Asger Lunde : Citation Profile


Are you Asger Lunde?

Aarhus Universitet

19

H index

22

i10 index

3269

Citations

RESEARCH PRODUCTION:

21

Articles

29

Papers

RESEARCH ACTIVITY:

   14 years (1998 - 2012). See details.
   Cites by year: 233
   Journals where Asger Lunde has often published
   Relations with other researchers
   Recent citing documents: 242.    Total self citations: 19 (0.58 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plu40
   Updated: 2021-03-01    RAS profile: 2013-05-26    
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Relations with other researchers


Works with:

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

Is cited by:

Degiannakis, Stavros (86)

McAleer, Michael (86)

Bollerslev, Tim (76)

Shephard, Neil (61)

Patton, Andrew (60)

Caporin, Massimiliano (49)

Gallo, Giampiero (47)

Laurent, Sébastien (42)

Voev, Valeri (42)

Asai, Manabu (41)

Omori, Yasuhiro (35)

Cites to:

Bollerslev, Tim (47)

Hansen, Peter (37)

Andersen, Torben (36)

Diebold, Francis (29)

Shephard, Neil (25)

Barndorff-Nielsen, Ole (21)

Engle, Robert (19)

Meddahi, Nour (13)

Campbell, John (11)

Ait-Sahalia, Yacine (10)

West, Kenneth (8)

Main data


Where Asger Lunde has published?


Journals with more than one article published# docs
Journal of Financial Econometrics3
Journal of Econometrics3
Journal of Business & Economic Statistics3
Econometrics Journal2
Financial Markets and Portfolio Management2
Econometrica2

Working Papers Series with more than one paper published# docs
OFRC Working Papers Series / Oxford Financial Research Centre4
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta3
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego2

Recent works citing Asger Lunde (2021 and 2020)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12.

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2021A machine learning approach to volatility forecasting. (2021). Siggaard, Mathias ; Christensen, Kim ; Veliyev, Bezirgen. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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2020Model Averaging and Its Use in Economics. (2020). , Mark. In: Journal of Economic Literature. RePEc:aea:jeclit:v:58:y:2020:i:3:p:644-719.

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2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2020Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2021A 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.

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2020Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991.

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2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

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2020Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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2020High-dimensional mixed-frequency IV regression. (2020). Babii, Andrii. In: Papers. RePEc:arx:papers:2003.13478.

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2021Kernel 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.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

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2020Investment Disputes and Abnormal Volatility of Stocks. (2020). Baruník, Jozef ; Drabek, Zdenek ; Nevrla, Matej. In: Papers. RePEc:arx:papers:2006.10505.

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2020Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen. In: Papers. RePEc:arx:papers:2006.12039.

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2020A Data-driven Market Simulator for Small Data Environments. (2020). Horvath, Blanka ; Buhler, Hans ; Wood, Ben ; Arribas, Imanol Perez ; Lyons, Terry. In: Papers. RePEc:arx:papers:2006.14498.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2020An estimator for predictive regression: reliable inference for financial economics. (2020). Shephard, Neil. In: Papers. RePEc:arx:papers:2008.06130.

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2020High-frequency Estimation of the L\evy-driven Graph Ornstein-Uhlenbeck process. (2020). , Almut ; Courgeau, Valentin. In: Papers. RePEc:arx:papers:2008.10930.

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2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

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2020Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659.

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2020Measuring the Effect of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, Demetrio ; Otranto, Edoardo. In: Papers. RePEc:arx:papers:2010.08259.

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2020Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2020Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2020Dynamic factor, leverage and realized covariances in multivariate stochastic volatility. (2020). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:2011.06909.

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2020Bull and Bear Markets During the COVID-19 Pandemic. (2020). Maheu, John ; McCurdy, Thomas H ; Song, Yong. In: Papers. RePEc:arx:papers:2012.01623.

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2020A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

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2021New Formulations of Ambiguous Volatility with an Application to Optimal Dynamic Contracting. (2021). Hansen, Peter G. In: Papers. RePEc:arx:papers:2101.12306.

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2020Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit. (2020). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20145.

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2020The NAIRU and Informality in the Mexican Labor Market. (2020). Alcaraz Pribaz, Carlo ; Rodriguez-Perez, Cid Alonso ; Ramirez, Claudia ; Aguilar-Argaez, Ana Maria . In: Working Papers. RePEc:bdm:wpaper:2020-09.

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2020News media analytics in finance: a survey. (2020). Hahn, Tobias ; Vanstone, Bruce ; Marty, Tom. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1385-1434.

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2020Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets. (2020). Mallory, Mindy ; Hu, Zhepeng ; Garcia, Philip ; Serra, Teresa. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:6:p:825-840.

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2020Social media bots and stock markets. (2020). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:753-777.

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2020ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS. (2020). Boudt, Kris ; Algaba, Andres ; Borms, Samuel ; Bluteau, Keven ; Ardia, David. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:34:y:2020:i:3:p:512-547.

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2020A similarity‐based approach for macroeconomic forecasting. (2020). Marcellino, Massimiliano ; Kapetanios, G ; Dendramis, Y. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:801-827.

