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Voev, Valeri's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,040 |
Total
Citations
37 |
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1.
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Integrated Covariance Estimation Using High-Frequency Data in the Presence of Noise
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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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315
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23
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Voev, Valeri
University of Aarhus - CREATES Lunde, Asger
CREATES
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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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315
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23
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Integrated covariance, Epps effect, Non-synchronous trading, Market Microstructure
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2.
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Nolte, Ingmar
Warwick Business School - Finance Group - Financial Econometrics Research Centre Voev, Valeri
University of Aarhus - CREATES
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26 Jul 07
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Last Revised:
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12 Jun 08
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283
(51,494)
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4
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High frequency data, Realized volatility and covariance, Market microstructure
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3.
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Voev, Valeri
University of Aarhus - CREATES
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283
(51,494)
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5
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Forecasting, realized covariance, shrinking
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4.
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Halbleib-Chiriac, Roxana
University of Konstanz Voev, Valeri
University of Aarhus - CREATES
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03 Sep 08
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Last Revised:
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25 Oct 11
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281
(51,882)
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Forecasting, Fractional integration, Stochastic dominance, Portfolio optimization, Realized covariance
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5.
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Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach
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Show Abstracts |
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Versions (2)
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hide multiple versions |
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Nolte, Ingmar
Warwick Business School - Finance Group - Financial Econometrics Research Centre Voev, Valeri
University of Aarhus - CREATES
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Posted:
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17 Jul 06
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Last Revised:
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30 Sep 10
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266
(55,194)
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3
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Nolte, Ingmar
Warwick Business School - Finance Group - Financial Econometrics Research Centre Voev, Valeri
University of Aarhus - CREATES
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59
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3
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Trading Activity Datasets, Panel Intensity Models, Latent Factors, Efficient Importance Sampling, Behavioral Finance
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Nolte, Ingmar
Warwick Business School - Finance Group - Financial Econometrics Research Centre Voev, Valeri
University of Aarhus - CREATES
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17 Jul 06
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Last Revised:
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30 Sep 10
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207
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3
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Trading Activity Datasets, Panel Intensity Models, Latent Factors, Efficient Importance Sampling, Behavioral Finance
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6.
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Halbleib-Chiriac, Roxana
University of Konstanz Voev, Valeri
University of Aarhus - CREATES
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15 Jan 11
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Last Revised:
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19 Oct 12
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203
(73,590)
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Multivariate volatility, Volatility forecasting, High-frequency data, Realized variance, Realized covariance
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7.
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Nolte, Ingmar
Warwick Business School - Finance Group - Financial Econometrics Research Centre Voev, Valeri
University of Aarhus - CREATES
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28 Apr 09
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Last Revised:
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17 Mar 11
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152
(96,631)
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1
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High frequency data, Subsampling, Realized volatility, Market microstructure
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8.
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Voev, Valeri
University of Aarhus - CREATES
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101
(134,095)
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1
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Forecast evaluation, Volatility forecasting, Portfolio optimization, Mean-variance analysis
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9.
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Halbleib-Chiriac, Roxana
University of Konstanz Voev, Valeri
University of Aarhus - CREATES
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03 Nov 10
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Last Revised:
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25 Oct 11
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75
(162,400)
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Forecasting, Stochastic dominance, Portfolio optimization, Realized covariance
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10.
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Voev, Valeri
University of Aarhus - CREATES
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51
(198,399)
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11.
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Nolte, Ingmar
Warwick Business School - Finance Group - Financial Econometrics Research Centre Vasios, Michalis
University of Warwick Voev, Valeri
University of Aarhus - CREATES
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30
(242,945)
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High Frequency Data, Subsampling, Realized Volatility, Market Microstructure
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