24
H index
32
i10 index
5785
Citations
Copenhagen Business School (10% share) | 24 H index 32 i10 index 5785 Citations RESEARCH PRODUCTION: 33 Articles 54 Papers 1 Books RESEARCH ACTIVITY: 30 years (1994 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pha63 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Peter Hansen. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 5 |
Journal of Financial Econometrics | 4 |
Journal of Business & Economic Statistics | 3 |
Journal of Business & Economic Statistics | 3 |
Econometrica | 2 |
Econometrica | 2 |
Economics Letters | 2 |
Journal of Applied Econometrics | 2 |
Journal of Futures Markets | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 12 |
Economics Working Papers / European University Institute | 4 |
OFRC Working Papers Series / Oxford Financial Research Centre | 4 |
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta | 3 |
Post-Print / HAL | 2 |
Year | Title of citing document | |
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2023 | . Full description at Econpapers || Download paper | |
2023 | Business cycle and realized losses in the consumer credit industry. (2023). Vrins, Frederic ; Roccazzella, Francesco ; Distaso, Walter. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023007. Full description at Econpapers || Download paper | |
2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper | |
2023 | A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387. Full description at Econpapers || Download paper | |
2023 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
2023 | Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577. Full description at Econpapers || Download paper | |
2023 | Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430. Full description at Econpapers || Download paper | |
2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2023 | Generic Identifiability for REMIS: The Cointegrated Unit Root VAR. (2022). Deistler, Manfred ; Soegner, Leopold ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2204.05952. Full description at Econpapers || Download paper | |
2023 | Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738. Full description at Econpapers || Download paper | |
2023 | Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896. Full description at Econpapers || Download paper | |
2024 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2023 | A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper | |
2024 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper | |
2023 | The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective. (2022). Veraart, Almut ; Pakkanen, Mikko ; Lucchese, Lorenzo. In: Papers. RePEc:arx:papers:2211.13777. Full description at Econpapers || Download paper | |
2023 | Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362. Full description at Econpapers || Download paper | |
2023 | Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833. Full description at Econpapers || Download paper | |
2023 | Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592. Full description at Econpapers || Download paper | |
2023 | Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model. (2023). Simsek, Yasin ; Cakmakli, Cem. In: Papers. RePEc:arx:papers:2301.13692. Full description at Econpapers || Download paper | |
2024 | Data-driven Approach for Static Hedging of Exchange Traded Options. (2023). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2302.00728. Full description at Econpapers || Download paper | |
2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper | |
2023 | Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002. Full description at Econpapers || Download paper | |
2023 | Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers || Download paper | |
2023 | High-Frequency Volatility Estimation with Fast Multiple Change Points Detection. (2023). Polak, Pawel ; Ainasse, El Mehdi ; Balabhadra, Greeshma. In: Papers. RePEc:arx:papers:2303.10550. Full description at Econpapers || Download paper | |
2023 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper | |
2024 | Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow. (2023). Lenskiy, Artem ; Hao, Mingyu. In: Papers. RePEc:arx:papers:2304.02472. Full description at Econpapers || Download paper | |
2023 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
2023 | Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298. Full description at Econpapers || Download paper | |
2023 | Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991. Full description at Econpapers || Download paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067. Full description at Econpapers || Download paper | |
2023 | Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data. (2023). Suominen, Hanna ; Lensky, Artem ; Isai, Leigh ; Lalbakhsh, Pooia ; Ge, Wenbo. In: Papers. RePEc:arx:papers:2306.12446. Full description at Econpapers || Download paper | |
2023 | Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. (2023). Wang, Hanchao ; Linton, Oliver ; Bu, Ruijun. In: Papers. RePEc:arx:papers:2307.01348. Full description at Econpapers || Download paper | |
2023 | Sparsified Simultaneous Confidence Intervals for High-Dimensional Linear Models. (2023). Wang, Peng ; Qin, Yichen ; Zhu, Xiaorui. In: Papers. RePEc:arx:papers:2307.07574. Full description at Econpapers || Download paper | |
2023 | The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis. (2023). Ampountolas, Apostolos. In: Papers. RePEc:arx:papers:2307.09137. Full description at Econpapers || Download paper | |
2023 | Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418. Full description at Econpapers || Download paper | |
2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper | |
2023 | Recurrent Neural Networks with more flexible memory: better predictions than rough volatility. (2023). Ragel, Vincent ; Challet, Damien. In: Papers. RePEc:arx:papers:2308.08550. Full description at Econpapers || Download paper | |
