Karim Bannouh

NN Investment Partners

Schenkkade 65

The Hague, 2595 AS

Netherlands

  • NN Investment Partners

SCHOLARLY PAPERS

4

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861

SSRN CITATIONS
Rank 21,147

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Top 21,147

in Total Papers Citations

9

CROSSREF CITATIONS

45

Scholarly Papers (4)

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1.

Filing, Fast and Slow: Reporting Lag and Stock Returns

Number of pages: 47 Posted: 08 Aug 2019 Last Revised: 24 Feb 2021
Karim Bannouh, Derek Geng and Bas Peeters
NN Investment Partners, NN Investment Partners and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 444 (109,790)

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asset pricing, return predictability, reporting lag, financial reporting timeliness, SEC filings, textual analysis, firm efficiency

2.

Realized Mixed-Frequency Factor Models for Vast Dimensional Covariance Estimation

ERIM Report Series Reference No. ERS-2012-017-F&A
Number of pages: 45 Posted: 24 Oct 2012
Karim Bannouh, Martin Martens, Roel C. A. Oomen and Dick J. C. van Dijk
NN Investment Partners, Robeco Asset Management, Deutsche Bank AG (London) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 293 (173,851)

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factor models, high-frequency data, realized covariance, microstructure noise, non-synchronous trading

3.

Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading

ERIM Report Series Reference No. ERS-2012-018-F&A
Number of pages: 27 Posted: 26 Oct 2012
Karim Bannouh, Martin Martens and Dick J. C. van Dijk
NN Investment Partners, Robeco Asset Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 124 (374,619)
Citation 9

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forecasting, high frequency data, market microstructure noise, realized range, two time scales, realized variance

4.

Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range

Journal of Financial Econometrics, Vol. 7, Issue 4, pp. 341-372, 2009
Posted: 09 Oct 2009
Karim Bannouh, Dick J. C. van Dijk and Martin Martens
NN Investment Partners, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam

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bias-correction, high-frequency data, market microstructure noise, realized co-range, realized covariance