Asger Lunde : Citation Profile


Are you Asger Lunde?

Aarhus Universitet

19

H index

22

i10 index

1979

Citations

RESEARCH PRODUCTION:

21

Articles

31

Papers

RESEARCH ACTIVITY:

   14 years (1998 - 2012). See details.
   Cites by year: 141
   Journals where Asger Lunde has often published
   Relations with other researchers
   Recent citing documents: 200.    Total self citations: 19 (0.95 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plu40
   Updated: 2017-04-22    RAS profile: 2013-05-26    
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Relations with other researchers


Works with:

Voev, Valeri (2)

Hansen, Peter (2)

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

Is cited by:

McAleer, Michael (78)

Shephard, Neil (53)

Caporin, Massimiliano (49)

Patton, Andrew (44)

Bollerslev, Tim (44)

Voev, Valeri (42)

Degiannakis, Stavros (36)

Andersen, Torben (33)

Asai, Manabu (33)

Laurent, Sébastien (31)

Podolskij, Mark (30)

Cites to:

Bollerslev, Tim (36)

Andersen, Torben (25)

Diebold, Francis (22)

Hansen, Peter (22)

Engle, Robert (20)

Shephard, Neil (18)

Campbell, John (12)

Barndorff-Nielsen, Ole (11)

Meddahi, Nour (10)

Granger, Clive (8)

Ait-Sahalia, Yacine (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
Financial Markets and Portfolio Management2
Econometrica2
Econometrics Journal2

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 (2017 and 2016)


YearTitle of citing document
2016Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2016-03.

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2016Volatility Discovery. (2016). Dias, Gustavo Fruet ; Scherrer, Cristina M ; Papailias, Fotis . In: CREATES Research Papers. RePEc:aah:create:2016-07.

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2016A generalized exponential time series regression model for electricity prices. (2016). Proietti, Tommaso ; Haldrup, Niels ; Knapik, Oskar . In: CREATES Research Papers. RePEc:aah:create:2016-08.

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2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2016The Local Fractional Bootstrap. (2016). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2016-15.

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2016Volume, Volatility and Public News Announcements. (2016). Li, Jia ; Xue, Yuan . In: CREATES Research Papers. RePEc:aah:create:2016-19.

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2016Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2016). Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2016-21.

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2016Improving on daily measures of price discovery. (2016). Fernandes, Marcelo ; Scherrer, Cristina M ; Dias, Gustavo Fruet . In: CREATES Research Papers. RePEc:aah:create:2016-25.

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2016The Drift Burst Hypothesis. (2016). Oomen, Roel ; Christensen, Kim ; Reno, Roberto . In: CREATES Research Papers. RePEc:aah:create:2016-28.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2017-13.

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2017Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2017). Manera, Matteo ; Bastianin, Andrea ; Galeotti, Marzio . In: ET: Economic Theory. RePEc:ags:feemet:253725.

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2016Estimation of integrated quadratic covariation with endogenous sampling times. (2016). Potiron, Yoann ; Mykland, Per . In: Papers. RePEc:arx:papers:1507.01033.

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2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2016Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps. (2016). Ho, Michael ; Xin, Jack . In: Papers. RePEc:arx:papers:1602.02185.

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2016Do co-jumps impact correlations in currency markets?. (2016). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1602.05489.

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2016Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution. (2016). Stavroyiannis, Stavros . In: Papers. RePEc:arx:papers:1602.05749.

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2016Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio . In: Papers. RePEc:arx:papers:1604.01338.

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2016On the Surprising Explanatory Power of Higher Realized Moments in Practice. (2016). Shen, Keren ; Li, Wai Keung ; Yao, Jianfeng . In: Papers. RePEc:arx:papers:1604.07969.

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2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

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2016The Local Fractional Bootstrap. (2016). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich . In: Papers. RePEc:arx:papers:1605.00868.

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2016Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2016). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895.

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2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193.

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2016Volatility Inference and Return Dependencies in Stochastic Volatility Models. (2016). Pfante, Oliver ; Bertschinger, Nils . In: Papers. RePEc:arx:papers:1610.00312.

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2016Decoupling the short- and long-term behavior of stochastic volatility. (2016). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger . In: Papers. RePEc:arx:papers:1610.00332.

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2016Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations. (2016). Li, Cheng . In: Papers. RePEc:arx:papers:1612.04507.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488.

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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185.

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2017Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152.

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2016Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil. (2016). Accioly, Victor Bello ; de Melo, Beatriz Vaz . In: Brazilian Business Review. RePEc:bbz:fcpbbr:v:13:y:2016:i:2:p1-26.

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2016High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1084.

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2016Is It Possible to Beat the Random Walk Model in Exchange Rate Forecasting? More Evidence for Brazilian Case.. (2016). Marçal, Emerson ; Junior, Eli Hadad ; Maral, Emerson Fernandes ; FernandesMaral, Emerson . In: Brazilian Review of Finance. RePEc:brf:journl:v:14:y:2016:i:1:p:65-88.

