Mathias Vetter

Finance · 2006–2011

A researcher in the Science corpus: 8 papers; trusts 34 researchers and is trusted by 47 researchers here, as inferred from the citation graph.

Subfields

• Finance — 70 citations into it; #613 of 10,518 by trust here, #818 by citations
• Economics and Econometrics — 40 citations into it; #10,114 of 23,481 by trust here, #11,786 by citations
• Statistics and Probability — 25 citations into it; #2,482 of 12,932 by trust here, #1,585 by citations
• Control and Systems Engineering — 10 citations into it; #4,696 of 8,257 by trust here, #7,501 by citations
• Mathematical Physics — 9 citations into it; #950 of 8,562 by trust here, #1,838 by citations
• Artificial Intelligence — 8 citations into it
• Management Science and Operations Research — 8 citations into it; #6,172 of 11,946 by trust here, #7,262 by citations
• Global and Planetary Change — 6 citations into it

Whom Mathias Vetter trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jean Jacod
2. Ole E. Barndorff-Nielsen
3. N. Shephard
4. Yacine Aït-Sahalia
5. Cecilia Mancini
6. Mark Podolskij
7. Lan Zhang
8. P. R. Hansen
9. Torben G. Andersen
10. Efstathios Paparoditis

Who trusts Mathias Vetter overall

1. Bing-Yi Jing
2. Mark Podolskij
3. Jean Jacod
4. Kim Christensen
5. Markus Bibinger
6. V. Todorov
7. Xinbing Kong
8. Zhi Liu
9. Markus Reiß
10. Liuren Wu

Papers from Mathias Vetter's perspective

Ordered by how strongly the researchers Mathias Vetter trusts endorse each paper. Same corpus, a different order for every researcher.

1. Separating Microstructure Noise from Volatility
2. Power and bipower variation with stochastic volatility and jumps
3. Econometric analysis of realised volatility and its use in estimating stochastic volatility models
4. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
5. BOOTSTRAPPING REALIZED VOLATILITY
6. On covariance estimation of non-synchronously observed diffusion processes
7. Are Volatility Estimators Robust with Respect to Modeling Assumptions
8. An Introduc-tion to High-Frequency Finance
9. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
10. Intraday periodicity and volatility persistence in financial markets

Their papers

• Microstructure Noise in the Continuous Case: The Pre-Averaging Approach ∗ (2008) — 685 citations
• Bipower-type estimation in a noisy diffusion setting (2008) — 119 citations
• Limit theorems for moving averages of discretized processes plus noise (2010) — 112 citations
• A Measure of Stationarity in Locally Stationary Processes With Applications to Testing (2011) — 84 citations
• Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing (2006) — 47 citations
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (2011) — 46 citations
• Understanding limit theorems for semimartingales: a short survey (2009) — 76 citations
• Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps (2007) — 302 citations