Asger Lunde

Aarhus University - School of Business and Social Sciences

Professor

Aarhus

Denmark

CREATES

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

33

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19,152

SSRN CITATIONS
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Top 1,422

in Total Papers Citations

465

CROSSREF CITATIONS

363

Scholarly Papers (33)

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 Business and Social Sciences
Downloads 2,911 (4,481)
Citation 79

Abstract:

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

2.

Testing the Significance of Calendar Effects

Federal Reserve Bank of Atlanta Working Paper No. 2005-02
Number of pages: 30 Posted: 26 May 2003
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads 2,314 (6,574)
Citation 27

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Calendar effects, data mining, significance test

3.

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 Business and Social Sciences
Downloads 2,216 (7,040)
Citation 112

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

4.

The Model Confidence Set

Number of pages: 41 Posted: 30 Mar 2004 Last Revised: 07 Jul 2014
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads 1,602 (11,981)
Citation 57

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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
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Business and Social Sciences and Harvard University
Downloads 1,529 (12,918)
Citation 190

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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 Business and Social Sciences
Downloads 960 (26,117)
Citation 36

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

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 Business and Social Sciences
Downloads 955 (25,858)
Citation 54

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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 Business and Social Sciences

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high-frequency data, market microstructure noise, realized variance

8.

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
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Business and Social Sciences and Harvard University
Downloads 932 (27,220)
Citation 118

Abstract:

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

9.

Realised Kernels in Practice: Trades and Quotes

Number of pages: 32 Posted: 28 May 2008
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Business and Social Sciences and Harvard University
Downloads 880 (29,573)
Citation 29

Abstract:

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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 Business and Social Sciences
Downloads 743 (37,355)
Citation 29

Abstract:

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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
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads 673 (42,716)
Citation 85

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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
University of Toronto - Rotman School of Management, Aarhus University - School of Business and Social Sciences and CREATES
Downloads 659 (43,918)
Citation 11

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

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 Business and Social Sciences
Downloads 431 (74,309)
Citation 13

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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 Business and Social Sciences

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

14.
Downloads 422 ( 76,926)
Citation 9

Moving Average-Based Estimators of Integrated Variance

Number of pages: 32 Posted: 05 Jun 2006
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Oxford - Department of Economics and Aarhus University - School of Business and Social Sciences
Downloads 422 (76,228)
Citation 9

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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
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Oxford - Department of Economics and Aarhus University - School of Business and Social Sciences

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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 Business and Social Sciences
Downloads 386 (85,319)
Citation 3

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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
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Business and Social Sciences and Harvard University
Downloads 369 (89,925)
Citation 15

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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
Copenhagen Business School, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Business and Social Sciences and Clarkson University
Downloads 302 (112,410)
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 Business and Social Sciences
Downloads 295 (115,342)
Citation 22

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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
Ghent University, AMSE, Aarhus University - School of Business and Social Sciences, Erasmus University Rotterdam (EUR) - Department of Business Economics and Aarhus University - School of Business and Social Sciences
Downloads 146 (222,639)

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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 Economics, Aarhus University - School of Business and Social Sciences and Imperial College London - Department of Mathematics
Downloads 110 (275,935)
Citation 22

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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
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, Aarhus University - School of Business and Social Sciences, Harvard University and Imperial College London
Downloads 83 (331,326)
Citation 1

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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 Business and Social Sciences
Downloads 82 (333,724)

Abstract:

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Volatility Forecasting

23.

Realizing Correlations Across Asset Classes

Number of pages: 48 Posted: 02 Jan 2019
School of Economics and Business Economics, Aarhus University, Aarhus University - School of Business and Social Sciences, CREATES and Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management
Downloads 52 (422,756)

Abstract:

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commodities, futures markets, portfolio selection, Realized Beta GARCH

24.

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

Number of pages: 43 Posted: 12 Dec 2003
Asger Lunde and Allan Timmermann
Aarhus University - School of Business and Social Sciences and UCSD
Downloads 38 (478,878)
Citation 9
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Hazard model, survival rate, interest rate effect

25.

Including News Data in Forecasting Macro Economic Performance of China

Number of pages: 22 Posted: 20 Nov 2019
Asger Lunde and Miha Torkar
Aarhus University - School of Business and Social Sciences and Jožef Stefan Institute
Downloads 37 (483,489)

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Macroeconomics,News,Sentiment,Factor Models,Principal Component Analysis

26.

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Number of pages: 34 Posted: 25 May 2018
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Stanford University - Department of Statistics, Aarhus University - School of Business and Social Sciences and University of Vienna - Faculty of Business, Economics and Statistics
Downloads 24 (552,436)

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

27.

Picking Funds with Confidence

CEPR Discussion Paper No. DP11896
Number of pages: 61 Posted: 16 Mar 2017
School of Economics and Business Economics, Aarhus University, Aarhus University - School of Business and Social Sciences, UCSD and University of Maryland - Robert H. Smith School of Business
Downloads 1 (720,919)
Citation 1
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equity mutual funds, Fund confidence set, risk-adjusted performance

28.

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 Business and Social Sciences and Clarkson University

Abstract:

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

29.

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
affiliation not provided to SSRN, University of California, San Diego (UCSD) - Department of Psychiatry, Aarhus University - School of Business and Social Sciences, 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

30.

Realized Kernels in Practice: Trades and Quotes

Econometrics Journal, Vol. 21, 2009
Posted: 10 Mar 2010
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Business and Social Sciences and Harvard University

Abstract:

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

31.

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
Clarkson University, Copenhagen Business School, University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Business and Social Sciences

Abstract:

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Monetary policy, Exchange traded funds, High-frequency data

32.

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 Business and Social Sciences, City, University of London and UCSD

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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 Business and Social Sciences and New York University (NYU) - Department of Finance

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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 Business and Social Sciences and New York University (NYU) - Department of Finance

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