23
H index
32
i10 index
5068
Citations
University of North Carolina-Chapel-Hill (90% share) | 23 H index 32 i10 index 5068 Citations RESEARCH PRODUCTION: 27 Articles 47 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Peter Hansen. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 4 |
Journal of Business & Economic Statistics | 3 |
Journal of Business & Economic Statistics | 3 |
The Journal of Financial Econometrics | 2 |
Econometrica | 2 |
Econometrica | 2 |
Journal of Applied Econometrics | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 5 |
OFRC Working Papers Series / Oxford Financial Research Centre | 4 |
Economics Working Papers / European University Institute | 4 |
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta | 3 |
Post-Print / HAL | 2 |
Year | Title of citing document | |
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2021 | A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03. Full description at Econpapers || Download paper | |
2021 | The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11. Full description at Econpapers || Download paper | |
2021 | A GARCH Tutorial with R. (2021). Perlin, Marcelo ; Vancin, Daniel Francisco ; Mastella, Mauro ; Ramos, Henrique Pinto. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:25:y:2021:i:1:1420. Full description at Econpapers || Download paper | |
2021 | TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21. Full description at Econpapers || Download paper | |
2021 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332. Full description at Econpapers || Download paper | |
2021 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
2022 | Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1811.09312. Full description at Econpapers || Download paper | |
2021 | Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228. Full description at Econpapers || Download paper | |
2022 | Improved Central Limit Theorem and bootstrap approximations in high dimensions. (2019). Chernozhukov, Victor ; Koike, Yuta ; Kato, Kengo ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:1912.10529. Full description at Econpapers || Download paper | |
2021 | Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062. Full description at Econpapers || Download paper | |
2022 | Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. (2020). Wu, Bei ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2004.01865. Full description at Econpapers || Download paper | |
2021 | Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868. Full description at Econpapers || Download paper | |
2021 | Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714. Full description at Econpapers || Download paper | |
2021 | On the Size Control of the Hybrid Test for Predictive Ability. (2020). Kim, Deborah. In: Papers. RePEc:arx:papers:2008.02318. Full description at Econpapers || Download paper | |
2022 | High-frequency Estimation of the L\evy-driven Graph Ornstein-Uhlenbeck process. (2020). , Almut ; Courgeau, Valentin. In: Papers. RePEc:arx:papers:2008.10930. Full description at Econpapers || Download paper | |
2022 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610. Full description at Econpapers || Download paper | |
2021 | Measuring the Effect of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, Demetrio ; Otranto, Edoardo. In: Papers. RePEc:arx:papers:2010.08259. Full description at Econpapers || Download paper | |
2022 | Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061. Full description at Econpapers || Download paper | |
2021 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
2021 | Dynamic factor, leverage and realized covariances in multivariate stochastic volatility. (2020). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:2011.06909. Full description at Econpapers || Download paper | |
2021 | Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802. Full description at Econpapers || Download paper | |
2021 | New Formulations of Ambiguous Volatility with an Application to Optimal Dynamic Contracting. (2021). Hansen, Peter G. In: Papers. RePEc:arx:papers:2101.12306. Full description at Econpapers || Download paper | |
2021 | A state space approach to fitting higher order moments of empirical financial series with GARCH model parameters. (2021). Savel, Sergey ; de Clerk, Luke. In: Papers. RePEc:arx:papers:2102.11627. Full description at Econpapers || Download paper | |
2022 | Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780. Full description at Econpapers || Download paper | |
2021 | Modeling Price Clustering in High-Frequency Prices. (2021). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2102.12112. Full description at Econpapers || Download paper | |
2021 | State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404. Full description at Econpapers || Download paper | |
2022 | Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467. Full description at Econpapers || Download paper | |
2021 | Generalized Autoregressive Moving Average Models with GARCH Errors. (2021). Zheng, Tingguo ; Chen, Rong ; Xiao, Han. In: Papers. RePEc:arx:papers:2105.05532. Full description at Econpapers || Download paper | |
2021 | Using social network and semantic analysis to analyze online travel forums and forecast tourism demand. (2021). Colladon, Fronzetti A ; Innarella, R ; Guardabascio, B. In: Papers. RePEc:arx:papers:2105.07727. Full description at Econpapers || Download paper | |
2022 | A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288. Full description at Econpapers || Download paper | |
2022 | Testing Monotonicity of Mean Potential Outcomes in a Continuous Treatment. (2021). Liu, Chu-An ; Huber, Martin ; Hsu, Yu-Chin ; Lee, Ying-Ying. In: Papers. RePEc:arx:papers:2106.04237. Full description at Econpapers || Download paper | |
2021 | On the short term stability of financial ARCH price processes. (2021). Zumbach, Gilles. In: Papers. RePEc:arx:papers:2107.06758. Full description at Econpapers || Download paper | |
2021 | Inference in heavy-tailed non-stationary multivariate time series. (2021). Cavaliere, Giuseppe ; Barigozzi, Matteo ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2107.13894. Full description at Econpapers || Download paper | |