2024 | DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling. (2023). Kohn, Robert ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Liu, Chen. In: Papers. RePEc:arx:papers:2309.02072. Full description at Econpapers || Download paper | |
2023 | Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705. Full description at Econpapers || Download paper | |
2023 | Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511. Full description at Econpapers || Download paper | |
2023 | BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438. Full description at Econpapers || Download paper | |
2023 | From Deep Filtering to Deep Econometrics. (2023). Bilokon, Paul ; Stok, Robert. In: Papers. RePEc:arx:papers:2311.06256. Full description at Econpapers || Download paper | |
2024 | Jump detection in high-frequency order prices. (2024). Ristig, Alexander ; Hautsch, Nikolaus ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2403.00819. Full description at Econpapers || Download paper | |
2023 | Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2024 | Nowcasting Italian GDP growth: a Factor MIDAS approach. (2024). Silvestrini, Andrea ; Prifti, Orest ; Ceci, Donato. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1446_24. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Investor attention and the predictability of the volatility of CNY?CNH spreads: Evidence from a GARCH?MIDAS model. (2023). Zhang, Zhipeng ; Li, Xiaoping ; Duan, Jihong ; Pan, Junyu. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:5:p:4939-4959. Full description at Econpapers || Download paper | |
2023 | Tail risk of coal futures in Chinas market. (2023). Wan, Qing ; Wang, Minglu ; Shen, ZE. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s2:p:2827-2845. Full description at Econpapers || Download paper | |
2023 | The impact of ESG news on the volatility of the Portuguese stock market—Does it change during recessions?. (2023). Catalolopes, Margarida ; Zanatto, Cassio ; Carrilhonunes, Ines ; Pina, Joaquim P. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:32:y:2023:i:8:p:5821-5832. Full description at Econpapers || Download paper | |
2023 | Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047. Full description at Econpapers || Download paper | |
2023 | S&P 500 volatility, volatility regimes, and economic uncertainty. (2023). Chatrath, Arjun ; Adrangi, Bahram ; Raffiee, Kambiz. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1362-1387. Full description at Econpapers || Download paper | |
2024 | Predictive model averaging with parameter instability and heteroskedasticity. (2024). Yin, Anwen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:418-442. Full description at Econpapers || Download paper | |
2023 | Understanding the transmission of crash risk between cryptocurrency and equity markets. (2023). Corbet, Shaen ; Liu, Zhifeng ; Toan, Luu Duc ; Goodell, John W ; Dai, Pengfei. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:539-573. Full description at Econpapers || Download paper | |
2023 | Role of weather in the natural gas market: Insights from the STL?GARCH?W method. (2023). Pan, Zhigang ; Huang, Yisu ; Xia, Zhenglan ; Peng, Lijuan. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:3:p:304-323. Full description at Econpapers || Download paper | |
2024 | Exploring the impact of oil security attention on oil volatility: A new perspective. (2024). Liang, Chao ; Wang, LU. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80. Full description at Econpapers || Download paper | |
2023 | Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1. Full description at Econpapers || Download paper | |
2023 | Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8. Full description at Econpapers || Download paper | |
2023 | Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1. Full description at Econpapers || Download paper | |
2023 | The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets. (2023). Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2303. Full description at Econpapers || Download paper | |
2023 | The Asymmetric Impact of Economic Policy and Oil Price Uncertainty on Inflation: Evidence from Developed and Emerging Economies. (2023). Anderl, Christina ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10276. Full description at Econpapers || Download paper | |
2023 | Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366. Full description at Econpapers || Download paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Palandri, A ; Gallo, G M ; Cipollini, F. In: Working Paper CRENoS. RePEc:cns:cnscwp:202308. Full description at Econpapers || Download paper | |
2023 | The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018. Full description at Econpapers || Download paper | |
2023 | Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019. Full description at Econpapers || Download paper | |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper | |
2023 | Multi-horizon uniform superior predictive ability revisited: A size-exploiting and consistent test. (2023). Wilfling, Bernd ; Monschang, Verena ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:10623. Full description at Econpapers || Download paper | |
2023 | Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569. Full description at Econpapers || Download paper | |
2024 | A stochastic volatility model for volatility asymmetry and propagation. (2024). Lopes, Maria Helena ; Romero, Eva ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43887. Full description at Econpapers || Download paper | |
2024 | Probabilistic forecast-based portfolio optimization of electricity demand at low aggregation levels. (2024). Jeon, Joo Young ; Alvarenga, Estevo ; Park, Jungyeon ; Ahn, Kwangwon ; Kim, Hokyun ; Petropoulos, Fotios ; Li, Ran. In: Applied Energy. RePEc:eee:appene:v:353:y:2024:i:pb:s0306261923014733. Full description at Econpapers || Download paper | |
