Ilya Archakov : Citation Profile

York University

4

H index

1

i10 index

37

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: 16.    Total self citations: 5 (11.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/par639
   Updated: 2026-02-07    RAS profile: 2024-07-23    
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Relations with other researchers

Works with:

Hansen, Peter (7)

Hautsch, Nikolaus (2)

Andersen, Torben (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)

Yu, Jun (3)

Rubio-Ramirez, Juan F (2)

Shin, Minchul (2)

Cepni, Oguzhan (2)

Koopman, Siem Jan (2)

GUPTA, RANGAN (2)

Krištoufek, Ladislav (1)

Cites to:

Hansen, Peter (23)

Shephard, Neil (13)

Engle, Robert (13)

Asai, Manabu (10)

Bollerslev, Tim (8)

Lunde, Asger (8)

Andersen, Torben (6)

Sheppard, Kevin (5)

Chang, Chia-Lin (4)

Omori, Yasuhiro (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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2025Principal 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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2025Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Papers. RePEc:arx:papers:2403.00819.

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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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2025Multivariate stochastic volatility models based on generalized Fisher transformation. (2025). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625000958.

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2025On the efficiency contributions of analyst recommendations to financial markets. (2025). Lee, Suzanne S ; Choi, Youngmin. In: Journal of Financial Markets. RePEc:eee:finmar:v:75:y:2025:i:c:s1386418125000254.

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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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2025Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment. (2025). Romero, Laura Capera ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250041.

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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]		paper14
2021A New Parametrization of Correlation Matrices.(2021) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2021A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices In: Papers.
[Full Text][Citation analysis]		paper2
2025A Multivariate Realized GARCH Model In: Papers.
[Full Text][Citation analysis]		paper7
2022A New Method for Generating Random Correlation Matrices In: Papers.
[Full Text][Citation analysis]		paper1
2024A new method for generating random correlation matrices.(2024) In: The Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		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]		article4
2021A Descriptive Study of High-Frequency Trade and Quote Option Data* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article6

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