2021 | Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs. (2021). Boulet, Lucien. In: Papers. RePEc:arx:papers:2109.01044. Full description at Econpapers || Download paper | |
2021 | Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946. Full description at Econpapers || Download paper | |
2021 | Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039. Full description at Econpapers || Download paper | |
2022 | Edgeworth expansions for volatility models. (2021). Jirak, Moritz . In: Papers. RePEc:arx:papers:2111.00529. Full description at Econpapers || Download paper | |
2021 | Exponential GARCH-Ito Volatility Models. (2021). Kim, Donggyu. In: Papers. RePEc:arx:papers:2111.04267. Full description at Econpapers || Download paper | |
2021 | Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective. (2021). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2111.09655. Full description at Econpapers || Download paper | |
2021 | Inference for ROC Curves Based on Estimated Predictive Indices. (2021). Lieli, Robert ; Hsu, Yu-Chin. In: Papers. RePEc:arx:papers:2112.01772. Full description at Econpapers || Download paper | |
2021 | Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302. Full description at Econpapers || Download paper | |
2022 | Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308. Full description at Econpapers || Download paper | |
2022 | Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2112.14529. Full description at Econpapers || Download paper | |
2022 | Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430. Full description at Econpapers || Download paper | |
2022 | High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584. Full description at Econpapers || Download paper | |
2022 | Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. (2022). Taylor, Robert ; De Angelis, Luca ; Cavaliere, Giuseppe ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2202.02532. Full description at Econpapers || Download paper | |
2022 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2022 | From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution. (2022). Mariotti, Tommaso ; Toscano, Giacomo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2202.12137. Full description at Econpapers || Download paper | |
2022 | GAM(L)A: An econometric model for interpretable Machine Learning. (2022). Laurent, S'Ebastien ; Hu, Sullivan ; Hacheme, Gilles ; Flachaire, Emmanuel. In: Papers. RePEc:arx:papers:2203.11691. Full description at Econpapers || Download paper | |
2022 | Generic Identifiability for REMIS: The Cointegrated Unit Root VAR. (2022). Deistler, Manfred ; Soegner, Leopold ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2204.05952. Full description at Econpapers || Download paper | |
2022 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper | |
2022 | High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933. Full description at Econpapers || Download paper | |
2022 | Mack-Net model: Blending Macks model with Recurrent Neural Networks. (2022). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2205.07334. Full description at Econpapers || Download paper | |
2022 | Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738. Full description at Econpapers || Download paper | |
2022 | Economic activity and climate change. (2022). Ruiz, Esther ; Rodr, Vladimir ; Poncela, Pilar ; de Juan, Ar'Anzazu. In: Papers. RePEc:arx:papers:2206.03187. Full description at Econpapers || Download paper | |
2022 | Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896. Full description at Econpapers || Download paper | |
2022 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2022 | A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper | |
2022 | Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939. Full description at Econpapers || Download paper | |
2022 | Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira. In: Papers. RePEc:arx:papers:2209.08967. Full description at Econpapers || Download paper | |
2022 | A New Method for Generating Random Correlation Matrices. (2022). Luo, Yiyao ; Hansen, Peter Reinhard ; Archakov, Ilya. In: Papers. RePEc:arx:papers:2210.08147. Full description at Econpapers || Download paper | |
2022 | Modified Wilcoxon-Mann-Whitney tests of stochastic dominance. (2022). Clarke, Jackson D ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2210.08892. Full description at Econpapers || Download paper | |
2022 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper | |
2022 | The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective. (2022). Veraart, Almut ; Pakkanen, Mikko ; Lucchese, Lorenzo. In: Papers. RePEc:arx:papers:2211.13777. Full description at Econpapers || Download paper | |
2022 | Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121. Full description at Econpapers || Download paper | |
2022 | Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362. Full description at Econpapers || Download paper | |
2022 | Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288. Full description at Econpapers || Download paper | |
2022 | Flash crashes on sovereign bond markets – EU evidence. (2022). Panzarino, Onofrio ; Marseglia, Gaetano ; Haferkorn, Martin ; Bouveret, Antoine. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_020_22. Full description at Econpapers || Download paper | |
2022 | A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683. Full description at Econpapers || Download paper | |
2021 | GDP?network CoVaR: A tool for assessing growth?at?risk. (2021). Tizzanini, Giacomo ; De Meo, Emanuele . In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:2:n:e12181. Full description at Econpapers || Download paper | |
2021 | How to build a factor portfolio: Does the allocation strategy matter?. (2021). Wendt, Viktoriasophie ; Drobetz, Wolfgang ; Dichtl, Hubert. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:20-58. Full description at Econpapers || Download paper | |
2022 | A reexamination of factor momentum: How strong is it?. (2022). Liu, Jiadong ; Liao, Ming ; Fan, Minyou. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:585-615. Full description at Econpapers || Download paper | |
