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

  • Aarhus University - School of Business and Social Sciences

  • CREATES

SCHOLARLY PAPERS

33

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560

CROSSREF CITATIONS

386

Scholarly Papers (33)

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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, Asger Lunde and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads 2,967 (5,297)
Citation 94

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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
Peter Reinhard Hansen, Asger Lunde, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, CREATESAarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads 2,533 (6,844)
Citation 28

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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, Asger Lunde and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads 2,243 (8,301)
Citation 131

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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
Peter Reinhard Hansen, Asger Lunde, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, CREATESAarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads 1,652 (13,611)
Citation 63

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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, 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, CREATESAarhus University - School of Business and Social Sciences and Harvard University
Downloads 1,580 (14,583)
Citation 216

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

6.

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

Downloads 1,035 ( 27,505)

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

Number of pages: 29 Posted: 16 Apr 2004
Peter Reinhard Hansen, Asger Lunde and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads 1,035 (27,102)
Citation 57

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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, Asger Lunde and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences

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high-frequency data, market microstructure noise, realized variance

7.

An Unbiased Measure of Realized Variance

Number of pages: 27 Posted: 05 Apr 2004
Peter Reinhard Hansen, Asger Lunde and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads 988 (29,388)
Citation 36

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Realized variance, realized volatility, high-frequency data, integrated 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
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, 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, CREATESAarhus University - School of Business and Social Sciences and Harvard University
Downloads 969 (30,238)
Citation 129

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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
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, 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, CREATESAarhus University - School of Business and Social Sciences and Harvard University
Downloads 932 (31,952)
Citation 31

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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, Asger Lunde and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads 754 (42,769)
Citation 29

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Consistent Ranking, Model Comparison, Volatility Models.

11.

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, Asger Lunde, Kasper Olesen and Kasper Olesen
University of Toronto - Rotman School of Management, CREATESAarhus University - School of Business and Social Sciences and CREATESBank of America - Bank of America Merrill Lynch
Downloads 709 (46,464)
Citation 13

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

12.

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, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, CREATESAarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads 683 (48,848)
Citation 104

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Forecasting, Model Selection, Multiple Comparisons, Data Mining

13.

Moving Average-Based Estimators of Integrated Variance

Downloads 442 ( 84,141)
Citation 9

Moving Average-Based Estimators of Integrated Variance

Number of pages: 32 Posted: 05 Jun 2006
Peter Reinhard Hansen, Jeremy H. Large, Asger Lunde and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Oxford - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads 442 (83,396)
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
Peter Reinhard Hansen, Jeremy H. Large, Asger Lunde and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Oxford - Department of Economics and CREATESAarhus University - School of Business and Social Sciences

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

14.

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

Downloads 435 ( 85,751)
Citation 17

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

Number of pages: 48 Posted: 17 Jul 2006
Valeri Voev, Asger Lunde and Asger Lunde
Aarhus University - CREATES and CREATESAarhus University - School of Business and Social Sciences
Downloads 435 (85,001)
Citation 17

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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, Asger Lunde and Asger Lunde
Aarhus University - CREATES and CREATESAarhus University - School of Business and Social Sciences

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

15.

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

Number of pages: 23 Posted: 03 Jan 2006
Peter Reinhard Hansen, Asger Lunde and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads 391 (97,005)
Citation 5

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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, 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, CREATESAarhus University - School of Business and Social Sciences and Harvard University
Downloads 378 (100,844)
Citation 16

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

17.

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, Asger Lunde and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads 311 (125,044)
Citation 25

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

18.

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, Asger Lunde and Allan A. Zebedee
Copenhagen Business School, University of North Carolina (UNC) at Chapel Hill - Department of Economics, CREATESAarhus University - School of Business and Social Sciences and Clarkson University
Downloads 304 (128,129)
Citation 5

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

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, Asger Lunde, Rogier Quaedvlieg and Orimar Sauri
Ghent University, AMSE, CREATESAarhus University - School of Business and Social Sciences, Erasmus University Rotterdam (EUR) - Department of Business Economics and Aalborg University - Department of Mathematical Sciences
Downloads 152 (245,214)
Citation 3

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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, Asger Lunde and Mikko Pakkanen
Aarhus University - Department of Economics and Business Economics, CREATESAarhus University - School of Business and Social Sciences and Imperial College London - Department of Mathematics
Downloads 136 (268,096)
Citation 33

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

21.

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, Asger Lunde and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads 122 (290,796)

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Volatility Forecasting

22.

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, Asger Lunde, Neil Shephard and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, CREATESAarhus University - School of Business and Social Sciences, Harvard University and Imperial College London
Downloads 88 (361,706)
Citation 1

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

23.

Including News Data in Forecasting Macro Economic Performance of China

Number of pages: 22 Posted: 20 Nov 2019
Asger Lunde, Asger Lunde and Miha Torkar
CREATESAarhus University - School of Business and Social Sciences and Jožef Stefan Institute
Downloads 66 (425,863)

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

24.

Realizing Correlations Across Asset Classes

Number of pages: 48 Posted: 02 Jan 2019
Niels Groenborg, Asger Lunde, Asger Lunde, Kasper Olesen, Kasper Olesen and Harry Vander Elst
School of Economics and Business Economics, Aarhus University, CREATESAarhus University - School of Business and Social Sciences, CREATESBank of America - Bank of America Merrill Lynch and Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management
Downloads 65 (429,172)

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commodities, futures markets, portfolio selection, Realized Beta GARCH

25.

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

Number of pages: 43 Posted: 12 Dec 2003
Asger Lunde, Asger Lunde and Allan Timmermann
CREATESAarhus University - School of Business and Social Sciences and UCSD
Downloads 38 (539,941)
Citation 12
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Hazard model, survival rate, interest rate effect

26.

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, Asger Lunde and Ilya Archakov
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Stanford University - Department of Statistics, CREATESAarhus University - School of Business and Social Sciences and University of Vienna - Faculty of Business, Economics and Statistics
Downloads 30 (583,089)

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

27.

Picking Funds with Confidence

Number of pages: 61 Posted: 16 Mar 2017
Niels Groenborg, Asger Lunde, Asger Lunde, Allan Timmermann and Russ Wermers
School of Economics and Business Economics, Aarhus University, CREATESAarhus University - School of Business and Social Sciences, UCSD and University of Maryland - Robert H. Smith School of Business
Downloads 2 (789,543)
Citation 2
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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, Asger Lunde and Allan A. Zebedee
CREATESAarhus 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
K. J. Oedegaard, T. A. Greeenwood, Asger Lunde, Asger Lunde, O. B. Fasmer, H. S. Akiskal and J. R. Kelsoe
affiliation not provided to SSRN, University of California, San Diego (UCSD) - Department of Psychiatry, CREATESAarhus 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
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, 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, CREATESAarhus 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
Allan A. Zebedee, Eric Bentzen, Peter Reinhard Hansen, Asger Lunde and Asger Lunde
Clarkson University, Copenhagen Business School, University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus 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, Asger Lunde, David P. Blake and Allan Timmermann
CREATESAarhus University - School of Business and Social Sciences, City, University of London and UCSD

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33.

Trades and Quotes: A Bivariate Point Process

Downloads 0 (818,422)

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, Asger Lunde and Robert F. Engle
CREATESAarhus 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, Asger Lunde and Robert F. Engle
CREATESAarhus University - School of Business and Social Sciences and New York University (NYU) - Department of Finance

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