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: 2024-11-08    RAS profile: 2024-07-23    
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Relations with other researchers

Works with:

Hansen, Peter (7)

Andersen, Torben (2)

Hautsch, Nikolaus (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)

Shin, Minchul (2)

Koopman, Siem Jan (2)

Rubio-Ramirez, Juan F (2)

Chan, Joshua (1)

Hautsch, Nikolaus (1)

Barigozzi, Matteo (1)

Engle, Robert (1)

Lange, Rutger-Jan (1)

Cites to:

Hansen, Peter (22)

Engle, Robert (13)

Shephard, Neil (13)

Asai, Manabu (10)

Lunde, Asger (8)

Bollerslev, Tim (8)

Andersen, Torben (6)

Sheppard, Kevin (5)

Chang, Chia-Lin (4)

Bauwens, Luc (4)

Koopman, Siem Jan (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.

Full description at Econpapers || Download paper

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