Roger J. A. Laeven : Citation Profile

Are you Roger J. A. Laeven?

Universiteit van Tilburg (20% share)
Universiteit van Amsterdam (20% share)
Universiteit van Amsterdam (20% share)
Universiteit van Amsterdam (20% share)

15

H index

19

i10 index

860

Citations

RESEARCH PRODUCTION:

38

Articles

44

Papers

RESEARCH ACTIVITY:

   20 years (2004 - 2024). See details.
   Cites by year: 43
   Journals where Roger J. A. Laeven has often published
   Relations with other researchers
   Recent citing documents: 112.    Total self citations: 52 (5.7 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla400
   Updated: 2024-12-03    RAS profile: 2024-09-06    
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Relations with other researchers

Works with:

Ikefuji, Masako (2)

Dhaene, Jan (2)

Einmahl, John (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Roger J. A. Laeven.

Is cited by:

Righi, Marcelo (13)

Mierzejewski, Fernando (12)

Guillen, Montserrat (10)

Ben Amar, Amine (10)

Vanduffel, Steven (9)

Goutte, Stéphane (9)

Siu, Tak Kuen (7)

Dhaene, Jan (7)

Forbes, Catherine (7)

Linders, Daniël (6)

Yang, Xiye (6)

Cites to:

Dhaene, Jan (38)

Marinacci, Massimo (25)

EECKHOUDT, LOUIS (24)

Gilboa, Itzhak (21)

Chateauneuf, Alain (18)

Maccheroni, Fabio (18)

Strzalecki, Tomasz (16)

Epstein, Larry (15)

Duffie, Darrell (15)

merton, robert (15)

Rustichini, Aldo (14)

Main data

Where Roger J. A. Laeven has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics17
Journal of Econometrics4
Journal of the American Statistical Association2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org17
Tinbergen Institute Discussion Papers / Tinbergen Institute5

Recent works citing Roger J. A. Laeven (2024 and 2023)

YearTitle of citing document
2023FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera.

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2023A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001.

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2023A mutually exciting rough jump diffusion for financial modelling. (2023). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023011.

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2023A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2024Forward BSDEs and backward SPDEs for utility maximization under endogenous pricing. (2020). Stadje, Mitja ; Nguyen, Thai. In: Papers. RePEc:arx:papers:2005.04312.

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2024Retirement decision and optimal consumption-investment under addictive habit persistence. (2020). Yuan, Fengyi ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2011.10166.

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2024Monotone additive statistics. (2021). Strack, Philipp ; Mu, Xiaosheng ; Tamuz, Omer ; Pomatto, Luciano. In: Papers. RePEc:arx:papers:2102.00618.

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2024Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. (2021). Zhang, Qinyi ; Yu, Xiang ; Li, Xun . In: Papers. RePEc:arx:papers:2108.02648.

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2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2023A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2208.14809.

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2024Statistical inference for rough volatility: Central limit theorems. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216.

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2023Multi-kernel property in high-frequency price dynamics under Hawkes model. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2302.11822.

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2023Asymptotic Expansions for High-Frequency Option Data. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

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2024Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137.

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2023A note on the induction of comonotonic additive risk measures from acceptance sets. (2023). de Oliveira, Eduardo ; Righi, Marcelo Brutti ; Moresco, Marlon Ruoso ; Santos, Samuel Solgon. In: Papers. RePEc:arx:papers:2307.04647.

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2023Changes in Risk Appreciation, and Short Memory of House Buyers When the Market is Hot, a Case Study of Christchurch, New Zealand. (2023). Reale, Marco ; Dunker, Fabian ; Mendoza, Emil. In: Papers. RePEc:arx:papers:2307.13232.

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2024Uncertainty Propagation and Dynamic Robust Risk Measures. (2023). Pesenti, Silvana ; Mailhot, M'Elina ; Moresco, Marlon. In: Papers. RePEc:arx:papers:2308.12856.

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2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

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2024iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2023Intergenerational Equity in Models of Climate Change Mitigation: Stochastic Interest Rates introduce Adverse Effects, but (Non-linear) Funding Costs can Improve Intergenerational Equity. (2023). Quante, Lennart ; Fries, Christian. In: Papers. RePEc:arx:papers:2309.16186.

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2024Monotonic mean-deviation risk measures. (2023). Wang, Ruodu ; Han, Xia ; Wu, Qinyu. In: Papers. RePEc:arx:papers:2312.01034.

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2024Accounting for Financing Risks improves Intergenerational Equity of Climate Change Mitigation. (2023). Quante, Lennart ; Fries, Christian P. In: Papers. RePEc:arx:papers:2312.07614.

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2024Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2023). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784.

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2024Set-valued Star-Shaped Risk Measures. (2024). Jiang, Long ; Tian, Dejian ; Nie, Bingchu. In: Papers. RePEc:arx:papers:2402.18014.