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2016Realised Variance Forecasting Under Box-Cox Transformations. (2016). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:16/4.

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2016A coupled component GARCH model for intraday and overnight volatility. (2016). LINTON, OLIVER ; Wu, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1671.

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2016Calendar Anomalies in the Ukrainian Stock Market. (2016). Plastun, Alex ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5877.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11307.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896.

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2016VOLATILITY ESTIMATORS WITH HIGH-FREQUENCY DATA FROM BUCHAREST STOCK EXCHANGE. (2016). Damian, Virgil ; Cepoi, Cosmin Octavian . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:3:p:247-264.

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2016Calendar Anomalies in the Ukrainian Stock Market. (2016). Plastun, Alex ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1573.

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2016Fluke of stochastic volatility versus GARCH inevitability or which model creates better forecasts?. (2016). Lakshina, Valeriya V ; Silaev, Andrey M. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00637.

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2017Forecasting accuracy evaluation of tourist arrivals. (2017). Hassani, Hossein ; Gupta, Rangan ; Filis, George ; Antonakakis, Nikolaos ; Silva, Emmanuel Sirimal . In: Annals of Tourism Research. RePEc:eee:anture:v:63:y:2017:i:c:p:112-127.

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2016Forecasting the term structure of crude oil futures prices with neural networks. (2016). Baruník, Jozef ; Malinska, Barbora ; Barunik, Jozef . In: Applied Energy. RePEc:eee:appene:v:164:y:2016:i:c:p:366-379.

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2016Media-expressed negative tone and firm-level stock returns. (2016). Kearney, Colm ; Hutson, Elaine ; Liu, Sha ; Han, Jingguang ; Ahmad, Khurshid . In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:152-172.

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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2016Estimation and empirical performance of non-scalar dynamic conditional correlation models. (2016). Bauwens, Luc ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:17-36.

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2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; Laurent, Sébastien ; Lecourt, Christelle . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:383-400.

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2016Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

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2016Direct comparison of agent-based models of herding in financial markets. (2016). Barde, Sylvain. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:73:y:2016:i:c:p:329-353.

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2016Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange. (2016). Jayawardena, Nirodha I ; Su, Jen-Je ; Li, Bin ; Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:592-608.

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2016Hedging performance of REIT index futures: A comparison of alternative hedge ratio estimation methods. (2016). Zhou, Jian. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:690-698.

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2016Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model. (2016). Huang, Zhuo ; Wang, Tianyi ; Liu, Hao . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:812-821.

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2016Industry returns, market returns and economic fundamentals: Evidence for the United States. (2016). laopodis, nikiforos. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:89-106.

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2016Jumps in equilibrium prices and asymmetric news in foreign exchange markets. (2016). El Ouadghiri, Imane ; Uctum, Remzi . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:218-234.

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2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. (2016). Baruník, Jozef ; Hlinkova, Michaela ; Barunik, Jozef . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514.

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2016Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models. (2016). Bejaoui, Azza ; Karaa, Adel . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:529-545.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017Forecasting house prices using dynamic model averaging approach: Evidence from China. (2017). Wei, YU ; Cao, Yang . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:147-155.

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2016Do foreign institutions outperform in the Taiwan options market?. (2016). Lin, William T ; Chiu, Peter ; Tsai, Shih-Chuan . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:35:y:2016:i:c:p:101-115.

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2016On the robustness of persistence in mutual fund performance. (2016). Matallin-Saez, Juan Carlos ; Tortosa-Ausina, Emili ; Soler-Dominguez, Amparo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:192-231.

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2017Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

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2016Linear time-varying regression with Copula–DCC–GARCH models for volatility. (2016). Kim, Jong-Min ; Jung, Hojin . In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:262-265.

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2016Structural change test in duration of bull and bear markets. (2016). Nicolau, Jo o. In: Economics Letters. RePEc:eee:ecolet:v:146:y:2016:i:c:p:64-67.

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2017On estimating market microstructure noise variance. (2017). Dong, Yingjie ; Tse, Yiu-Kuen. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:59-62.

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2016Variation-based tests for volatility misspecification. (2016). Papanicolaou, Alex ; Giesecke, Kay . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:217-230.

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2016Real-time nowcasting of nominal GDP with structural breaks. (2016). Leiva-Leon, Danilo ; Barnett, William ; Chauvet, Marcelle . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:312-324.

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2016Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (2016). LINTON, OLIVER ; Park, Sujin ; Hong, Seok Young . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:325-347.

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2016Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:1-18.

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2016Bayesian semiparametric modeling of realized covariance matrices. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:19-39.

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2016A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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2016High-dimensional copula-based distributions with mixed frequency data. (2016). Patton, Andrew ; Oh, Dong Hwan . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:349-366.

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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:367-389.

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2016A nonparametric test of a strong leverage hypothesis. (2016). LINTON, OLIVER ; Yen, Yu-Min ; Whang, Yoon-Jae . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:153-186.

