| Microstructure noise in the continuous case: the pre-averaging approach J Jacod, Y Li, PA Mykland, M Podolskij, M Vetter Stochastic processes and their applications 119 (7), 2249-2276, 2009 | 825 | 2009 |
| Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps M Podolskij, M Vetter | 351 | 2009 |
| Bipower-type estimation in a noisy diffusion setting M Podolskij, M Vetter Stochastic processes and their applications 119 (9), 2803-2831, 2009 | 133 | 2009 |
| Limit theorems for moving averages of discretized processes plus noise J Jacod, M Podolskij, M Vetter | 124 | 2010 |
| Understanding limit theorems for semimartingales: a short survey M Podolskij, M Vetter Statistica Neerlandica 64 (3), 329-351, 2010 | 89 | 2010 |
| On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes K Christensen, M Podolskij, M Vetter Journal of Multivariate Analysis 120, 59-84, 2013 | 81 | 2013 |
| A measure of stationarity in locally stationary processes with applications to testing H Dette, P Preuß, M Vetter Journal of the American Statistical Association 106 (495), 1113-1124, 2011 | 79 | 2011 |
| Bias-correcting the realized range-based variance in the presence of market microstructure noise K Christensen, M Podolskij, M Vetter Finance and Stochastics 13, 239-268, 2009 | 58 | 2009 |
| Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing H Dette, M Podolskij, M Vetter Scandinavian Journal of Statistics 33 (2), 259-278, 2006 | 55 | 2006 |
| Estimation of integrated volatility of volatility with applications to goodness-of-fit testing M Vetter | 51 | 2015 |
| Multiscale change point detection for dependent data H Dette, T Eckle, M Vetter Scandinavian Journal of Statistics 47 (4), 1243-1274, 2020 | 48 | 2020 |
| Limit theorems for bipower variation of semimartingales M Vetter Stochastic Processes and their Applications 120 (1), 22-38, 2010 | 46 | 2010 |
| A test for stationarity based on empirical processes P Preuß, M Vetter, H Dette | 36 | 2013 |
| Nonparametric change-point analysis of volatility M Bibinger, M Jirak, M Vetter | 28 | 2017 |
| Nonparametric inference on Lévy measures and copulas A Bücher, M Vetter The Annals of Statistics, 1485-1515, 2013 | 27 | 2013 |
| Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps M Bibinger, M Vetter Annals of the Institute of Statistical Mathematics 67, 707-743, 2015 | 22 | 2015 |
| Testing non‐parametric hypotheses for stationary processes by estimating minimal distances H Dette, T Kinsvater, M Vetter Journal of Time Series Analysis 32 (5), 447-461, 2011 | 22 | 2011 |
| Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process A Bücher, M Hoffmann, M Vetter, H Dette | 19 | 2017 |
| Estimation of correlation for continuous semimartingales M Vetter Scandinavian Journal of Statistics 39 (4), 757-771, 2012 | 18 | 2012 |
| Model checks for the volatility under microstructure noise M Vetter, H Dette | 17 | 2012 |