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2024Factor risk measures. (2024). Liu, Peng ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2404.08475.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

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2024A note on continuity and consistency of measures of risk and variability. (2024). Xanthos, Foivos ; Gao, Niushan. In: Papers. RePEc:arx:papers:2405.09766.

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2024Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan ; Zhuang, Zixi. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:163-199.

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2023Robust Bayesian Choice. (2023). Stanca, Lorenzo. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:690.

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2024Political Economy of Climate Change Adaptation - Loss of Habitat and Rising Inequality. (2024). van der Ploeg, Frederick (Rick) ; Perotti, Enrico ; van der Straten, Yasmine. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10961.

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2023Le déploiement de la cybersanté au Mali: considérations juridiques à partir de la perspective québécoise. (2023). Kiriakos, Mathieu ; Toussaint-Martin, Olivia ; Orozco, Natalia Torres ; Oula, Arthur ; Daniel, Charles-Tienne ; Forcier, Mlanie Bourassa. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-08.

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2024Assessing fluctuations of long-memory environmental variables based on the robustified dynamic Orlicz risk. (2024). Yoshioka, Yumi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077923012389.

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2023A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002688.

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2023Optimal investment problem under behavioral setting: A Lagrange duality perspective. (2023). Fan, Jiacheng ; Cui, Zhenyu ; Bi, Xiuchun ; Zhang, Shuguang ; Yuan, Lvning. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:156:y:2023:i:c:s0165188923001574.

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2023Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613.

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2024The valuation of arithmetic Asian options with mean reversion and jump clustering. (2024). Song, Shiyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001821.

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2023Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165.

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2023Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (2023). Yang, Xiye ; Liao, Yuan ; Cheng, Mingmian. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002123.

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2024Volatility of volatility and leverage effect from options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000150.

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2024Nonparametric estimation for high-frequency data incorporating trading information. (2024). Wang, Jiandong ; Hu, Jie ; Cui, Wenhao. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000368.

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2023Surrender contagion in life insurance. (2023). Schaefer, Mick ; Lavasani, Aidin Miri ; Hilpert, Christian ; Cheng, Chunli. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1465-1479.

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2023Adjusted Rényi entropic Value-at-Risk. (2023). Hu, Taizhong ; Xia, Zichao ; Wu, Qinyu ; Zou, Zhenfeng. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:255-268.

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2023Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347.

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2024A simulation-based method for estimating systemic risk measures. (2024). Chen, Pengzhan ; Zhou, YI ; Ye, Wuyi ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324.

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2024Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212.

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2023The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns. (2023). Kwok, Simon ; Leong, Minhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000786.

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2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Bouri, Elie ; Chen, Yan ; Zhang, Lei. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

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2023Heterogeneous impacts of oil prices on Chinas stock market: Based on a new decomposition method. (2023). Ai, Chunrong ; Xu, Jie ; Liu, Feng. In: Energy. RePEc:eee:energy:v:268:y:2023:i:c:s0360544223000385.

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2023A Bayesian analysis of time-varying jump risk in S&P 500 returns and options. (2023). Luo, Dan ; Carverhill, Andrew. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000751.

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2023What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037.

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2023Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach. (2023). Li, Shuanming ; Jin, Zhuo ; Qiu, Ming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:1-23.

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2023European option pricing with market frictions, regime switches and model uncertainty. (2023). Siu, Tak Kuen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:233-250.

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2024Optimal annuitization and asset allocation under linear habit formation. (2024). Ma, Xingjian ; Liang, Zongxia ; Guan, Guohui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:176-191.

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2024Probability equivalent level for CoVaR and VaR. (2024). Suarez-Llorens, Alfonso ; Sordo, Miguel A ; Pellerey, Franco ; Ortega-Jimenez, Patricia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:22-35.

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2024A Hawkes model with CARMA(p,q) intensity. (2024). Rroji, Edit ; Perchiazzo, Andrea ; Mercuri, Lorenzo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:1-26.

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2024Random distortion risk measures. (2024). Yang, Jingping ; Xia, Chenxi ; Jiang, Fan ; Zang, Xin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:51-73.

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2024Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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20242T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models. (2024). Mucha-Kruczyski, Marcin ; Greenwood, David ; Tomlinson, Matthew F. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:324-347.

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2023The jump leverage risk premium. (2023). Todorov, Viktor ; Bollerslev, Tim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001630.

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2023Dynamic pricing: Definition, implications for managers, and future research directions. (2023). Akella, Laxminarayana Yashaswy ; Pauwels, Koen ; Kopalle, Praveen K ; Gangwar, Manish. In: Journal of Retailing. RePEc:eee:jouret:v:99:y:2023:i:4:p:580-593.

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2023Robust Bayesian choice. (2023). Stanca, Lorenzo. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:126:y:2023:i:c:p:94-106.

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2023The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors. (2023). Ben Amar, Amine ; Balli, Faruk ; Billah, Mabruk. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x23000021.

