7
H index
7
i10 index
216
Citations
Peter Malec : Citation Profile
University of Cambridge | RESEARCH PRODUCTION: 3 Articles 18 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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6 years (2010 - 2016). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Peter Malec. | Is cited by:
| Cites to:
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Main data
Where Peter Malec has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk | 6 |
| CFS Working Paper Series / Center for Financial Studies (CFS) | 4 |
Recent works citing Peter Malec (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2024). Blasques, Francisco ; Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1812.07318. Full description at Econpapers || Download paper |
| 2025 | Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper |
| 2025 | 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 |
| 2024 | A nonparametric test for diurnal variation in spot correlation processes. (2024). Liu, Zhi ; Hounyo, Ulrich ; Christensen, Kim. In: Papers. RePEc:arx:papers:2408.02757. Full description at Econpapers || Download paper |
| 2025 | Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation. (2025). Simsek, Yasin. In: Papers. RePEc:arx:papers:2510.12911. Full description at Econpapers || Download paper |
| 2024 | Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104. Full description at Econpapers || Download paper |
| 2025 | Multiplicative Error Models: 20 years on. (2025). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229. Full description at Econpapers || Download paper |
| 2025 | Testing liquidity: A statistical theory based on asset staleness. (2025). Trapin, Luca ; Pollastri, Alessandro ; Pirino, Davide. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:23-40. Full description at Econpapers || Download paper |
| 2024 | Realized normal volatility and maximum outlying jumps in high frequency returns for Korean won–US Dollar. (2024). Chae-Deug, YI. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s105752192400276x. Full description at Econpapers || Download paper |
| 2025 | Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization. (2025). Lai, Yu-Sheng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000236. Full description at Econpapers || Download paper |
| 2024 | Multi-period portfolio optimization using a deep reinforcement learning hyper-heuristic approach. (2024). Yang, Xiaoying ; Cui, Tianxiang ; Ding, Shusheng ; Du, Nanjiang. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:198:y:2024:i:c:s0040162523006297. Full description at Econpapers || Download paper |
| 2024 | A novel two-sample test within the space of symmetric positive definite matrix distributions and its application in finance. (2024). Miloevi, Bojana ; Luki, Ikica. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:76:y:2024:i:5:d:10.1007_s10463-024-00902-z. Full description at Econpapers || Download paper |
| 2024 | Multiple combined gamma kernel estimations for nonnegative data with Bayesian adaptive bandwidths. (2024). Beddek, Said ; Mamode, Naushad A ; Adjabi, Smail ; Kokonendji, Clestin C ; Som, Sobom M. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:2:d:10.1007_s00180-023-01327-7. Full description at Econpapers || Download paper |
| 2024 | Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting. (2024). Opschoor, Anne ; Romero, Laura Capera. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240059. Full description at Econpapers || Download paper |
| 2025 | Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment. (2025). Romero, Laura Capera ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250041. Full description at Econpapers || Download paper |
Works by Peter Malec:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 24 |
| 2014 | Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
| 2014 | Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
| 2016 | A Semiparametric Intraday GARCH Model In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Nonparametric kernel density estimation near the boundary In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 20 |
| 2012 | Nonparametric Kernel density estimation near the boundary.(2012) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2010 | Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2011 | The Merit of High-Frequency Data in Portfolio Allocation In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 19 |
| 2012 | Nonparametric Kernel Density Estimation Near the Boundary In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 32 |
| 2014 | Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 42 |
| 2010 | Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2010) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 42 | paper | |
| 2011 | Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2011) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 42 | paper | |
| 2010 | Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2010) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 42 | paper | |
| 2015 | Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations? In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 40 |
| 2013 | Do high-frequency data improve high-dimensional portfolio allocations?.(2013) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
| 2011 | The merit of high-frequency data in portfolio allocation In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 23 |
| 2011 | The merit of high-frequency data in portfolio allocation.(2011) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2013 | Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
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