Kim Christensen

Aarhus Universitet

H-index: 13

Europe-Denmark

Kim Christensen, With an exceptional h-index of 13 and a recent h-index of 12 (since 2020), a distinguished researcher at Aarhus Universitet,

His recent articles reflect a diverse array of research interests and contributions to the field:

Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility

Warp Speed Price Moves: Jumps after Earnings Announcements

Do Designated Market Makers Provide Liquidity During Extreme Price Movements?

A machine learning approach to volatility forecasting

An unbounded intensity model for point processes

High-dimensional estimation of quadratic variation based on penalized realized variance

A GMM approach to estimate the roughness of stochastic volatility

The drift burst hypothesis

Title	Journal	Author(s)	Publication Date
Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility	arXiv preprint arXiv:2403.12653	Mikkel Bennedsen Kim Christensen Peter Christensen	2024/3/19
Warp Speed Price Moves: Jumps after Earnings Announcements	Available at SSRN 4422376	Kim Christensen Allan Timmermann Bezirgen Veliyev	2023/4/5
Do Designated Market Makers Provide Liquidity During Extreme Price Movements?	Available at SSRN 4705101	Mario Bellia Kim Christensen Aleksey Kolokolov Loriana Pelizzon Roberto Reno	2023
A machine learning approach to volatility forecasting	Journal of Financial Econometrics	Kim Christensen Mathias Siggaard Bezirgen Veliyev	2023/12/15
An unbounded intensity model for point processes	Available at SSRN 4513848	Kim Christensen Aleksey Kolokolov	2023/7
High-dimensional estimation of quadratic variation based on penalized realized variance	Statistical Inference for Stochastic Processes	Kim Christensen Mikkel Slot Nielsen Mark Podolskij	2023/7
A GMM approach to estimate the roughness of stochastic volatility	Journal of Econometrics	Anine E Bolko Kim Christensen Mikko S Pakkanen Bezirgen Veliyev	2023/8/1
The drift burst hypothesis	Journal of Econometrics	Kim Christensen Roel Oomen Roberto Renò	2022
The economic value of VIX ETPs	Journal of Empirical Finance	Kim Christensen Charlotte Christiansen Anders M. Posselt	2020/9/1