Daniel Preve : Citation Profile

Singapore Management University

3

H index

2

i10 index

78

Citations

RESEARCH PRODUCTION:

5

Articles

5

Papers

RESEARCH ACTIVITY:

   10 years (2009 - 2019). See details.
   Cites by year: 7
   Journals where Daniel Preve has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 2 (2.5 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppr256
   Updated: 2026-02-14    RAS profile: 2021-05-31    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Daniel Preve.

Is cited by:

Drachal, Krzysztof (5)

Leung, Charles (5)

Lyócsa, Štefan (4)

Wang, Yudong (3)

Výrost, Tomáš (3)

Huynh, Luu Duc Toan (2)

Leschinski, Christian (2)

Owusu Junior, Peterson (2)

Kruse, Robinson (2)

GUPTA, RANGAN (2)

Chen, Nan-Kuang (2)

Cites to:

Hansen, Peter (9)

Shephard, Neil (9)

West, Kenneth (8)

Bollerslev, Tim (8)

Diebold, Francis (8)

Lunde, Asger (7)

Renault, Eric (7)

Patton, Andrew (7)

Nason, James (5)

Andersen, Torben (5)

Engle, Robert (5)

Main data

Where Daniel Preve has published?

Journals with more than one article published# docs
Journal of Econometrics2

Recent works citing Daniel Preve (2025 and 2024)

YearTitle of citing document
2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041.

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2024Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588.

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2024Systematic comparison of deep generative models applied to multivariate financial time series. (2024). Caulfield, Howard ; Gleeson, James P. In: Papers. RePEc:arx:papers:2412.06417.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025Fusing Narrative Semantics for Financial Volatility Forecasting. (2025). Zohren, Stefan ; Vryonides, Chris ; Kaiser, Marcus ; Hwang, Yoontae ; Kong, Yaxuan ; Oomen, Roel. In: Papers. RePEc:arx:papers:2510.20699.

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2025Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks. (2025). Sengupta, Shovon ; Singh, Sunny Kumar ; Chakraborty, Tanujit. In: Papers. RePEc:arx:papers:2510.23347.

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2024A Vector Multiplicative Error Model with Spillover Effects and Co-movements. (2024). Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:202404.

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2025Explainable deeply-fused nets electricity demand prediction model: Factoring climate predictors for accuracy and deeper insights with probabilistic confidence interval and point-based forecasts. (2025). Casillas-Prez, David ; Acharya, Rajendra ; Deo, Ravinesh C ; Nguyen-Huy, Thong ; Al-Musaylh, Mohanad S ; Ghimire, Sujan ; Salcedo-Sanz, Sancho ; Yaseen, Zaher Mundher. In: Applied Energy. RePEc:eee:appene:v:378:y:2025:i:pa:s0306261924021469.

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2025Taking advantage of biased proxies for forecast evaluation. (2025). Ren, Roberto ; Buccheri, Giuseppe ; Vocalelli, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001228.

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2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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2024What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty. (2024). Todorova, Neda ; Lycsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006881.

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2024VaR and ES forecasting via recurrent neural network-based stateful models. (2024). Lazar, Emese ; Qiu, Zhiguo ; Nakata, Keiichi. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000346.

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2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Hansen, Erwin ; Diaz, Juan D ; Cabrera, Gabriel. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

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2024Implied volatility is (almost) past-dependent: Linear vs non-linear models. (2024). Wang, Yinuo ; Cao, YI ; Zhai, Jia ; Wen, Conghua. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003387.

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2025Model specification for volatility forecasting benchmark. (2025). Zhang, Yaojie ; He, Mengxi ; Wen, Danyan ; Wang, Yudong. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007828.

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2024Equal predictive ability tests based on panel data with applications to OECD and IMF forecasts. (2024). Akgun, Oguzhan ; Yang, Zhenlin ; Urga, Giovanni ; Pirotte, Alain. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:202-228.

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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Li, Dan ; Drovandi, Christopher. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2025Forecasting realized volatility with spillover effects: Perspectives from graph neural networks. (2025). Cucuringu, Mihai ; Dong, Xiaowen ; Zhang, Chao ; Pu, Xingyue. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:377-397.

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2025Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

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2025Prediction of Chinese stock volatility: Harnessing higher-order moments information of stock and futures markets. (2025). Wang, Yunrun ; Qiao, Gaoxiu ; Liu, Wenwen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925001199.

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2024Real-time nowcasting the monthly unemployment rates with daily Google Trends data. (2024). Galvo, Ana Beatriz ; Silva, Maria Eduarda ; Costa, Eduardo Andre. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124001629.

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2024Comparative Analysis of Machine Learning Techniques in Predicting Wind Power Generation: A Case Study of 2018–2021 Data from Guatemala. (2024). Kim, Kwanho ; Carrera, Berny. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:13:p:3158-:d:1422773.

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2025Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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2024Google Trends and Bitcoin volatility forecast. (2024). Peresetsky, Anatoly ; Teterin, M. In: Journal of the New Economic Association. RePEc:nea:journl:y:2024:i:64:p:118-135.

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2025Can Ethereum predict Bitcoin’s volatility?. (2025). Peresetsky, Anatoly ; Teterin, Maksim. In: Applied Econometrics. RePEc:ris:apltrx:0516.

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2025Can Deep Learning Models Enhance the Accuracy of Agricultural Price Forecasting? Insights From India. (2025). Sharma, Purushottam ; Yeasin, MD ; Paul, Ranjit Kumar ; Birthal, Pratap S ; Tamilselvi, C. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:32:y:2025:i:1:n:e70002.

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2024Forecasting the volatility of crude oil futures: A time‐dependent weighted least squares with regularization constraint. (2024). Wang, Yudong ; Hao, Xianfeng ; Geng, Qianjie. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:309-325.

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2024The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns. (2024). Zhang, Yaojie ; Wang, Yudong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:4:p:557-584.

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Works by Daniel Preve:

YearTitleTypeCited
2018A mixture autoregressive model based on Students $t$-distribution In: Papers.
[Full Text][Citation analysis]		paper1
2009Forecasting Realized Volatility Using A Nonnegative Semiparametric Model In: Finance Working Papers.
[Full Text][Citation analysis]		paper4
2019Forecasting Realized Volatility Using a Nonnegative Semiparametric Model.(2019) In: JRFM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2009Forecasting Realized Volatility Using A Nonnegative Semiparametric Model.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2011Linear programming-based estimators in simple linear regression In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2010Linear Programming-Based Estimators in Simple Linear Regression.(2010) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2012Statistical tests for multiple forecast comparison In: Journal of Econometrics.
[Full Text][Citation analysis]		article36
2015Linear programming-based estimators in nonnegative autoregression In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2019A Practical Guide to Harnessing the HAR Volatility Model In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper31
2013ESTIMATION OF TIME‐VARYING ADJUSTED PROBABILITY OF INFORMED TRADING AND PROBABILITY OF SYMMETRIC ORDER‐FLOW SHOCK In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article2

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