Valeri Voev : Citation Profile


Are you Valeri Voev?

Aarhus Universitet
Aarhus Universitet

7

H index

7

i10 index

273

Citations

RESEARCH PRODUCTION:

8

Articles

19

Papers

RESEARCH ACTIVITY:

   10 years (2006 - 2016). See details.
   Cites by year: 27
   Journals where Valeri Voev has often published
   Relations with other researchers
   Recent citing documents: 69.    Total self citations: 9 (3.19 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pvo59
   Updated: 2020-04-04    RAS profile: 2016-01-07    
   Missing citations? Add them    Incorrect content? Let us know

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 (14)

Fengler, Matthias (11)

Hautsch, Nikolaus (11)

Asai, Manabu (10)

Shephard, Neil (10)

Laurent, Sébastien (9)

Stentoft, Lars (8)

Ranaldo, Angelo (8)

Bollerslev, Tim (8)

Bonato, Matteo (7)

Cites to:

Lunde, Asger (34)

Shephard, Neil (30)

Hansen, Peter (25)

Barndorff-Nielsen, Ole (21)

Bollerslev, Tim (19)

Engle, Robert (14)

Andersen, Torben (13)

Diebold, Francis (12)

Bauwens, Luc (8)

Nolte, Ingmar (7)

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 (2018 and 2017)


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

Full description at Econpapers || Download paper

2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

Full description at Econpapers || Download paper

2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

Full description at Econpapers || Download paper

2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

Full description at Econpapers || Download paper

2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2019). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:1809.09928.

Full description at Econpapers || Download paper

2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

Full description at Econpapers || Download paper

2019Time 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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

Full description at Econpapers || Download paper

2017Risk Control: Who Cares?. (2017). Taylor, Nick. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:153-179.

Full description at Econpapers || Download paper

2017Timing Strategy Performance in the Crude Oil Futures Market. (2017). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:17/7.

Full description at Econpapers || Download paper

2019DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations. (2019). Yongdeng, XU ; Luc, BAUWENS. In: CORE Discussion Papers. RePEc:cor:louvco:2019025.

Full description at Econpapers || Download paper

2019Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the US Experience. (2019). Ehouman, Yao Axel. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-19.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018A simple test on structural change in long-memory time series. (2018). Wenger, Kai ; Sibbertsen, Philipp ; Leschinski, Christian. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:90-94.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

Full description at Econpapers || Download paper

2018Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:178-195.

Full description at Econpapers || Download paper

2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637.

Full description at Econpapers || Download paper

2019Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:221-240.

Full description at Econpapers || Download paper

2019Modelling temporal dependence of realized variances with vines. (2019). Okhrin, Yarema ; Ivanov, Eugen ; Czado, Claudia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:198-216.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Exponential smoothing of realized portfolio weights. (2019). Seifert, Miriam Isabel ; Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:222-237.

Full description at Econpapers || Download paper

2019Overconfidence, position size, and the link to performance. (2019). Horton, Joanne ; Forman, John. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:291-309.

Full description at Econpapers || Download paper

2017Timing strategy performance in the crude oil futures market. (2017). Taylor, Nick. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:480-492.

Full description at Econpapers || Download paper

2019Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:639-649.

Full description at Econpapers || Download paper

2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

Full description at Econpapers || Download paper

2019What can explain the price, volatility and trading volume of Bitcoin?. (2019). Molnár, Peter ; Molnar, Peter ; Aalborg, Halvor Aarhus ; de Vries, Jon Erik. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:255-265.

Full description at Econpapers || Download paper

2018Do co-jumps impact correlations in currency markets?. (2018). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:97-119.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?. (2019). Bonato, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:184-202.

Full description at Econpapers || Download paper

2018Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

Full description at Econpapers || Download paper

2018The Twitter myth revisited: Intraday investor sentiment, Twitter activity and individual-level stock return volatility. (2018). Behrendt, Simon ; Schmidt, Alexander . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:355-367.

Full description at Econpapers || Download paper

2018Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns. (2018). Racca, P ; Squazzoni, F ; Dondio, P ; Casarin, R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:458-466.

Full description at Econpapers || Download paper

2019A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio. (2019). Belkacem, Lotfi ; Boubaker, Heni ; Karmous, Aida. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312695.

Full description at Econpapers || Download paper

2018Dynamic hedging performance and downside risk: Evidence from Nikkei index futures. (2018). Ubukata, Masato. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:270-281.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017The Realized Hierarchical Archimedean Copula in Risk Modelling. (2017). Okhrin, Ostap ; Tetereva, Anastasija. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:26-:d:101602.

Full description at Econpapers || Download paper

2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: Post-Print. RePEc:hal:journl:hal-01980815.

Full description at Econpapers || Download paper

2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: Working Papers. RePEc:hal:wpaper:halshs-01944656.

Full description at Econpapers || Download paper

2017The Memory of Volatility. (2017). Wenger, Kai ; Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-601.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Crude oil and gasoline volatility risk into a Realized-EGARCH model. (2019). Ben Sita, Bernard. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:3:d:10.1007_s11156-018-0763-0.

