Ilya Archakov : Citation Profile

York University

5

H index

1

i10 index

48

Citations

RESEARCH PRODUCTION:

4

Articles

6

Papers

RESEARCH ACTIVITY:

   10 years (2015 - 2025). See details.
   Cites by year: 4
   Journals where Ilya Archakov has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 5 (9.43 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/par639
   Updated: 2026-04-04    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)

Koeniger, Winfried (3)

Yu, Jun (3)

Lucas, Andre (3)

Koopman, Siem Jan (2)

Rubio-Ramirez, Juan F (2)

Shin, Minchul (2)

Cepni, Oguzhan (2)

GUPTA, RANGAN (2)

Capera Romero, Laura (1)

Cites to:

Hansen, Peter (23)

Engle, Robert (13)

Shephard, Neil (13)

Asai, Manabu (10)

Bollerslev, Tim (8)

Lunde, Asger (8)

Andersen, Torben (6)

Sheppard, Kevin (5)

Koopman, Siem Jan (4)

Diebold, Francis (4)

Omori, Yasuhiro (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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2025Principled Identification of Structural Dynamic Models. (2025). Hansen, Peter Reinhard ; Francis, Neville ; Tong, Chen. In: Papers. RePEc:arx:papers:2512.17005.

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2026A Robust Similarity Estimator. (2026). Archakov, Ilya. In: Papers. RePEc:arx:papers:2601.12198.

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2026Spectral Dynamics and Regularization for High-Dimensional Copulas. (2026). Gubbels, Koos B ; Lucas, Andre. In: Papers. RePEc:arx:papers:2601.13281.

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2026Multivariate Stochastic Volatility Model with Block Correlations. (2026). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Working Papers. RePEc:boa:wpaper:202638.

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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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2025Structured covariance matrix estimation under volatility constraint. (2025). Wu, Yongqiang ; Lan, Wei ; Zhang, Jun. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pd:s1544612325013054.

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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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2025V-shapes. (2025). Ren, Roberto ; Flora, Maria. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:179:y:2025:i:c:s0378426625001414.

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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]		paper17
2021A New Parametrization of Correlation Matrices.(2021) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2021A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices In: Papers.
[Full Text][Citation analysis]		paper6
2025A Multivariate Realized GARCH Model In: Papers.
[Full Text][Citation analysis]		paper9
2022A New Method for Generating Random Correlation Matrices In: Papers.
[Full Text][Citation analysis]		paper2
2024A new method for generating random correlation matrices.(2024) In: The Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		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]		article5
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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