding limit theorems for semimartingales: a short survey
published 2010 · Statistica Neerlandica · 71 citations · first circulated 2009
with Mathias Vetter
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
New tests for jumps in semimartingale models
published 2009 · Statistical Inference for Stochastic Processes · 67 citations
with Daniel Ziggel
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
published 2009 · Bernoulli · 310 citations · first circulated 2007
with Mathias Vetter, Margit Sommer
Bipower-type estimation in a noisy diffusion setting
published 2009 · Stochastic Processes and their Applications · 113 citations · first circulated 2008
with Mathias Vetter
Bipower Variation for Gaussian Processes with Stationary Increments
published 2009 · Journal of Applied Probability · 36 citations · first circulated 2008
with Ole E. Barndorff-Nielsen, José Manuel Corcuera, Jeannette H. C. Woerner, Jeanette Woerner
Bias-correcting the realized range-based variance in the presence of market microstructure noise
published 2009 · Finance and Stochastics · 49 citations · first circulated 2007
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
published 2009 · CREATES Research Papers · 49 citations
with Ole E. Barndorff-Nielsen, José Manuel Corcuera
Microstructure noise in the continuous case: The pre-averaging approach
published 2008 · Stochastic Processes and their Applications · 725 citations · first circulated 2007
Power variation for Gaussian processes with stationary increments
published 2008 · Stochastic Processes and their Applications · 80 citations · first circulated 2007
with Ole E. Barndorff-Nielsen, José Manuel Corcuera
Testing the parametric form of the volatility in continuous time diffusion models—a stochastic process approach
published 2007 · Journal of Econometrics · 39 citations · first circulated 2005
A note on the central limit theorem for bipower variation of general functions
published 2007 · Stochastic Processes and their Applications · 59 citations
with Silja Kinnebrock
published 2006 · Journal of Econometrics · 249 citations
Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing
published 2006 · Scandinavian Journal of Statistics · 50 citations · first circulated 2004
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