Peter Malec : Citation Profile


Are you Peter Malec?

University of Cambridge

5

H index

4

i10 index

108

Citations

RESEARCH PRODUCTION:

3

Articles

12

Papers

RESEARCH ACTIVITY:

   6 years (2010 - 2016). See details.
   Cites by year: 18
   Journals where Peter Malec has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 5 (4.42 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma1363
   Updated: 2019-09-14    RAS profile: 2016-10-04    
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Relations with other researchers


Works with:

Hautsch, Nikolaus (7)

Schienle, Melanie (2)

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

Is cited by:

Hautsch, Nikolaus (8)

Gallo, Giampiero (5)

Cipollini, Fabrizio (4)

Patton, Andrew (4)

Engle, Robert (4)

Neely, Christopher (4)

Schienle, Melanie (4)

Hafner, Christian (3)

Fengler, Matthias (3)

Quaedvlieg, Rogier (3)

Horst, Ulrich (3)

Cites to:

Hautsch, Nikolaus (12)

Hansen, Peter (10)

Lunde, Asger (8)

Härdle, Wolfgang (7)

Shephard, Neil (7)

Engle, Robert (7)

Bollerslev, Tim (6)

Voev, Valeri (6)

Barndorff-Nielsen, Ole (5)

Schienle, Melanie (4)

LINTON, OLIVER (4)

Main data


Where Peter Malec has published?


Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany6
CFS Working Paper Series / Center for Financial Studies (CFS)4

Recent works citing Peter Malec (2018 and 2017)


YearTitle of citing document
2018Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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2018Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894.

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2018Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2018Formation of Market Beliefs in the Oil Market. (2018). Anatolyev, Stanislav ; Selezneva, Veronika . In: CERGE-EI Working Papers. RePEc:cer:papers:wp619.

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2017Density estimation on manifolds with boundary. (2017). Berry, Tyrus ; Sauer, Timothy . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:107:y:2017:i:c:p:1-17.

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

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

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2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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2019Structured volatility matrix estimation for non-synchronized high-frequency financial data. (2019). Kim, Donggyu ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:61-78.

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2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

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

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2017Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model. (2017). Touazi, A ; Adjabi, S ; Aissani, D ; Benouaret, Z. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:78-83.

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2019How effective are trading pauses?. (2019). Hautsch, Nikolaus ; Horvath, Akos. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:2:p:378-403.

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2017High-low Strategy of Portfolio Composition using Evolino RNN Ensembles. (2017). Stankeviciene, Jelena ; Maknickas, Algirdas ; Maknickiene, Nijole. In: Engineering Economics. RePEc:exl:25engi:v:28:y:2017:i:2:p:162-169.

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2017Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2017). Neely, Christopher ; Winkelmann, Lars ; Bibinger, Markus. In: Working Papers. RePEc:fip:fedlwp:2017-012.

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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02.

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2017Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642.

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2018Dynamic hedging with futures: a copula-based GARCH model with high-frequency data. (2018). Lai, Yu-Sheng . In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-018-9142-1.

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2019Dynamic discrete mixtures for high frequency prices. (). Santucci de Magistris, Paolo ; di Mari, Roberto ; Catania, Leopoldo. In: Discussion Papers. RePEc:not:notgts:19/05.

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2017Modeling time series with zero observations. (2017). Harvey, Andrew ; Ito, Ryoko . In: Economics Papers. RePEc:nuf:econwp:1701.

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2018Unified estimation of densities on bounded and unbounded domains. (2018). Martins-Filho, Carlos ; Mynbayev, Kairat. In: MPRA Paper. RePEc:pra:mprapa:87044.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:93802.

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2017Time endogeneity and an optimal weight function in pre-averaging covariance estimation. (2017). Koike, Yuta. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:1:d:10.1007_s11203-016-9135-3.

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2017Local orthogonal polynomial expansion for density estimation. (2017). Amali, D P ; Trindade, Alexandre A ; Volobouev, Igor. In: Journal of Nonparametric Statistics. RePEc:taf:gnstxx:v:29:y:2017:i:4:p:806-830.

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2017The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data. (2017). Xu, Yongdeng ; Taylor, Nick. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:7:p:1021-1035.

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2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2019). Blasques, Francisco ; Tomanova, Petra ; Holy, Vladimir. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190004.

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2017Volatility, information feedback and market microstructure noise: A tale of two regimes. (2017). Hautsch, Nikolaus ; Andersen, Torben ; Cebiroglu, Gokhan . In: CFS Working Paper Series. RePEc:zbw:cfswop:569.

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2017How effective are trading pauses?. (2017). Hautsch, Nikolaus ; Horvath, Akos . In: CFS Working Paper Series. RePEc:zbw:cfswop:571.

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2017Large-scale portfolio allocation under transaction costs and model uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: CFS Working Paper Series. RePEc:zbw:cfswop:582.

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2017Estimation and model-based combination of causality networks. (2017). Caporin, Massimiliano ; Bonaccolto, Giovanni ; Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:165.

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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168222.

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Works by Peter Malec:


YearTitleTypeCited
2014Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: Cambridge Working Papers in Economics.
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2014Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 5
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2016A Semiparametric Intraday GARCH Model In: Cambridge Working Papers in Economics.
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2014Nonparametric kernel density estimation near the boundary In: Computational Statistics & Data Analysis.
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article7
2012Nonparametric Kernel Density Estimation Near the Boundary.(2012) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 7
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2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers.
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paper27
2013Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2013) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 27
article
2010Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2010) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 27
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2011Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2011) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 27
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2011The Merit of High-Frequency Data in Portfolio Allocation In: SFB 649 Discussion Papers.
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paper21
2011The merit of high-frequency data in portfolio allocation.(2011) In: CFS Working Paper Series.
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2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? In: SFB 649 Discussion Papers.
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2015Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?.(2015) In: Journal of Applied Econometrics.
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2013Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency In: SFB 649 Discussion Papers.
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2014Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: SFB 649 Discussion Papers.
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paper3

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