Karim Bannouh

NN Investment Partners

Schenkkade 65

The Hague, 2595 AS

Netherlands

SCHOLARLY PAPERS

4

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495

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Scholarly Papers (4)

1.

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
NN Investment Partners, Erasmus University Rotterdam (EUR), Deutsche Bank AG (London) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 238 (128,604)

Abstract:

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

2.

Filing, Fast and Slow: Reporting Lag and Stock Returns

Number of pages: 39 Posted: 08 Aug 2019 Last Revised: 23 Sep 2019
Karim Bannouh, Derek Geng and Bas Peeters
NN Investment Partners, NN Investment Partners and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 150 (201,133)

Abstract:

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

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, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 107 (253,283)
Citation 2

Abstract:

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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

Abstract:

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