6
H index
6
i10 index
169
Citations
Peter Malec : Citation Profile
University of Cambridge | RESEARCH PRODUCTION: 2 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:
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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 |
| SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany | 6 |
| CFS Working Paper Series / Center for Financial Studies (CFS) | 4 |
Recent works citing Peter Malec (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318. Full description at Econpapers || Download paper |
| 2023 | Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix. (2023). Yasuda, Yukie ; Mariotti, Tommaso ; Mancino, Maria Elvira ; Liu, Nien-Lin ; Akahori, Jiro. In: Papers. RePEc:arx:papers:2304.04372. 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 | Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:53-81. Full description at Econpapers || Download paper |
| 2023 | A neural network approach to the environmental Kuznets curve. (2023). Jensen, Sebastian ; Hillebrand, Eric ; Bennedsen, Mikkel. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004838. Full description at Econpapers || Download paper |
| 2023 | Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1. Full description at Econpapers || Download paper |
| 2024 | Dynamic discrete copula models for high?frequency stock price changes. (2018). Lucas, Andre ; Koopman, Siem Jan ; Opschoor, Anne ; Lit, Rutger. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:33:y:2018:i:7:p:966-985. Full description at Econpapers || Download paper |
| 2024 | Recalcitrant betas: Intraday variation in the cross?sectional dispersion of systematic risk. (2021). Andersen, Torben ; Todorov, Viktor ; Thyrsgaard, Martin. In: Quantitative Economics. RePEc:wly:quante:v:12:y:2021:i:2:p:647-682. 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 | 21 |
| 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: 21 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | 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 | 19 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | 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 | 40 |
| 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: 40 | 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: 40 | paper | |
| .() In: . [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 | 22 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | ||
| In: . [Full Text][Citation analysis] | paper | 0 | |
| In: . [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team