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2024Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Bellalah, Makram ; ben Amar, Amine ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246.

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2024Selling options to beat the market: Further empirical evidence. (2024). Serna, Gregorio ; Balbas, Alejandro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002453.

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2024Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? A comparative analysis with the S&P 500. (2024). Bouri, Elie ; Zhang, Lei ; Chen, Yan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000709.

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2024A note on the induction of comonotonic additive risk measures from acceptance sets. (2024). Horta, Eduardo ; Righi, Marcelo B ; Moresco, Marlon R ; Santos, Samuel S. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130.

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2023Shot-noise cojumps: exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111537.

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2024Mind Your Language: Market Responses to Central Bank Speeches. (2023). Yang, Xiye ; Neely, Christopher J ; McMahon, Michael ; Erdemlioglu, Deniz ; Ahrens, Maximilian. In: Working Papers. RePEc:fip:fedlwp:96270.

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2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2023Local Gaussian Cross-Spectrum Analysis. (2023). Tjostheim, Dag ; Jordanger, Lars Arne. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:2:p:12-:d:1129548.

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2024Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options. (2024). Tsuruta, Masaru. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:85-:d:1341039.

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2023.

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2023Against the Odds! The Tradeoff Between Risk and Incentives is Alive and Well. (2023). Corgnet, Brice ; Zylbersztejn, Adam ; Kpegli, Yao Thibaut ; Hernan-Gonzalez, Roberto. In: Working Papers. RePEc:gat:wpaper:2305.

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2023Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict. (2023). Goutte, Stéphane ; ben Amar, Amine ; Bouattour, Mondher ; Bellalah, Makram. In: Working Papers. RePEc:hal:wpaper:halshs-04064084.

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2023Stated Product Choices of Heterogeneous Agents are Largely Consistent with Standard Models. (2023). Soest, Arthur ; Nijman, Theo ; Dees, Bart. In: De Economist. RePEc:kap:decono:v:171:y:2023:i:3:d:10.1007_s10645-023-09424-0.

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2023Systemic Risk: Bank Characteristics Matter. (2023). Piccotti, Louis R ; Mazumder, Sharif. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:64:y:2023:i:2:d:10.1007_s10693-022-00386-z.

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More than 100 citations found, this list is not complete...

Works by Roger J. A. Laeven:

YearTitleTypeCited
2015Risk Aversion in the Small and in the Large under Rank-Dependent Utility In: Papers.
[Full Text][Citation analysis]		paper1
2016Robust Optimal Risk Sharing and Risk Premia in Expanding Pools In: Papers.
[Full Text][Citation analysis]		paper3
2016Robust optimal risk sharing and risk premia in expanding pools.(2016) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2018Dual Moments and Risk Attitudes In: Papers.
[Full Text][Citation analysis]		paper1
2017Risk Apportionment: The Dual Story In: Papers.
[Full Text][Citation analysis]		paper6
2020Risk apportionment: The dual story.(2020) In: Journal of Economic Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2019Systemic Risk: Conditional Distortion Risk Measures In: Papers.
[Full Text][Citation analysis]		paper15
2022Systemic risk: Conditional distortion risk measures.(2022) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2021Robust Multiple Stopping -- A Pathwise Duality Approach In: Papers.
[Full Text][Citation analysis]		paper0
2021Probability Premium and Attitude Towards Probability In: Papers.
[Full Text][Citation analysis]		paper0
2021Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes In: Papers.
[Full Text][Citation analysis]		paper0
2021Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures In: Papers.
[Full Text][Citation analysis]		paper0
2022Quasi-Logconvex Measures of Risk In: Papers.
[Full Text][Citation analysis]		paper0
2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation In: Papers.
[Full Text][Citation analysis]		paper1
2022Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation.(2022) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023Elicitability of Return Risk Measures In: Papers.
[Full Text][Citation analysis]		paper0
2023Dynamic Return and Star-Shaped Risk Measures via BSDEs In: Papers.
[Full Text][Citation analysis]		paper4
2023Law-Invariant Return and Star-Shaped Risk Measures In: Papers.
[Full Text][Citation analysis]		paper3
2024Law-invariant return and star-shaped risk measures.(2024) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2024A Rank-Dependent Theory for Decision under Risk and Ambiguity In: Papers.
[Full Text][Citation analysis]		paper0
2024On Geometrically Convex Risk Measures In: Papers.
[Full Text][Citation analysis]		paper0
2024Geometric BSDEs In: Papers.
[Full Text][Citation analysis]		paper0
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article26
2006Risk measurement with equivalent utility principles In: Statistics & Risk Modeling.
[Full Text][Citation analysis]		article34
2019Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper3
2020Dependent microstructure noise and integrated volatility estimation from high-frequency data.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2020Consumption and Portfolio Choice under Internal Multiplicative Habit Formation In: Journal of Financial and Quantitative Analysis.
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