Silja Kinnebrock

University of Oxford

Mansfield Road

Oxford, Oxfordshire OX1 4AU

United Kingdom

SCHOLARLY PAPERS

3

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SSRN CITATIONS
Rank 13,811

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Top 13,811

in Total Papers Citations

33

CROSSREF CITATIONS

52

Scholarly Papers (3)

1.

Measuring Downside Risk - Realised Semivariance

CREATES Research Paper No. 2008-42
Number of pages: 24 Posted: 03 Sep 2008
Ole E. Barndorff-Nielsen, Silja Kinnebrock and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oxford and Harvard University
Downloads 1,022 (28,775)
Citation 45

Abstract:

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Market frictions, Quadratic variation, Realised variance, Semimartingale, Semivariance

2.

Pre-Averaging Estimators of the Ex-Post Covariance Matrix in Noisy Diffusion Models with Non-Synchronous Data

Journal of Econometrics, Forthcoming
Number of pages: 50 Posted: 07 Oct 2009 Last Revised: 26 May 2010
Kim Christensen, Silja Kinnebrock and Mark Podolskij
Aarhus University - CREATES, University of Oxford and Aarhus University - School of Business and Social Sciences
Downloads 144 (260,818)
Citation 13

Abstract:

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Central limit theorem, Diffusion models, High-frequency data, Market microstructure noise, Non-synchronous trading, Pre-averaging, Realised covariance

3.

An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models

CREATES Research Paper No. 2008-23
Number of pages: 50 Posted: 25 Jun 2008
Silja Kinnebrock and Mark Podolskij
University of Oxford and Aarhus University - School of Business and Social Sciences
Downloads 91 (360,438)
Citation 3

Abstract:

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Central Limit Theorem, Diffusion Models, Market Microstructure Noise, Non-synchronous Trading, High-Frequency Data, Semimartingale Theory