2021 | The profitability of trading on large Lévy jumps. (2021). Pan, Zheyao ; Gray, Phil ; Chan, Kam Fong. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:627-635. Full description at Econpapers || Download paper | |
2022 | Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:60:y:2022:i:4:p:1019-1046. Full description at Econpapers || Download paper | |
2021 | Trumps tweets: Sentiment, stock market volatility, and jumps. (2021). Sun, Bianxia ; Dong, Xuyi ; Nishimura, Yusaku. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:497-512. Full description at Econpapers || Download paper | |
2022 | An ensemble method for early prediction of dengue outbreak. (2022). Deb, Sougata. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:1:p:84-101. Full description at Econpapers || Download paper | |
2021 | Quantile?frequency analysis and spectral measures for diagnostic checks of time series with nonlinear dynamics. (2021). Li, Tahsin. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:2:p:270-290. Full description at Econpapers || Download paper | |
2021 | Quasi?maximum likelihood estimation of conditional autoregressive Wishart models. (2021). Asai, Manabu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:271-294. Full description at Econpapers || Download paper | |
2022 | State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124. Full description at Econpapers || Download paper | |
2022 | Generalized autoregressive moving average models with GARCH errors. (2022). Chen, Rong ; Xiao, Han ; Zheng, Tingguo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:125-146. Full description at Econpapers || Download paper | |
2022 | On causal and non?causal cointegrated vector autoregressive time series. (2022). Swensen, Anders Rygh ; RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:178-196. Full description at Econpapers || Download paper | |
2022 | A new volatility model: GQARCH?ItÔ model. (2022). Xu, LU ; Sun, Yulei ; Yuan, Huiling ; Cui, Xiangyu ; Zhou, Yong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370. Full description at Econpapers || Download paper | |
2022 | Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665. Full description at Econpapers || Download paper | |
2021 | The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models. (2021). BenSaïda, Ahmed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:2:p:540-570. Full description at Econpapers || Download paper | |
2022 | Empirical newsvendor biases: Are target service levels achieved effectively and efficiently?. (2022). Minner, Stefan ; Beckerpeth, Michael ; Sachs, Annalena ; Thonemann, Ulrich W. In: Production and Operations Management. RePEc:bla:popmgt:v:31:y:2022:i:4:p:1839-1855. Full description at Econpapers || Download paper | |
2022 | Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc. (2022). Hertrich, Markus. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:450-489. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2021 | Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2112. Full description at Econpapers || Download paper | |
2021 | Robust Estimation of Integrated Volatility. (2021). Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2115. Full description at Econpapers || Download paper | |
2021 | Score-driven time series models. (2021). Harvey, Andrew. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2133. Full description at Econpapers || Download paper | |
2021 | Conditional Heteroskedasticity in the Volatility of Asset Returns. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2179. Full description at Econpapers || Download paper | |
2022 | Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. (2022). Wang, H ; Linton, O ; Bu, R. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2218. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2021 | Forecasting Canadian GDP Growth with Machine Learning. (2021). Demers, Fanny S ; Chu, BA ; Qureshi, Shafiullah. In: Carleton Economic Papers. RePEc:car:carecp:21-05. Full description at Econpapers || Download paper | |
2021 | STATISTICAL-ECONOMETRIC METHODS FOR RISK DIVERSIFICATION. (2021). Iacob, Stefan Virgil ; Anghel, Madalina-Gabriela ; Madalina - Gabriela Anghel, ; Anghelache, Constantin. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2021:v:5:p:157-163. Full description at Econpapers || Download paper | |
2022 | THEORETICAL ELEMENTS REGARDING THE MANAGEMENT OF A DYNAMIC PORTFOLIO. (2022). Iacob, Stefan Virgil ; Anghelache, Constantin ; Madalina - Gabriela Anghel, . In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2022:v:1:p:91-96. Full description at Econpapers || Download paper | |
2022 | Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5. Full description at Econpapers || Download paper | |
2021 | Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age. (2021). Palmer, Edward ; Holzmann, Robert ; Ayuso, Mercedes ; Miguelbravo, Jorge. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9408. Full description at Econpapers || Download paper | |
2022 | Safe at Last? LATE Effects of a Mass Immunization Campaign on Households’ Economic Insecurity. (2022). Pickard, H ; Belmonte, A. In: CAGE Online Working Paper Series. RePEc:cge:wacage:604. Full description at Econpapers || Download paper | |
2022 | Addressing Unemployment Rate Forecast Errors in Relation to the Business Cycle. (2022). Scheer, Bas. In: CPB Discussion Paper. RePEc:cpb:discus:434. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2008 | Reduced-Rank Regression: A Useful Determinant Identity In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 262 |
2011 | Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 262 | article | |
2011 | Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 262 | paper | |
2009 | Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 262 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 262 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Series Working Papers. [Citation analysis] This paper has another version. Agregated cites: 262 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 262 | paper | |
2009 | Quadratic Variation by Markov Chains In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
2010 | Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 44 |
2014 | ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR.(2014) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | article | |
