Valeri Voev : Citation Profile


Are you Valeri Voev?

Aarhus Universitet
Aarhus Universitet

7

H index

7

i10 index

294

Citations

RESEARCH PRODUCTION:

8

Articles

18

Papers

RESEARCH ACTIVITY:

   10 years (2006 - 2016). See details.
   Cites by year: 29
   Journals where Valeri Voev has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 9 (2.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pvo59
   Updated: 2021-03-01    RAS profile: 2016-01-07    
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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 Valeri Voev.

Is cited by:

McAleer, Michael (15)

Caporin, Massimiliano (13)

Fengler, Matthias (11)

Hautsch, Nikolaus (11)

Shephard, Neil (10)

Asai, Manabu (10)

Hansen, Peter (9)

Bollerslev, Tim (9)

Laurent, Sébastien (9)

Patton, Andrew (8)

Quaedvlieg, Rogier (8)

Cites to:

Lunde, Asger (28)

Shephard, Neil (25)

Hansen, Peter (20)

Bollerslev, Tim (17)

Barndorff-Nielsen, Ole (16)

Engle, Robert (13)

Diebold, Francis (11)

Andersen, Torben (11)

Bauwens, Luc (8)

Nolte, Ingmar (8)

Christensen, Kim (7)

Main data


Where Valeri Voev has published?


Journals with more than one article published# docs
Journal of Financial Econometrics3
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
CoFE Discussion Papers / University of Konstanz, Center of Finance and Econometrics (CoFE)5
Working Papers ECARES / ULB -- Universite Libre de Bruxelles2

Recent works citing Valeri Voev (2021 and 2020)


YearTitle of citing document
2020Volatility Transmission between Oil Prices and Stock Prices as a New Source of Instability: Lessons from the UK Experience. (2020). Of, Dundee University ; Robertson, John . In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2020:p:217-223.

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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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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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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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2020A New Parametrization of Correlation Matrices. (2020). Hansen, Peter Reinhard ; Archakov, Ilya . In: Papers. RePEc:arx:papers:2012.02395.

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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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2020Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2007.

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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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2020A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection. (2020). Tong, Yongbo ; Xu, Qifa ; Ding, Xiaoyi ; Jiang, Cuixia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300993.

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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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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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2020Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302875.

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2020Forecasting risk measures using intraday data in a generalized autoregressive score framework. (2020). Xue, Xiaohan ; Lazar, Emese. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1057-1072.

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2020Forecasting volatility with time-varying leverage and volatility of volatility effects. (2020). Proietti, Tommaso ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1301-1317.

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2020A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices. (2020). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela. In: Working Papers. RePEc:sep:wpaper:3_234.

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2021Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution. (2021). Lucas, Andr E ; Blasques, Francisco ; Rossini, Luca ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210010.

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2020On long memory origins and forecast horizons. (2020). Veravaldes, Eduardo J. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:5:p:811-826.

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2020Cholesky–ANN models for predicting multivariate realized volatility. (2020). Bucci, Andrea. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:6:p:865-876.

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Works by Valeri Voev:


YearTitleTypeCited
2008Estimating High-Frequency Based (Co-) Variances: A Unified Approach In: CREATES Research Papers.
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2007Estimating high-frequency based (co-) variances: A unified approach.(2007) In: CoFE Discussion Papers.
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This paper has another version. Agregated cites: 2
paper
2008Modelling and Forecasting Multivariate Realized Volatility In: CREATES Research Papers.
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paper122
2011Modelling and forecasting multivariate realized volatility.(2011) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 122
article
2008Modelling and forecasting multivariate realized volatility.(2008) In: CoFE Discussion Papers.
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This paper has another version. Agregated cites: 122
paper
2009Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise In: CREATES Research Papers.
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paper3
2011Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 3
article
2009On the Economic Evaluation of Volatility Forecasts In: CREATES Research Papers.
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paper13
2010The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts In: CREATES Research Papers.
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paper14
2013The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts.(2013) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 14
article
2010Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility In: CREATES Research Papers.
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paper13
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: 13
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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paper
2011Forecasting Covariance Matrices: A Mixed Frequency Approach In: CREATES Research Papers.
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2011Forecasting Covariance Matrices: A Mixed Frequency Approach.(2011) In: Working Papers ECARES.
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This paper has another version. Agregated cites: 13
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2012Forecasting Covariance Matrices: A Mixed Frequency Approach.(2012) In: Working Paper Series of the Department of Economics, University of Konstanz.
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2010Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors In: Working Papers ECARES.
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2011Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors.(2011) In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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This paper has another version. Agregated cites: 5
article
2011Forecasting multivariate volatility using the VARFIMA model on realized covariance cholesky factors.(2011) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 5
paper
2016Forecasting Covariance Matrices: A Mixed Approach In: Journal of Financial Econometrics.
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article3
2007Integrated Covariance Estimation using High-frequency Data in the Presence of Noise In: Journal of Financial Econometrics.
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article59
2011Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach In: Journal of Financial Econometrics.
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article4
2014REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY In: Journal of Applied Econometrics.
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article43
2006A trade-by-trade surprise measure and its relation to observed spreads on the NYSE In: CoFE Discussion Papers.
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2007Dynamic modeling of large dimensional covariance matrices In: CoFE Discussion Papers.
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2007Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market In: CoFE Discussion Papers.
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