Full description at Econpapers || Download paper

2019Do High-frequency-based Measures Improve Conditional Covariance Forecasts?. (2019). Dumitrescu, Elena Ivona ; Banulescu-Radu, Denisa. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2709.

Full description at Econpapers || Download paper

2017Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances. (2017). Elst, Harry Vander ; Veredas, David. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:1:p:106-138..

Full description at Econpapers || Download paper

2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

Full description at Econpapers || Download paper

2019Factor High-Frequency-Based Volatility (HEAVY) Models. (2019). Xu, Wen ; Sheppard, Kevin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:17:y:2019:i:1:p:33-65..

Full description at Econpapers || Download paper

2017Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Maheu, John ; Yang, Qiao ; Jin, Xin. In: MPRA Paper. RePEc:pra:mprapa:81920.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: MPRA Paper. RePEc:pra:mprapa:83988.

Full description at Econpapers || Download paper

2019Cholesky-ANN models for predicting multivariate realized volatility. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95137.

Full description at Econpapers || Download paper

2018Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts. (2018). Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:96272.

Full description at Econpapers || Download paper

2019Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: MPRA Paper. RePEc:pra:mprapa:96446.

Full description at Econpapers || Download paper

2018Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks. (2018). ben Maatoug, Abderrazak ; Fatnassi, Ibrahim ; Davidson, Russell ; Lamouchi, Rim. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:10:y:2018:i:1:p:1-25.

Full description at Econpapers || Download paper

2019Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model. (2019). Kapetanios, George ; Calonaci, Fabio ; Baillie, Richard T. In: Working Papers. RePEc:qmw:qmwecw:879.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects. (2019). Proietti, Tommaso ; Catania, Leopoldo. In: CEIS Research Paper. RePEc:rtv:ceisrp:450.

Full description at Econpapers || Download paper

2018A latent dynamic factor approach to forecasting multivariate stock market volatility. (2018). Gribisch, Bastian . In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1278-6.

Full description at Econpapers || Download paper

2017Stock market investors use of stop losses and the disposition effect. (2017). Richards, Daniel W ; Fenton, Mark ; Kodwani, Devendra ; Rutterford, Janette. In: The European Journal of Finance. RePEc:taf:eurjfi:v:23:y:2017:i:2:p:130-152.

Full description at Econpapers || Download paper

2017Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns. (2017). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160069.

Full description at Econpapers || Download paper

2019Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings. (0000). van Dijk, Dick ; Lucas, Andre ; Barra, Istvan ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190013.

Full description at Econpapers || Download paper

2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2019). Omori, Yasuhiro ; Yamauchi, Yuta. In: CIRJE F-Series. RePEc:tky:fseres:2019cf1117.

Full description at Econpapers || Download paper

2019Multivariate realized volatility forecasts of agricultural commodity futures. (2019). Chen, Langnan ; Luo, Jiawen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1565-1586.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

Works by Valeri Voev:


YearTitleTypeCited
2008Estimating High-Frequency Based (Co-) Variances: A Unified Approach In: CREATES Research Papers.
[Full Text][Citation analysis]
paper1
2008Modelling and Forecasting Multivariate Realized Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]
paper109
2011Modelling and forecasting multivariate realized volatility.(2011) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 109
article
2009Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise In: CREATES Research Papers.
[Full Text][Citation analysis]
paper0
2011Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2009On the Economic Evaluation of Volatility Forecasts In: CREATES Research Papers.
[Full Text][Citation analysis]
paper13
2010The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts In: CREATES Research Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
paper13
2012Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2011Forecasting Covariance Matrices: A Mixed Frequency Approach In: CREATES Research Papers.
[Full Text][Citation analysis]
paper13
2011Forecasting Covariance Matrices: A Mixed Frequency Approach.(2011) In: Working Papers ECARES.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2012Forecasting Covariance Matrices: A Mixed Frequency Approach.(2012) In: Working Paper Series of the Department of Economics, University of Konstanz.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2010Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors In: Working Papers ECARES.
[Full Text][Citation analysis]
paper5
2011Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors.(2011) In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
[Full Text][Citation analysis]
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.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
2016Forecasting Covariance Matrices: A Mixed Approach In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article3
2007Integrated Covariance Estimation using High-frequency Data in the Presence of Noise In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article58
2011Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article4
2009Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise In: Working Papers.
[Full Text][Citation analysis]
paper2
2014REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article35
2006A trade-by-trade surprise measure and its relation to observed spreads on the NYSE In: CoFE Discussion Papers.
[Full Text][Citation analysis]
paper0
2007Dynamic modeling of large dimensional covariance matrices In: CoFE Discussion Papers.
[Full Text][Citation analysis]
paper0
2007Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market In: CoFE Discussion Papers.
[Full Text][Citation analysis]
paper0
2007Estimating high-frequency based (co-) variances: A unified approach In: CoFE Discussion Papers.
[Full Text][Citation analysis]
paper1
2008Modelling and forecasting multivariate realized volatility In: CoFE Discussion Papers.
[Full Text][Citation analysis]
paper2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2020. Contact: CitEc Team