Richard Olsen : Citation Profile


Are you Richard Olsen?

University of Essex
Olsen Ltd.

8

H index

7

i10 index

771

Citations

RESEARCH PRODUCTION:

7

Articles

5

Papers

RESEARCH ACTIVITY:

   20 years (1990 - 2010). See details.
   Cites by year: 38
   Journals where Richard Olsen has often published
   Relations with other researchers
   Recent citing documents: 54.    Total self citations: 3 (0.39 %)

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   Permalink: http://citec.repec.org/pol98
   Updated: 2019-10-15    RAS profile: 2010-12-21    
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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 Richard Olsen.

Is cited by:

Bollerslev, Tim (55)

Andersen, Torben (40)

Diebold, Francis (28)

MORANA, CLAUDIO (18)

Caporin, Massimiliano (16)

Gencay, Ramazan (13)

Nielsen, Morten (12)

Fatum, Rasmus (11)

Los, Cornelis (11)

Christensen, Bent Jesper (11)

Ranaldo, Angelo (11)

Cites to:

Dacorogna, Michel (10)

Bollerslev, Tim (6)

Engle, Robert (3)

Lebaron, Blake (3)

von Weizsäcker, Jakob (2)

Andersen, Torben (2)

Morris, Stephen (1)

pagan, adrian (1)

Rogoff, Kenneth (1)

Baillie, Richard (1)

Meese, Richard (1)

Main data


Where Richard Olsen has published?


Journals with more than one article published# docs
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org2

Recent works citing Richard Olsen (2018 and 2017)


YearTitle of citing document
2017Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA. (2017). Bayraci, Seluk. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(612):y:2017:i:3(612):p:71-82.

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2018Wavelet-based methods for high-frequency lead-lag analysis. (2018). Koike, Yuta ; Hayashi, Takaki . In: Papers. RePEc:arx:papers:1612.01232.

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2018Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Hayashi, Takaki ; Koike, Yuta. In: Papers. RePEc:arx:papers:1708.03992.

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2018Multiplicative random cascades with additional stochastic process in financial markets. (2018). Maskawa, Jun-ichi ; Murai, Joshin ; Kuroda, Koji . In: Papers. RePEc:arx:papers:1809.00820.

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2017The Effect of Central Bank Transparency on Exchange Rate Volatility. (2017). Weber, Christoph S. In: Working Papers. RePEc:bav:wpaper:174_weber.

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2019Score-Driven Models for Realized Volatility. (2019). Palumbo, D ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950.

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2017The Exchange Rate Effects of Macro News after the Global Financial Crisis. (2000). Cheung, Yin-Wong ; Yamamoto, Yohei ; Fatum, Rasmus. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2017_007.

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2017Global Risk Aversion Spillover Dynamics and Investors Attention Allocation. (2017). Ceylan, Ozcan. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:ceylan.

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2018Multi-scale causality and extreme tail inter-dependence among housing prices. (2018). Uddin, Gazi ; Yoon, Seong-Min ; Ahmed, Ali ; Kang, Sang Hoon. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:301-309.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2019Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:540-554.

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2019The scale of predictability. (2019). Bandi, F M ; Tebaldi, C ; Tamoni, A ; Perron, B. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:120-140.

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2018Volatility in equity markets and monetary policy rate uncertainty. (2018). Roberts-Sklar, Matt ; Kaminska, Iryna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:68-83.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2018Crude oil risk forecasting: New evidence from multiscale analysis approach. (2018). He, Kaijian ; Liu, Jia ; Zou, Yingchao . In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:574-583.

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2017Fast fractional differencing in modeling long memory of conditional variance for high-frequency data. (2017). Walther, Thomas ; Klein, Tony. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:274-279.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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2018The intraday volatility spillover index approach and an application in the Brexit vote. (2018). Nishimura, Yusaku ; Sun, Bianxia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:241-253.

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2019Central bank announcements and realized volatility of stock markets in G7 countries. (2019). Molnár, Peter ; Lyócsa, Štefan ; Plihal, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:117-135.

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2019Intraday effects of the currency market. (2019). Narayan, Paresh Kumar ; Khademalomoom, Siroos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:65-77.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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2019Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect. (2019). Gong, XU ; Yang, Cai ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:548-563.

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2017Volatility measurement with directional change in Chinese stock market: Statistical property and investment strategy. (2017). Ma, Junjun ; Zhang, Wei ; He, Feng ; Xiong, Xiong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:169-180.

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2018Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes. (2018). Kaffel, Bilel ; Abid, Fathi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1028-1045.

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2018Deviations from universality in the fluctuation behavior of a heterogeneous complex system reveal intrinsic properties of components: The case of the international currency market. (2018). Chakraborty, Abhijit ; Sinha, Sitabhra ; Easwaran, Soumya . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:599-610.

