Peter Malec

University of Cambridge - Faculty of Economics

Sidgwick Avenue

Cambridge, CB3 9DD

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 47,712

SSRN RANKINGS

Top 47,712

in Total Papers Downloads

995

SSRN CITATIONS
Rank 20,123

SSRN RANKINGS

Top 20,123

in Total Papers Citations

26

CROSSREF CITATIONS

21

Scholarly Papers (7)

1.

The Merit of High-Frequency Data in Portfolio Allocation

Number of pages: 43 Posted: 12 Sep 2011
Nikolaus Hautsch, Lada M. Kyj and Peter Malec
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin and University of Cambridge - Faculty of Economics
Downloads 258 (132,659)
Citation 6

Abstract:

Loading...

spectral decomposition, mixing frequencies, factor model, blocked realized kernel, covariance prediction, portfolio optimization

Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence

CFS Working Paper, No. 477
Number of pages: 56 Posted: 09 Oct 2014
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 135 (237,564)
Citation 8

Abstract:

Loading...

local method of moments, spot covariance, smoothing, intraday (co-)variation risk

Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence

Number of pages: 42 Posted: 08 Oct 2014 Last Revised: 03 Nov 2016
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 91 (315,171)
Citation 5

Abstract:

Loading...

local method of moments, spot covariance, smoothing, intraday (co-)variation risk

3.

Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?

Number of pages: 44 Posted: 05 Mar 2013
Nikolaus Hautsch, Lada M. Kyj and Peter Malec
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin and University of Cambridge - Faculty of Economics
Downloads 178 (188,158)
Citation 7

Abstract:

Loading...

portfolio optimization, spectral decomposition, regularization, blocked realized kernel, covariance prediction

4.

Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes

Number of pages: 36 Posted: 19 Nov 2010 Last Revised: 08 Aug 2012
University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin - School of Business and Economics
Downloads 129 (245,286)
Citation 8

Abstract:

Loading...

High-Frequency Data, Point-Mass Mixture, Multiplicative Error Model, Excess Zeros, Semiparametric Specification Test, Market Microstructure

5.

A Semiparametric Intraday GARCH Model

Number of pages: 59 Posted: 28 May 2016
Peter Malec
University of Cambridge - Faculty of Economics
Downloads 100 (294,318)

Abstract:

Loading...

intraday volatility, GARCH, smooth backfitting, additive models, limit order book

6.

Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency

Number of pages: 39 Posted: 26 Aug 2013
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 61 (391,826)
Citation 9

Abstract:

Loading...

adaptive estimation, asymptotic equivalence, asynchronous observations, integrated covolatility matrix, quadratic covariation, semiparametric efficiency, microstructure noise, spectral estimation

7.

Nonparametric Kernel Density Estimation Near the Boundary

Number of pages: 37 Posted: 19 Oct 2013
Peter Malec and Melanie Schienle
University of Cambridge - Faculty of Economics and Humboldt University of Berlin - School of Business and Economics
Downloads 43 (457,053)
Citation 3

Abstract:

Loading...

Kernel density estimation, boundary correction, asymmetric kernel