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Lunde, Asger's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
14,031 |
Total
Citations
641 |
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1.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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2,533
(1,867)
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94
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Volatility Models, Forecast Comparison, Realized Variance, Superior Predictive Ability
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2.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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1,987
(2,855)
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149
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Realized variance, realized volatility, integrated variance, market microstructure noise, bias correction, high-frequency data, sampling schemes
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3.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Nason, James M.
Federal Reserve Bank of Philadelphia
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1,255
(6,346)
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8
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Calendar effects, data mining, significance test
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4.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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18 Nov 04
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Last Revised:
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06 Apr 08
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1,200
(6,817)
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87
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Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realized variance, Subsampling
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5.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Nason, James M.
Federal Reserve Bank of Philadelphia
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30 Mar 04
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Last Revised:
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23 Mar 10
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1,190
(6,933)
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26
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Model confidence set, forecasting, model selection, multiple comparisons
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6.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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846
(12,084)
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22
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Realized variance, realized volatility, high-frequency data, integrated variance
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7.
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A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
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Show Abstracts |
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Versions (2)
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hide multiple versions |
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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Posted:
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16 Apr 04
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Last Revised:
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29 Jul 10
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714
(15,538)
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46
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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0
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high-frequency data, market microstructure noise, realized variance
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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714
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46
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Realized Variance, High-Frequency Data, Market Microstructure Noise
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8.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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| Posted: |
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02 Jul 08
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Last Revised:
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14 Jul 10
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688
(16,397)
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22
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HAC estimator, Long run variance estimator, Market frictions, Quadratic variation, Realised Variance
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9.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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672
(16,975)
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26
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HAC estimator, Long run variance estimator, Market frictions, Quadratic variation
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10.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Nason, James M.
Federal Reserve Bank of Philadelphia
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572
(21,301)
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18
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Forecasting, Model Selection, Multiple Comparisons, Data Mining
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11.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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564
(21,716)
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36
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Consistent Ranking, Model Comparison, Volatility Models.
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12.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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374
(37,007)
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34
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Realized Variance, Market Microstructure Noise, Pre-processing of High-Frequency data, outliers, sampling schemes
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13.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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329
(43,248)
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9
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Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realised kernel, Realised variance, Subsampling
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14.
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Integrated Covariance Estimation Using High-Frequency Data in the Presence of Noise
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Voev, Valeri
University of Aarhus - CREATES Lunde, Asger
CREATES
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Posted:
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17 Jul 06
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Last Revised:
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29 Jul 10
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316
(45,351)
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23
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Voev, Valeri
University of Aarhus - CREATES Lunde, Asger
CREATES
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0
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integrated covariance, Epps effect, nonsynchronous trading, market microstructure noise, subsampling
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Voev, Valeri
University of Aarhus - CREATES Lunde, Asger
CREATES
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316
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23
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Integrated covariance, Epps effect, Non-synchronous trading, Market Microstructure
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15.
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Moving Average-Based Estimators of Integrated Variance
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Large, Jeremy H.
University of Oxford - Department of Economics Lunde, Asger
CREATES
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Posted:
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05 Jun 06
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Last Revised:
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10 Aug 08
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293
(49,511)
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10
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Large, Jeremy H.
University of Oxford - Department of Economics Lunde, Asger
CREATES
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0
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Bias correction, High-frequency data, Integrated variance, Moving average, Realized variance, Realized volatility
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Large, Jeremy H.
University of Oxford - Department of Economics Lunde, Asger
CREATES
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293
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10
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Integrated Variance, Realized Variance, Realized Volatility, Moving Average, Bias Correction
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16.
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Bentzen, Eric
Copenhagen Business School Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Zebedee, Allan A.
Clarkson University
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250
(59,239)
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5
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Monetary Policy, Exchange Traded Funds, Realized Variance, High-Frequency Data
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17.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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177
(84,121)
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8
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Persistence, Autocorrelation Function, Measurement Error, Instrumental Variables, Realized Variance, Realized Kernel, Volatility
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18.
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Lunde, Asger
CREATES Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
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37
(226,243)
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18
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Hazard model, survival rate, interest rate effect
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19.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute Veraart, Almut
Imperial College London
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34
(233,177)
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Lévy bases, trawl processes, stationarity, stochastic volatility, meta-time change
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20.
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Lunde, Asger
CREATES Zebedee, Allan A.
Clarkson University
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Monetary policy, Exchange traded funds, Intraday volatility, High-frequency data
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21.
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Oedegaard, K. J.
affiliation not provided to SSRN Greeenwood, T. A.
affiliation not provided to SSRN Lunde, Asger
CREATES Fasmer, O. B.
affiliation not provided to SSRN Akiskal, H. S.
affiliation not provided to SSRN Kelsoe, J. R.
affiliation not provided to SSRN
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Migraine, Bipolar Disorder, Linkage, Chromosome 4q24, Chromosome 20p11
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22.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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HAC estimator, Long run variance estimator, Market frictions, Quadratic
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23.
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Zebedee, Allan A.
Clarkson University Bentzen, Eric
Copenhagen Business School Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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Monetary policy, Exchange traded funds, High-frequency data
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24.
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Trades and Quotes: A Bivariate Point Process
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Lunde, Asger
CREATES Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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Posted:
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20 Aug 98
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Last Revised:
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29 Jul 10
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Lunde, Asger
CREATES Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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0
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duration analysis, market microstructure, transaction data
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Lunde, Asger
CREATES Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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0
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25.
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Lunde, Asger
CREATES Blake, David P.
City University London - Cass Business School - The Pensions Institute Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
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