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2018Volatility spillovers between foreign exchange and stock markets in industrialized countries. (2018). Sosvilla-Rivero, Simon ; Morales-Zumaquero, Amalia . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:121-136.

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2019Intra-day dynamics of exchange rates: New evidence from quantile regression. (2019). Kuck, Konstantin ; Maderitsch, Robert. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:247-257.

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2017The one-trading-day-ahead forecast errors of intra-day realized volatility. (2017). Degiannakis, Stavros. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1298-1314.

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2019On the Laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes. (2019). Raju, V L ; Rodosthenous, Neofytos ; Gapeev, Pavel V. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:101272.

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2018The scale of predictability. (2018). Bandi, F M ; Tebaldi, C ; Tamoni, Andrea ; Perron, B. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85646.

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2017The Exchange Rate Effects of Macro News after the Global Financial Crisis. (2017). Yamamoto, Yohei ; Fatum, Rasmus ; Cheung, Yin-Wong. In: Globalization Institute Working Papers. RePEc:fip:feddgw:305.

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2017Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility. (2017). Dong, Yingjie ; Tse, Yiu-Kuen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:51-:d:118613.

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2018Forecasting of Realised Volatility with the Random Forests Algorithm. (2018). Luong, Chuong ; Dokuchaev, Nikolai. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:61-:d:175017.

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2019Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time. (2019). Petrov, Vladimir ; Olsen, Richard ; Golub, Anton . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:54-:d:219095.

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2018Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model. (2018). Shi, Yanlin ; Yang, Yang. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:26-:d:138135.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2019A Practical Guide to Harnessing the HAR Volatility Model. (2019). Preve, D ; Clements, A. In: NCER Working Paper Series. RePEc:qut:auncer:2019_01.

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2017Forecast comparison of volatility models on Russian stock market. (2017). Aganin, Artem. In: Applied Econometrics. RePEc:ris:apltrx:0331.

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2018S&P500 volatility analysis using high-frequency multipower variation volatility proxies. (2018). chin, wencheong ; Lee, Min Cherng. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1345-z.

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2018Beta through the prism of wavelets. (2018). Shah, Aasif ; Farooq, Qaiser ; Tali, Arif. In: Financial Innovation. RePEc:spr:fininn:v:4:y:2018:i:1:d:10.1186_s40854-018-0102-4.

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2017Profiling high-frequency equity price movements in directional changes. (2017). , Edward ; Ma, Shuai ; Serguieva, Antoaneta ; Tao, Ran. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:217-225.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:2-2018.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:39.

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2017INTERMITTENT BEHAVIOR INDUCED BY ASYNCHRONOUS INTERACTIONS IN A CONTINUOUS DOUBLE AUCTION MODEL. (2017). Sasai, Kazuto ; Kinoshita, Tetsuo ; Gunji, Yukio-Pegio. In: Advances in Complex Systems (ACS). RePEc:wsi:acsxxx:v:20:y:2017:i:02n03:n:s0219525917500059.

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2018Does the Information Content of Central Bank Speeches Impact on the Level of Exchange Rate? A Comparative Study of Canadian and Australian Central Bank Communications. (2018). Boulter, Terry ; Bhattacharya, Sukanto ; Masawi, Becksndale. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:21:y:2018:i:01:n:s0219091518500054.

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2019Forecasting the Realized Variance in the Presence of Intraday Periodicity. (2019). DUMITRU, ANA-MARIA ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: EconStor Preprints. RePEc:zbw:esprep:193631.

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2019High-dimensional sparse financial networks through a regularised regression model. (2019). Costola, Michele ; Bernardi, Mauro. In: SAFE Working Paper Series. RePEc:zbw:safewp:244.

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Works by Richard Olsen:


YearTitleTypeCited
2010Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws In: Papers.
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paper16
2009The scale of market quakes In: Papers.
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paper1
2003Foreign exchange trading models and market behavior In: Journal of Economic Dynamics and Control.
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article18
1997Volatilities of different time resolutions -- Analyzing the dynamics of market components In: Journal of Empirical Finance.
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article185
1999The intraday multivariate structure of the Eurofutures markets In: Journal of Empirical Finance.
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article6
1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis In: Journal of Banking & Finance.
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article161
1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market In: Journal of International Money and Finance.
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article240
2002Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates In: International Economic Review.
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article18
1997From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) In: Finance and Stochastics.
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article114
Fractals and Intrinsic Time - a Challenge to Econometricians In: Working Papers.
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paper8
Going Back to the Basics - Rethinking Market Efficiency In: Working Papers.
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paper4
2004Introducing a scale of market shocks In: Finance.
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paper0

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