Ilya Archakov : Citation Profile


York University

3

H index

1

i10 index

32

Citations

RESEARCH PRODUCTION:

4

Articles

6

Papers

RESEARCH ACTIVITY:

   10 years (2015 - 2025). See details.
   Cites by year: 3
   Journals where Ilya Archakov has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 5 (13.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/par639
   Updated: 2025-06-21    RAS profile: 2024-07-23    
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Relations with other researchers


Works with:

Hansen, Peter (7)

Andersen, Torben (2)

Hautsch, Nikolaus (2)

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

Is cited by:

Hansen, Peter (6)

Fengler, Matthias (3)

Lucas, Andre (3)

Koeniger, Winfried (3)

Rubio-Ramirez, Juan F (2)

Koopman, Siem Jan (2)

Cepni, Oguzhan (2)

GUPTA, RANGAN (2)

Shin, Minchul (2)

Hautsch, Nikolaus (1)

Lange, Rutger-Jan (1)

Cites to:

Hansen, Peter (23)

Engle, Robert (13)

Shephard, Neil (13)

Asai, Manabu (10)

Lunde, Asger (8)

Bollerslev, Tim (8)

Andersen, Torben (6)

Sheppard, Kevin (5)

Ishihara, Tsunehiro (4)

Bauwens, Luc (4)

Diebold, Francis (4)

Main data


Where Ilya Archakov has published?


Working Papers Series with more than one paper published# docs
Papers / arXiv.org5

Recent works citing Ilya Archakov (2025 and 2024)


YearTitle of citing document
2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Principal 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.

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2024Jump 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

2025Dynamic Factor Correlation Model. (2025). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2503.01080.

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2024The 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.

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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2024Parametric 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.

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2024A 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.

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2025The 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.

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2024Literature 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.

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2024Integrated 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.

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2025The 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.

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2024The 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.

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Works by Ilya Archakov:


YearTitleTypeCited
2015A Markov Chain Estimator of Multivariate Volatility from High Frequency Data In: CREATES Research Papers.
[Full Text][Citation analysis]
paper3
2020A New Parametrization of Correlation Matrices In: Papers.
[Full Text][Citation analysis]
paper13
2021A New Parametrization of Correlation Matrices.(2021) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13
article
2021A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices In: Papers.
[Full Text][Citation analysis]
paper1
2025A Multivariate Realized GARCH Model In: Papers.
[Full Text][Citation analysis]
paper6
2022A New Method for Generating Random Correlation Matrices In: Papers.
[Full Text][Citation analysis]
paper0
2024A 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
2024Cluster GARCH In: Papers.
[Full Text][Citation analysis]
paper0
2022Local mispricing and microstructural noise: A parametric perspective In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
2021A Descriptive Study of High-Frequency Trade and Quote Option Data* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article6

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated June, 12 2025. Contact: CitEc Team