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2020Can Technical Indicators Provide Information for Future Volatility: International Evidence. (2020). Xun, Peng ; Tingting, Ying ; Nenghui, Zhu ; Yanlong, Shi ; Xiangxing, Tao ; Yafeng, Shi. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:1:p:53-66:n:4.

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2020Asymptotic F test in Regressions with Observations Collected at High Frequency over Long Span. (2020). Sun, Yixiao ; Pellatt, Daniel . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt19f0d9wz.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42.

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2020Measuring the Effects of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, D ; Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:202006.

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2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, L. In: Working Paper CRENoS. RePEc:cns:cnscwp:202007.

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2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, Luc. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2020034.

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2020Adaptative predictability of stock market returns. (2020). Veiga, Helena ; Lopes, Maria Helena ; Casas, Maria Isabel ; Mao, Xiuping. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31648.

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2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2020Trading volume and realized higher-order moments in the Australian stock market. (2020). Jeyasreedharan, Nagaratnam ; Ahadzie, Richard Mawulawoe. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303403.

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2020Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach. (2020). Zhang, Tonghui ; Yuan, Ying. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:140:y:2020:i:c:s0960077920306482.

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2020Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification. (2020). Baek, Changryong ; Lee, Taewook . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:150:y:2020:i:c:s0167947320300876.

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2020Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion. (2020). Barde, Sylvain. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919301927.

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2020The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x.

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2020Exploiting ergodicity in forecasts of corporate profitability. (2020). Milaković, Mishael ; Alfarano, Simone ; Mundt, Philipp. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302155.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2020Time-Varying Consumer Disagreement and Future Inflation. (2020). Tsiaplias, Sarantis. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300713.

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2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

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2020The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Pham, Manh Cuong ; Lajbcygier, Paul ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603.

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2020Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Huang, Zhuo ; Wang, Tianyi ; Liang, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157.

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2020Economic policy uncertainty and the Chinese stock market volatility: Novel evidence. (2020). Zhang, Yaojie ; Ma, Feng ; Li, Tao. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2020Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the United States experience. (2020). Ehouman, Yao Axel. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:198-217.

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2020Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S.. (2020). , Jingyu ; Zhu, Yanjian ; Jiang, Yuexiang ; Wang, Jiazhen ; Yu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:428-444.

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2020The distribution of index futures realised volatility under seasonality and microstructure noise. (2020). Salvador, Enrique ; Arago, Vicent ; Alemany, Nuria. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:398-414.

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2020Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing. (2020). Choo, Wei-Chong ; Taylor, James W ; Liu, Min. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:651-659.

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2021Forecasting U.S. Yield Curve Using the Dynamic Nelson–Siegel Model with Random Level Shift Parameters. (2021). Xu, Jiawen ; Pang, Tao ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:340-350.

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2020Unconventional monetary policy and financialization of commodities. (2020). Soytas, Ugur ; Ordu-Akkaya, Beyza Mina. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818304844.

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2020Forecasting volatility with component conditional autoregressive range model. (2020). Hou, Xinmeng ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081930083x.

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2020Asymmetric risk spillovers between Shanghai and Hong Kong stock markets under China’s capital account liberalization. (2020). He, Jianmin ; Li, Shouwei ; Wei, YU ; Yang, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302384.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Wei, YU ; Lei, Likun ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293.

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2020Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators. (2020). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300620.

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2020Volatility forecasting accuracy for Bitcoin. (2020). Posch, Peter ; Schmidtke, Philipp ; Kochling, Gerrit. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304239.

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2020High-dimensional minimum variance portfolio estimation based on high-frequency data. (2020). Zheng, Xinghua ; Li, Yingying ; Hu, Jianchang ; Cai, Tony T. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:482-494.

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2020Inference for local distributions at high sampling frequencies: A bootstrap approach. (2020). Varneskov, Rasmus T ; Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:1-34.

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2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

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2020Dependent microstructure noise and integrated volatility estimation from high-frequency data. (2020). Laeven, Roger ; Vellekoop, Michel H ; Li, Merrick Z. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:536-558.

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2020A coupled component DCS-EGARCH model for intraday and overnight volatility. (2020). Wu, Jianbin ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:176-201.

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2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

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2020Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495.

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2020Nonlinearities and regimes in conditional correlations with different dynamics. (2020). Bauwens, Luc ; Otranto, Edoardo. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:496-522.

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2020Volatility regressions with fat tails. (2020). Kim, Jihyun ; Meddahi, Nour. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:690-713.

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2020High-frequency jump tests: Which test should we use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:478-487.

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2020Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity. (2020). Omori, Yasuhiro ; Kurose, Yuta. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:46-68.

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2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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2020Realized stochastic volatility models with generalized Gegenbauer long memory. (2020). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54.

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2020Economic indicators and stock market volatility in an emerging economy. (2020). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594.

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2020Pricing and hedging in incomplete markets with model uncertainty. (2020). Pelsser, Antoon ; Balter, Anne G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:911-925.

