Asger Lunde

Aarhus University - School of Economics and Management

Professor

Aarhus

Denmark

CREATES

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

  • Aarhus University - School of Economics and Management

  • CREATES

SCHOLARLY PAPERS

32

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687

Scholarly Papers (32)

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1.

A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?

Brown Univ. Economics Working Paper No. 01-04
Number of pages: 23 Posted: 13 Apr 2001
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 2,862 (3,813)
Citation 99

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Volatility Models, Forecast Comparison, Realized Variance, Superior Predictive Ability

2.

Realized Variance and Market Microstructure Noise

Number of pages: 58 Posted: 26 Feb 2004
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 2,184 (5,993)
Citation 163

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Realized variance, realized volatility, integrated variance, market microstructure noise, bias correction, high-frequency data, sampling schemes

3.

Testing the Significance of Calendar Effects

Federal Reserve Bank of Atlanta Working Paper No. 2005-02
Number of pages: 30 Posted: 26 May 2003
Peter Reinhard Hansen, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and North Carolina State University - Department of Economics
Downloads 2,041 (6,712)
Citation 10

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Calendar effects, data mining, significance test

4.

The Model Confidence Set

Number of pages: 41 Posted: 30 Mar 2004 Last Revised: 07 Jul 2014
Peter Reinhard Hansen, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and North Carolina State University - Department of Economics
Downloads 1,540 (10,773)
Citation 30

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Model confidence set, forecasting, model selection, multiple comparisons

5.

Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise

Number of pages: 46 Posted: 18 Nov 2004 Last Revised: 06 Apr 2008
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University
Downloads 1,477 (11,511)
Citation 91

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Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realized variance, Subsampling

6.

An Unbiased Measure of Realized Variance

Number of pages: 27 Posted: 05 Apr 2004
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 928 (23,444)
Citation 23

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Realized variance, realized volatility, high-frequency data, integrated variance

7.

Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Number of pages: 53 Posted: 02 Jul 2008 Last Revised: 14 Jul 2010
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University
Downloads 898 (24,646)
Citation 33

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HAC estimator, Long run variance estimator, Market frictions, Quadratic variation, Realised Variance

8.

A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Downloads 891 ( 24,940)

A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Number of pages: 29 Posted: 16 Apr 2004
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 891 (24,523)
Citation 44

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Realized Variance, High-Frequency Data, Market Microstructure Noise

A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Journal of Financial Econometrics, Vol. 3, No. 4, pp. 525-554, Winter 2005
Posted: 29 Feb 2008
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management

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high-frequency data, market microstructure noise, realized variance

9.

Realised Kernels in Practice: Trades and Quotes

Number of pages: 32 Posted: 28 May 2008
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University
Downloads 849 (26,701)
Citation 27

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HAC estimator, Long run variance estimator, Market frictions, Quadratic variation

10.

Consistent Ranking of Volatility Models

Brown University, Economics Working Paper No. 2003-01
Number of pages: 30 Posted: 04 May 2003
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 716 (33,725)
Citation 35

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Consistent Ranking, Model Comparison, Volatility Models.

11.

Choosing the Best Volatility Models: The Model Confidence Set Approach

Brown University Economics Working Paper No. 03-05; FRB of Atlanta Working Paper No. 2003-28
Number of pages: 26 Posted: 22 May 2003
Peter Reinhard Hansen, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and North Carolina State University - Department of Economics
Downloads 655 (38,059)
Citation 18

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Forecasting, Model Selection, Multiple Comparisons, Data Mining

12.

Factor Structure in Commodity Futures Return and Volatility

Rotman School of Management Working Paper No. 2495779
Number of pages: 64 Posted: 14 Sep 2014 Last Revised: 26 Jun 2017
Peter Christoffersen, Asger Lunde and Kasper Olesen
University of Toronto - Rotman School of Management, Aarhus University - School of Economics and Management and CREATES
Downloads 597 (43,026)

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Factor structure, financial volatility, beta, high-frequency data, commodities, financialization

13.

Integrated Covariance Estimation Using High-Frequency Data in the Presence of Noise

Downloads 422 ( 66,562)
Citation 23

Integrated Covariance Estimation Using High-Frequency Data in the Presence of Noise

Number of pages: 48 Posted: 17 Jul 2006
Valeri Voev and Asger Lunde
Aarhus University - CREATES and Aarhus University - School of Economics and Management
Downloads 422 (65,937)
Citation 23

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Integrated covariance, Epps effect, Non-synchronous trading, Market Microstructure

Integrated Covariance Estimation Using High-Frequency Data in the Presence of Noise

Journal of Financial Econometrics, Vol. 5, Issue 1, pp. 68-104, 2007
Posted: 16 Jun 2008
Valeri Voev and Asger Lunde
Aarhus University - CREATES and Aarhus University - School of Economics and Management

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integrated covariance, Epps effect, nonsynchronous trading, market microstructure noise, subsampling

14.