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2016Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Ait-Sahalia, Yacine ; Xiu, Dacheng . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

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2016Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data. (2016). Kim, Donggyu ; Wang, Yazhen . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:220-230.

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2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price. (2016). Mykland, Per A ; Zhang, Lan . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:242-262.

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2016Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar ; Quaedvlieg, Rogier . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2017Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

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2017Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:20-41.

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2017Inference from high-frequency data: A subsampling approach. (2017). Christensen, K ; Veliyev, B ; Thamrongrat, N ; Podolskij, M. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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2017Testing for non-correlation between price and volatility jumps. (2017). Jacod, Jean ; Muller, Gernot ; Kluppelberg, Claudia . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:284-297.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef ; Krehlik, Tomas . In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:1:p:329-340.

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2016Portfolio optimization with disutility-based risk measure. (2016). Fulga, Cristinca . In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:2:p:541-553.

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2016Time is money: Costing the impact of duration misperception in market prices. (2016). Sung, Ming-Chien ; McGroarty, Frank . In: European Journal of Operational Research. RePEc:eee:ejores:v:255:y:2016:i:2:p:397-410.

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2017European Exchange Trading Funds Trading with Locally Weighted Support Vector Regression. (2017). Sermpinis, Georgios ; De la Fuente, David ; Rosillo, Rafael ; Stasinakis, Charalampos . In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:1:p:372-384.

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2016The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility. (2016). Byun, Sung Je ; Je, Sung . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:162-180.

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2016Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective. (2016). Bee, Marco ; Trapin, Luca ; Dupuis, Debbie J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:86-99.

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2017Marked Hawkes process modeling of price dynamics and volatility estimation. (2017). Ki, Byoung ; Lee, Kyungsub . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:174-200.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, Peter H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2016Another perspective on gasoline price responses to crude oil price changes. (2016). Rahman, Sajjadur . In: Energy Economics. RePEc:eee:eneeco:v:55:y:2016:i:c:p:10-18.

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2016Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis. (2016). Erdoğdu, Erkan. In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:398-409.

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2016What the investors need to know about forecasting oil futures return volatility. (2016). Wang, Yudong ; Wu, Chongfeng ; Ma, Feng ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:128-139.

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2016The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries. (2016). Manera, Matteo ; Bastianin, Andrea ; Conti, Francesca . In: Energy Policy. RePEc:eee:enepol:v:98:y:2016:i:c:p:160-169.

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2016Implied volatility index for the Norwegian equity market. (2016). Molnár, Peter ; Bugge, Sebastian A ; Ringdal, Martin ; Molnar, Peter ; Guttormsen, Haakon J. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:133-141.

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2016Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. (2016). Filis, George ; Degiannakis, Stavros ; Boldanov, Rustam . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:209-220.

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2017Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data. (2017). Degiannakis, Stavros ; Potamia, Artemis . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:176-190.

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2017Forecasting volatility with interacting multiple models. (2017). Katrak, Xerxis ; Svec, Jiri . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:245-252.

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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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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: 120
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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: 120
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: 120
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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paper21
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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paper134
2011The Model Confidence Set.(2011) In: Econometrica.
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This paper has another version. Agregated cites: 134
article
2012And Now, The Rest of the News: Volatility and Firm Specific News Arrival In: CREATES Research Papers.
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paper1
2004Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets In: Journal of Business & Economic Statistics.
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article53
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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article327
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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article62
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: 62
paper
2003Choosing the best volatility models: the model confidence set approach.(2003) In: FRB Atlanta Working Paper.
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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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paper310
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: 310
article
2003Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models In: Working Papers.
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paper1
2003Testing the Significance of Calendar Effects In: Working Papers.
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paper16
2005Testing the significance of calendar effects.(2005) In: FRB Atlanta Working Paper.
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This paper has another version. Agregated cites: 16
paper
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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paper26
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: 26
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: 26
paper
1998Trades and Quotes: A Bivariate Point Process In: University of California at San Diego, Economics Working Paper Series.
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paper44
2003Trades and Quotes: A Bivariate Point Process.(2003) In: Journal of Financial Econometrics.
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article
2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica.
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article293
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: 293
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: 293
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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article105
2001The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model In: Econometrics Journal.
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article31
2006Consistent ranking of volatility models In: Journal of Econometrics.
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article129
2011Subsampling realised kernels In: Journal of Econometrics.
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article29
2006Subsampling realised kernels.(2006) In: Economics Papers.
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This paper has another version. Agregated cites: 29
paper
2006Subsampling realised kernels.(2006) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 29
paper
2006Subsampling realised kernels.(2006) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2005Model confidence sets for forecasting models In: FRB Atlanta Working Paper.
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paper17
2005Completion time structures of stock price movements In: Annals of Finance.
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article6
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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article5
2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers.
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paper19
2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.(2004) In: OFRC Working Papers Series.
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paper
2005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data In: Journal of Financial Econometrics.
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article81
2007Integrated Covariance Estimation using High-frequency Data in the Presence of Noise In: Journal of Financial Econometrics.
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article55
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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article44

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