2010 | Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 22 |
2010 | Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 16 |
2012 | Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility.(2012) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2012 | Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility.(2012) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2010 | The Model Confidence Set In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 761 |
2011 | The Model Confidence Set.(2011) In: Econometrica. [Citation analysis] This paper has another version. Agregated cites: 761 | article | |
2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 69 |
2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation.(2012) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 69 | paper | |
2012 | Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 84 |
2012 | Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 84 | paper | |
2016 | Exponential GARCH Modeling With Realized Measures of Volatility.(2016) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 84 | article | |
2012 | Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
2012 | Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics.(2012) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2015 | Equivalence Between Out?of?Sample Forecast Comparisons and Wald Statistics.(2015) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
2015 | A Martingale Decomposition of Discrete Markov Chains In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | A martingale decomposition of discrete Markov chains.(2015) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2015 | A Markov Chain Estimator of Multivariate Volatility from High Frequency Data In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2020 | A New Parametrization of Correlation Matrices In: Papers. [Full Text][Citation analysis] | paper | 4 |
2021 | A New Parametrization of Correlation Matrices.(2021) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2021 | A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | A Multivariate Realized GARCH Model In: Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | Periodicity in Cryptocurrency Volatility and Liquidity In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants In: Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | A Test for Superior Predictive Ability In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 600 |
2006 | Realized Variance and Market Microstructure Noise In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 584 |
2006 | Rejoinder In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2003 | Choosing the Best Volatility Models: The Model Confidence Set Approach* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 109 |
2003 | Choosing the Best Volatility Models:The Model Confidence Set Approach.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
2003 | Choosing the best volatility models: the model confidence set approach.(2003) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
2000 | Structural Changes in the Cointegrated Vector Autoregressive Model In: Working Papers. [Full Text][Citation analysis] | paper | 90 |
2003 | Structural changes in the cointegrated vector autoregressive model.(2003) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 90 | article | |
2001 | A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? In: Working Papers. [Full Text][Citation analysis] | paper | 682 |
2005 | A forecast comparison of volatility models: does anything beat a GARCH(1,1)?.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 682 | article | |
2001 | An Unbiased and Powerful Test for Superior Predictive Ability In: Working Papers. [Full Text][Citation analysis] | paper | 29 |
2003 | Asymptotic Tests of Composite Hypotheses In: Working Papers. [Full Text][Citation analysis] | paper | 27 |
2000 | The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes. In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2008 | Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica. [Full Text][Citation analysis] | article | 686 |
2006 | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 686 | paper | |
2006 | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 686 | paper | |
2004 | Realized Variance and IID Market Microstructure Noise In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 30 |
2000 | Structural Breaks in the Cointegrated Vector Autoregressive Model In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 6 |
2005 | Grangers representation theorem: A closed-form expression for I(1) processes In: Econometrics Journal. [Full Text][Citation analysis] | article | 27 |
2006 | Consistent ranking of volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 189 |
2011 | Subsampling realised kernels In: Journal of Econometrics. [Full Text][Citation analysis] | article | 41 |
2006 | Subsampling realised kernels.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2006 | Subsampling realised kernels.(2006) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2005 | Testing the significance of calendar effects In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 18 |
2005 | Model confidence sets for forecasting models In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 19 |
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2004 | Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2019 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 12 |
2016 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2005 | A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 156 |
1998 | Workbook on Cointegration In: OUP Catalogue. [Citation analysis] | book | 41 |
2008 | Moving Average-Based Estimators of Integrated Variance In: Econometric Reviews. [Full Text][Citation analysis] | article | 47 |
2015 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2021 | A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 5 |
2012 | Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics. [Citation analysis] | article | 245 |
2014 | REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 53 |
2017 | Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 18 |
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