Ilya Archakov : Citation Profile

Are you Ilya Archakov?

York University

3

H index

1

i10 index

23

Citations

RESEARCH PRODUCTION:

4

Articles

6

Papers

RESEARCH ACTIVITY:

   9 years (2015 - 2024). See details.
   Cites by year: 2
   Journals where Ilya Archakov has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 5 (17.86 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/par639
   Updated: 2024-12-03    RAS profile: 2024-07-23    
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Relations with other researchers

Works with:

Hansen, Peter (7)

Hautsch, Nikolaus (2)

Andersen, Torben (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Ilya Archakov.

Is cited by:

Lucas, Andre (3)

Hansen, Peter (3)

Rubio-Ramirez, Juan F (2)

Koopman, Siem Jan (2)

Shin, Minchul (2)

Lange, Rutger-Jan (1)

Chan, Joshua (1)

Engle, Robert (1)

Barigozzi, Matteo (1)

Hautsch, Nikolaus (1)

Cites to:

Hansen, Peter (22)

Shephard, Neil (13)

Engle, Robert (13)

Asai, Manabu (10)

Lunde, Asger (8)

Bollerslev, Tim (8)

Andersen, Torben (6)

Sheppard, Kevin (5)

Omori, Yasuhiro (4)

Ishihara, Tsunehiro (4)

Chang, Chia-Lin (4)

Main data

Where Ilya Archakov has published?

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5

Recent works citing Ilya Archakov (2024 and 2023)

YearTitle of citing document
2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Characterizing Correlation Matrices that Admit a Clustered Factor Representation. (2023). Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2308.05895.

Full description at Econpapers || Download paper

2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

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2024Jump detection in high-frequency order prices. (2024). Ristig, Alexander ; Hautsch, Nikolaus ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2403.00819.

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2023Characterizing correlation matrices that admit a clustered factor representation. (2023). Hansen, Peter ; Tong, Chen. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004597.

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2023Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086.

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2023A dynamic conditional score model for the log correlation matrix. (2023). Wang, Linqi ; Hafner, Christian M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002153.

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2023Stock illiquidity and option returns. (2023). Uhrig-Homburg, Marliese ; Korn, Olaf ; Kanne, Stefan. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000556.

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2023.

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2024Integrated Variance Estimation for Assets Traded in Multiple Venues. (2024). Schweiker, Karsten ; Dias, Gustavo Fruet. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2024-04.

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Works by Ilya Archakov:

YearTitleTypeCited
2015A Markov Chain Estimator of Multivariate Volatility from High Frequency Data In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2020A New Parametrization of Correlation Matrices In: Papers.
[Full Text][Citation analysis]		paper11
2021A New Parametrization of Correlation Matrices.(2021) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2021A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices In: Papers.
[Full Text][Citation analysis]		paper0
2024A Multivariate Realized GARCH Model In: Papers.
[Full Text][Citation analysis]		paper4
2022A New Method for Generating Random Correlation Matrices In: Papers.
[Full Text][Citation analysis]		paper0
2024A new method for generating random correlation matrices.(2024) In: The Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2024Cluster GARCH In: Papers.
[Full Text][Citation analysis]		paper0
2022Local mispricing and microstructural noise: A parametric perspective In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2021A Descriptive Study of High-Frequency Trade and Quote Option Data* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article3

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team