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2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

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2020What is the best proxy for liquidity in the presence of extreme illiquidity?. (2020). Będowska-Sójka, Barbara ; Echaust, Krzysztof ; Bdowska-Sojka, Barbara. In: Emerging Markets Review. RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119302080.

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2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

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2020The economic value of VIX ETPs. (2020). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:121-138.

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2020Volatility forecasts, proxies and loss functions. (2020). Stark, Thomas ; Mangat, Manveer Kaur ; Reschenhofer, Erhard. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:133-153.

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2021Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, ; Zhou, Qing ; Liao, Yin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

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2020Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Ma, Feng ; Mei, Dexiang ; Wang, LU ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304219.

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2020Forecasting volatility in the petroleum futures markets: A re-examination and extension. (2020). Shaiban, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Al-Freedi, Ajab. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304232.

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2020Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. (2020). Smyth, Russell ; Bissoondoyal-Bheenick, Emawtee ; Brooks, Robert. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300281.

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More than 100 citations found, this list is not complete...

Works by Asger Lunde:


YearTitleTypeCited
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: CREATES Research Papers.
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2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Journal of Econometrics.
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article
2009Multivariate 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.
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This paper has another version. Agregated cites: 211
paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Papers.
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This paper has another version. Agregated cites: 211
paper
2008Multivariate 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: 211
paper
2010Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error In: CREATES Research Papers.
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paper28
2010Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility In: CREATES Research Papers.
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paper14
2012Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility.(2012) In: Economics Working Papers.
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This paper has another version. Agregated cites: 14
paper
2012Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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This paper has another version. Agregated cites: 14
paper
2010The Model Confidence Set In: CREATES Research Papers.
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paper482
2011The Model Confidence Set.(2011) In: Econometrica.
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This paper has another version. Agregated cites: 482
article
2012And Now, The Rest of the News: Volatility and Firm Specific News Arrival In: CREATES Research Papers.
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paper4
2004Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets In: Journal of Business & Economic Statistics.
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article89
2003Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2003) In: CEPR Discussion Papers.
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paper
2000Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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paper
2006Realized Variance and Market Microstructure Noise In: Journal of Business & Economic Statistics.
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article459
2006Rejoinder In: Journal of Business & Economic Statistics.
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article0
2003Choosing the Best Volatility Models: The Model Confidence Set Approach* In: Oxford Bulletin of Economics and Statistics.
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article89
2003Choosing the Best Volatility Models:The Model Confidence Set Approach.(2003) In: Working Papers.
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This paper has another version. Agregated cites: 89
paper
2003Choosing the best volatility models: the model confidence set approach.(2003) In: FRB Atlanta Working Paper.
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This paper has another version. Agregated cites: 89
paper
2011Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors Introduction In: Journal of Time Series Econometrics.
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article0
2001A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? In: Working Papers.
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paper535
2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?.(2005) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 535
article
1998The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis In: University of California at San Diego, Economics Working Paper Series.
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paper34
1999The hazards of mutual fund underperformance: A Cox regression analysis.(1999) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 34
article
1998The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis.(1998) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 34
paper
1998Trades and Quotes: A Bivariate Point Process In: University of California at San Diego, Economics Working Paper Series.
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paper52
2003Trades and Quotes: A Bivariate Point Process.(2003) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 52
article
2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica.
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article453
2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: Economics Papers.
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This paper has another version. Agregated cites: 453
paper
2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: OFRC Working Papers Series.
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This paper has another version. Agregated cites: 453
paper
2004Realized Variance and IID Market Microstructure Noise In: Econometric Society 2004 North American Summer Meetings.
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paper26
2009Realized kernels in practice: trades and quotes In: Econometrics Journal.
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article215
2001The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model In: Econometrics Journal.
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article41
2006Consistent ranking of volatility models In: Journal of Econometrics.
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article174
2011Subsampling realised kernels In: Journal of Econometrics.
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article39
2006Subsampling realised kernels.(2006) In: Economics Papers.
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This paper has another version. Agregated cites: 39
paper
2006Subsampling realised kernels.(2006) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 39
paper
2006Subsampling realised kernels.(2006) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
paper
2005Testing the significance of calendar effects In: FRB Atlanta Working Paper.
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paper16
2005Model confidence sets for forecasting models In: FRB Atlanta Working Paper.
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paper19
2005Completion time structures of stock price movements In: Annals of Finance.
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article8
2008The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements In: Financial Markets and Portfolio Management.
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article4
2009Intraday volatility responses to monetary policy events In: Financial Markets and Portfolio Management.
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article6
2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers.
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paper23
2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.(2004) In: OFRC Working Papers Series.
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This paper has another version. Agregated cites: 23
paper
2005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data In: Journal of Financial Econometrics.
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article130
2007Integrated Covariance Estimation using High-frequency Data in the Presence of Noise In: Journal of Financial Econometrics.
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article62
2003Wavelet Estimation of Integrated Volatility In: Computing in Economics and Finance 2003.
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paper6
2008Moving Average-Based Estimators of Integrated Variance In: Econometric Reviews.
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article50

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