3
H index
1
i10 index
32
Citations
Ilya Archakov : Citation Profile
York University | RESEARCH PRODUCTION: 4 Articles 6 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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10 years (2015 - 2025). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Ilya Archakov. | Is cited by:
| Cites to:
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Main data
Where Ilya Archakov has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 5 |
Recent works citing Ilya Archakov (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper |
| 2024 | Principal Component Copulas for Capital Modelling and Systemic Risk. (2024). Gubbels, K B ; Ypma, J Y ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2312.13195. Full description at Econpapers || Download paper |
| 2024 | Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Papers. RePEc:arx:papers:2403.00819. Full description at Econpapers || Download paper |
| 2025 | Dynamic Factor Correlation Model. (2025). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2503.01080. Full description at Econpapers || Download paper |
| 2024 | The Transmission of Monetary Policy to the Cost of Hedging. (2024). Koeniger, Winfried ; Fengler, Matthias ; Minger, Stephan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11556. Full description at Econpapers || Download paper |
| 2024 | Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939. Full description at Econpapers || Download paper |
| 2024 | Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures. (2024). Li, Yifan ; Pham, Manh Cuong ; Nolte, Ingmar. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000940. Full description at Econpapers || Download paper |
| 2024 | A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling. (2024). David, S A ; Kristoufek, L ; Queiroz, R. G. S., . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:652:y:2024:i:c:s0378437124005557. Full description at Econpapers || Download paper |
| 2025 | The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501. Full description at Econpapers || Download paper |
| 2024 | Literature review: options and its applications. (2024). Khan, Mohammad Shahfaraz ; Azad, Imran ; Jayaraman, Gopu ; Pathak, Amit Kumar ; Dar, Amir Ahmad. In: SN Business & Economics. RePEc:spr:snbeco:v:4:y:2024:i:8:d:10.1007_s43546-024-00694-7. Full description at Econpapers || Download paper |
| 2024 | Integrated Variance Estimation for Assets Traded in Multiple Venues. (2024). Schweiker, Karsten ; Dias, Gustavo Fruet. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2024-04. Full description at Econpapers || Download paper |
| 2025 | The Transmission of Monetary Policy to the Cost of Hedging. (2025). Koeniger, Winfried ; Fengler, Matthias ; Minger, Stephan. In: Economics Working Paper Series. RePEc:usg:econwp:2025:01. Full description at Econpapers || Download paper |
| 2024 | The transmission of monetary policy to the cost of hedging. (2024). Koeniger, Winfried ; Fengler, Matthias ; Minger, Stephan. In: CFS Working Paper Series. RePEc:zbw:cfswop:308803. Full description at Econpapers || Download paper |
Works by Ilya Archakov:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | A Markov Chain Estimator of Multivariate Volatility from High Frequency Data In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2020 | A New Parametrization of Correlation Matrices In: Papers. [Full Text][Citation analysis] | paper | 13 |
| 2021 | A New Parametrization of Correlation Matrices.(2021) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2021 | A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2025 | A Multivariate Realized GARCH Model In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2022 | A New Method for Generating Random Correlation Matrices In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | A new method for generating random correlation matrices.(2024) In: The Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2024 | Cluster GARCH In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Local mispricing and microstructural noise: A parametric perspective In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2021 | A Descriptive Study of High-Frequency Trade and Quote Option Data* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 6 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated June, 12 2025. Contact: CitEc Team