2024 | A secondary decomposition-ensemble framework for interval carbon price forecasting. (2024). Wang, Shouyang ; Xie, Gang ; Liu, Shuihan. In: Applied Energy. RePEc:eee:appene:v:359:y:2024:i:c:s0306261923019773. Full description at Econpapers || Download paper | |
2024 | Price forecasting in the Ontario electricity market via TriConvGRU hybrid model: Univariate vs. multivariate frameworks. (2024). Charlin, Laurent ; Pineau, Pierre-Olivier ; Ehsani, Behdad. In: Applied Energy. RePEc:eee:appene:v:359:y:2024:i:c:s0306261924000321. Full description at Econpapers || Download paper | |
2023 | The relative importance of overnight sentiment versus trading-hour sentiment in volatility forecasting. (2023). Qiu, Jianying ; Wan, Xinmin ; Chu, Xiaojun. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000400. Full description at Econpapers || Download paper | |
2024 | Time inhomogeneous multivariate Markov chains: Detecting and testing multiple structural breaks occurring at unknown dates. (2024). Nicolau, Joo ; Damasio, Bruno. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077924000298. Full description at Econpapers || Download paper | |
2023 | Visualization and assessment of model selection uncertainty. (2023). Li, Rong ; Wang, Linna ; Qin, Yichen. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:178:y:2023:i:c:s0167947322001785. Full description at Econpapers || Download paper | |
2023 | Employee sentiment and stock returns. (2023). Zhou, Guofu ; Yao, Jiaquan ; Tang, Guohao ; Chen, Jian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000428. Full description at Econpapers || Download paper | |
2023 | Nonparametric tests for market timing ability using daily mutual fund returns. (2023). Peng, Liang ; Liu, Xiaohui ; Jiang, Lei ; Ding, Jing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:150:y:2023:i:c:s0165188923000416. Full description at Econpapers || Download paper | |
2023 | Risk transmission of El Niño-induced climate change to regional Green Economy Index. (2023). Wang, LU ; Yu, Sixin ; Li, Yan ; Zhang, LI. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:860-872. Full description at Econpapers || Download paper | |
2023 | Are low frequency macroeconomic variables important for high frequency electricity prices?. (2023). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003972. Full description at Econpapers || Download paper | |
2023 | Nowcasting Chinese GDP in a data-rich environment: Lessons from machine learning algorithms. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000160. Full description at Econpapers || Download paper | |
2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper | |
2023 | Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797. Full description at Econpapers || Download paper | |
2023 | Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market. (2023). Garrett, Ian ; Liu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s026499932300295x. Full description at Econpapers || Download paper | |
2023 | Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2008 | Reduced-Rank Regression: A Useful Determinant Identity In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 300 |
2011 | Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 300 | article | |
2011 | Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 300 | paper | |
2009 | Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 300 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 300 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Series Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 300 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 300 | paper | |
2009 | Quadratic Variation by Markov Chains In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
2010 | Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 46 |
2014 | ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR.(2014) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | article | |
2010 | Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 23 |
2010 | Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 16 |
2012 | Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility.(2012) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2012 | Realized 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 nother version. Agregated cites: 16 | paper | |
2010 | The Model Confidence Set In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 987 |
2011 | The Model Confidence Set.(2011) In: Econometrica. [Citation analysis] This paper has nother version. Agregated cites: 987 | article | |
2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 76 |
2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation.(2012) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 76 | paper | |
2012 | Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 101 |
2012 | Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 101 | paper | |
2016 | Exponential GARCH Modeling With Realized Measures of Volatility.(2016) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 101 | article | |
2012 | Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 25 |
2012 | Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics.(2012) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2015 | Equivalence Between Out?of?Sample Forecast Comparisons and Wald Statistics.(2015) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
2015 | A Martingale Decomposition of Discrete Markov Chains In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | A martingale decomposition of discrete Markov chains.(2015) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
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 | 9 |
2021 | A New Parametrization of Correlation Matrices.(2021) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
2021 | A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | A Multivariate Realized GARCH Model In: Papers. [Full Text][Citation analysis] | paper | 3 |