Moving Average-Based Estimators of Integrated Variance

Downloads 395 ( 72,042)
Citation 11

Moving Average-Based Estimators of Integrated Variance

Number of pages: 32 Posted: 05 Jun 2006
Peter Reinhard Hansen, Jeremy H. Large and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Oxford - Department of Economics and Aarhus University - School of Economics and Management
Downloads 395 (71,401)
Citation 11

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Integrated Variance, Realized Variance, Realized Volatility, Moving Average, Bias Correction

Moving Average-Based Estimators of Integrated Variance

Econometric Reviews, Vol. 27, No. 1-3, pp. 79-111, 2008
Posted: 05 Aug 2008
Peter Reinhard Hansen, Jeremy H. Large and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Oxford - Department of Economics and Aarhus University - School of Economics and Management

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Bias correction, High-frequency data, Integrated variance, Moving average, Realized variance, Realized volatility

15.

Rejoinder (to Comments on Realized Variance and Market Microstructure Noise)

Number of pages: 23 Posted: 03 Jan 2006
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 382 (74,920)
Citation 35

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Realized Variance, Market Microstructure Noise, Pre-processing of High-Frequency data, outliers, sampling schemes

16.

Subsampling Realised Kernels

Number of pages: 30 Posted: 30 Aug 2006
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University
Downloads 362 (79,778)
Citation 12

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Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realised kernel, Realised variance, Subsampling

17.

The Greenspan Effect on Equity Markets: An Intraday Examination of U.S. Monetary Policy Announcements

Number of pages: 36 Posted: 26 Oct 2005
Eric Bentzen, Peter Reinhard Hansen, Asger Lunde and Allan A. Zebedee
Copenhagen Business School, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Clarkson University
Downloads 295 (100,234)
Citation 5

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Monetary Policy, Exchange Traded Funds, Realized Variance, High-Frequency Data

18.

Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error

CREATES Research Paper No. 2010-8
Number of pages: 38 Posted: 10 Feb 2010
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 275 (108,068)
Citation 9

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Persistence, Autocorrelation Function, Measurement Error, Instrumental Variables, Realized Variance, Realized Kernel, Volatility

19.

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity

Journal of Econometrics, 196, 347-367, 2016
Number of pages: 58 Posted: 24 Jan 2014 Last Revised: 21 Nov 2017
Kris Boudt, Sébastien Laurent, Asger Lunde, Rogier Quaedvlieg and Orimar Sauri
Ghent University, University of Angers - Research Group in Quantitative Saving (GREQAM), Aarhus University - School of Economics and Management, Erasmus University Rotterdam (EUR) - Department of Business Economics and Aarhus University - School of Business and Social Sciences
Downloads 136 (206,797)

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Cholesky decomposition, Integrated covariance, Positive semidefinite

20.

Decoupling the Short- and Long-Term Behavior of Stochastic Volatility

Number of pages: 46 Posted: 04 Oct 2016 Last Revised: 29 Jul 2017
Mikkel Bennedsen, Asger Lunde and Mikko Pakkanen
Aarhus University - Department of Economics and Business, Aarhus University - School of Economics and Management and Imperial College London - Department of Mathematics
Downloads 97 (264,527)

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Stochastic Volatility, High-Frequency Data, Rough Volatility, Persistence, Long Memory, Forecasting, Brownian Semistationary Process

21.

Integer-Valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes

Number of pages: 29 Posted: 26 Feb 2013
Ole E. Barndorff-Nielsen, Asger Lunde, Neil Shephard and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, Aarhus University - School of Economics and Management, Harvard University and Imperial College London
Downloads 78 (302,802)

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Lévy bases, trawl processes, stationarity, stochastic volatility, meta-time change

22.

Forecasting Volatility Using High Frequency Data

In The Oxford Handbook of Economic Forecasting, 2011, DOI: 10.1093/oxfordhb/9780195398649.013.0020
Number of pages: 37 Posted: 25 May 2018
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 47 (389,690)

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Volatility Forecasting

23.

Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets

CEPR Discussion Paper No. 4104
Number of pages: 43 Posted: 12 Dec 2003
Asger Lunde and Allan Timmermann
Aarhus University - School of Economics and Management and UCSD
Downloads 38 (422,659)
Citation 19
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Hazard model, survival rate, interest rate effect

24.

Realizing Correlations Across Asset Classes

Number of pages: 48 Posted: 02 Jan 2019
Niels Groenborg, Asger Lunde, Kasper Olesen and Harry Vander Elst
School of Economics and Business Economics, Aarhus University, Aarhus University - School of Economics and Management, CREATES and Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management
Downloads 34 (438,893)

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commodities, futures markets, portfolio selection, Realized Beta GARCH

25.

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Number of pages: 34 Posted: 25 May 2018
Peter Reinhard Hansen, Guillaume Horel, Asger Lunde and Ilya Archakov
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Stanford University - Department of Statistics, Aarhus University - School of Economics and Management and European University Institute
Downloads 19 (515,320)

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Markov chain, Multivariate Volatility, Quadratic Variation, Integrated Variance, Realized Variance, High Frequency Data

26.

Picking Funds with Confidence

CEPR Discussion Paper No. DP11896
Number of pages: 61 Posted: 16 Mar 2017
Niels Groenborg, Asger Lunde, Allan Timmermann and Russ Wermers
School of Economics and Business Economics, Aarhus University, Aarhus University - School of Economics and Management, UCSD and University of Maryland - Robert H. Smith School of Business
Downloads 1 (633,036)
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equity mutual funds, Fund confidence set, risk-adjusted performance

27.

Intraday Volatility Responses to Monetary Policy Events

Financial Markets and Portfolio Management, Vol. 23, No. 4, pp. 383-399, 2009
Posted: 19 Jun 2010
Asger Lunde and Allan A. Zebedee
Aarhus University - School of Economics and Management and Clarkson University

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Monetary policy, Exchange traded funds, Intraday volatility, High-frequency data

28.

A Genome-Wide Linkage Study of Bipolar Disorder and Co-Morbid Migraine: Replication of Migraine Linkage on Chromosome 4q24, and Suggestion of an Overlapping Susceptibility Region for Both Disorders on Chromosome 20p11

Journal of Affective Disorders, Vol. 122, No. 1, 2010
Posted: 24 Mar 2010
K. J. Oedegaard, T. A. Greeenwood, Asger Lunde, O. B. Fasmer, H. S. Akiskal and J. R. Kelsoe
affiliation not provided to SSRN, affiliation not provided to SSRN, Aarhus University - School of Economics and Management, affiliation not provided to SSRN, University of California, San Diego (UCSD) - Department of Psychology and affiliation not provided to SSRN

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Migraine, Bipolar Disorder, Linkage, Chromosome 4q24, Chromosome 20p11

29.

Realized Kernels in Practice: Trades and Quotes

Econometrics Journal, Vol. 21, 2009
Posted: 10 Mar 2010
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University

Abstract:

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HAC estimator, Long run variance estimator, Market frictions, Quadratic

30.

The Greenspan Years: An Analysis of the Magnitude and Speed of the Equity Market Response to FOMC Announcements

Financial Markets and Portfolio Management, Vol. 22, No.1, pp. 3-20, 2008
Posted: 02 Apr 2008
Allan A. Zebedee, Eric Bentzen, Peter Reinhard Hansen and Asger Lunde
Clarkson University, Copenhagen Business School, University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management

Abstract:

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Monetary policy, Exchange traded funds, High-frequency data

31.

The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis

UCSD Economics Discussion Paper 98-11, Cass Business School Research Paper
Posted: 20 Aug 1998
Asger Lunde, David P. Blake and Allan Timmermann
Aarhus University - School of Economics and Management, City University London - Cass Business School and UCSD

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32.

Trades and Quotes: A Bivariate Point Process

Downloads 0 (650,420)

Trades and Quotes: A Bivariate Point Process

Journal of Financial Econometrics, Vol. 1, No. 2, pp. 159-188, 2003
Posted: 29 Feb 2008
Asger Lunde and Robert F. Engle
Aarhus University - School of Economics and Management and New York University - Leonard N. Stern School of Business - Department of Economics

Abstract:

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duration analysis, market microstructure, transaction data

Trades and Quotes: A Bivariate Point Process

UCSD Economics Discussion Paper 98-07
Posted: 20 Aug 1998
Asger Lunde and Robert F. Engle
Aarhus University - School of Economics and Management and New York University - Leonard N. Stern School of Business - Department of Economics

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