Peter Malec

University of Cambridge - Faculty of Economics

Sidgwick Avenue

Cambridge, CB3 9DD

United Kingdom

SCHOLARLY PAPERS

7

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1,326

SSRN CITATIONS
Rank 18,433

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Top 18,433

in Total Papers Citations

50

CROSSREF CITATIONS

22

Scholarly Papers (7)

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 227 (245,051)
Citation 8

Abstract:

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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 111 (450,106)
Citation 5

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

2.

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 285 (196,378)
Citation 7

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

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 236 (236,973)
Citation 9

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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 170 (319,726)
Citation 12

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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 127 (404,999)

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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 98 (488,891)
Citation 17

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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 72 (588,795)
Citation 2

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Kernel density estimation, boundary correction, asymmetric kernel