2021 | Periodicity in Cryptocurrency Volatility and Liquidity In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Periodicity in Cryptocurrency Volatility and Liquidity*.(2024) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2022 | Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants In: Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants.(2022) In: The Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2021 | Realized GARCH, CBOE VIX, and the Volatility Risk Premium In: Papers. [Full Text][Citation analysis] | paper | 1 |
2024 | Realized GARCH, CBOE VIX, and the Volatility Risk Premium.(2024) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2022 | Option Pricing with State-dependent Pricing Kernel In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Option pricing with state?dependent pricing kernel.(2022) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2022 | Option Pricing with Time-Varying Volatility Risk Aversion In: Papers. [Full Text][Citation analysis] | paper | 2 |
2022 | A New Method for Generating Random Correlation Matrices In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Characterizing Correlation Matrices that Admit a Clustered Factor Representation In: Papers. [Full Text][Citation analysis] | paper | 1 |
2023 | Characterizing correlation matrices that admit a clustered factor representation.(2023) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2023 | Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Convolution-t Distributions In: Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | A Test for Superior Predictive Ability In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 657 |
2006 | Realized Variance and Market Microstructure Noise In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 631 |
2006 | Rejoinder In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2003 | Choosing the Best Volatility Models: The Model Confidence Set Approach* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 126 |
2003 | Choosing the Best Volatility Models:The Model Confidence Set Approach.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 126 | paper | |
2003 | Choosing the best volatility models: the model confidence set approach.(2003) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 126 | paper | |
2000 | Structural Changes in the Cointegrated Vector Autoregressive Model In: Working Papers. [Full Text][Citation analysis] | paper | 94 |
2003 | Structural changes in the cointegrated vector autoregressive model.(2003) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 94 | article | |
2001 | A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? In: Working Papers. [Full Text][Citation analysis] | paper | 775 |
2005 | A forecast comparison of volatility models: does anything beat a GARCH(1,1)?.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 775 | article | |
2001 | An Unbiased and Powerful Test for Superior Predictive Ability In: Working Papers. [Full Text][Citation analysis] | paper | 29 |
2003 | Asymptotic Tests of Composite Hypotheses In: Working Papers. [Full Text][Citation analysis] | paper | 28 |
2000 | The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes. In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2008 | Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica. [Full Text][Citation analysis] | article | 755 |
2006 | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 755 | paper | |
2006 | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 755 | paper | |
2004 | Realized Variance and IID Market Microstructure Noise In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 30 |
2000 | Structural Breaks in the Cointegrated Vector Autoregressive Model In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 6 |
2005 | Grangers representation theorem: A closed-form expression for I(1) processes In: Econometrics Journal. [Full Text][Citation analysis] | article | 29 |
2006 | Consistent ranking of volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 203 |
2011 | Subsampling realised kernels In: Journal of Econometrics. [Full Text][Citation analysis] | article | 47 |
2006 | Subsampling realised kernels.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2006 | Subsampling realised kernels.(2006) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2022 | How should parameter estimation be tailored to the objective? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
2020 | How Should Parameter Estimation Be Tailored to the Objective?.(2020) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2005 | Testing the significance of calendar effects In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 18 |
2005 | Model confidence sets for forecasting models In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 21 |
1995 | Subsidising consumer services: effects on employment, welfare and the informal economy In: Fiscal Studies. [Full Text][Citation analysis] | article | 19 |
2008 | The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 4 |
1994 | Consumer Services, Employment and the Informal Economy. In: EPRU Working Paper Series. [Citation analysis] | paper | 0 |
2004 | Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers. [Full Text][Citation analysis] | paper | 31 |
2004 | Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
2019 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 23 |
2016 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2005 | A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 173 |
1998 | Workbook on Cointegration In: OUP Catalogue. [Citation analysis] | book | 42 |
2008 | Moving Average-Based Estimators of Integrated Variance In: Econometric Reviews. [Full Text][Citation analysis] | article | 49 |
2015 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2021 | A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 8 |
2012 | Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics. [Citation analysis] | article | 287 |
2014 | REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 66 |
2017 | Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 20 |
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