Valeri Voev

Aarhus University - CREATES

Assistant Professor

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 17,108

SSRN RANKINGS

Top 17,108

in Total Papers Downloads

2,825

SSRN CITATIONS
Rank 23,769

SSRN RANKINGS

Top 23,769

in Total Papers Citations

15

CROSSREF CITATIONS

15

Scholarly Papers (11)

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 425 (67,708)
Citation 13

Abstract:

Loading...

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

Abstract:

Loading...

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

2.

Modelling and Forecasting Multivariate Realized Volatility

Journal of Applied Econometrics, Vol. 26, pp. 922-947, 2011
Number of pages: 40 Posted: 03 Sep 2008 Last Revised: 07 Jan 2015
Roxana Halbleib and Valeri Voev
University of Konstanz and Aarhus University - CREATES
Downloads 361 (82,790)

Abstract:

Loading...

Forecasting, Fractional integration, Stochastic dominance, Portfolio optimization, Realized covariance

3.

Forecasting Covariance Matrices: A Mixed Frequency Approach

Forthcoming in Journal of Financial Econometrics published by Oxford University Press.
Number of pages: 34 Posted: 15 Jan 2011 Last Revised: 13 Jan 2015
Roxana Halbleib and Valeri Voev
University of Konstanz and Aarhus University - CREATES
Downloads 357 (83,879)
Citation 1

Abstract:

Loading...

Multivariate volatility, Volatility forecasting, High-frequency data, Realized variance, Realized covariance

4.

Estimating High-Frequency Based (Co-) Variances: A Unified Approach

Number of pages: 82 Posted: 26 Jul 2007 Last Revised: 12 Jun 2008
Ingmar Nolte and Valeri Voev
Lancaster University - Department of Accounting and Finance and Aarhus University - CREATES
Downloads 325 (93,209)
Citation 4

Abstract:

Loading...

High frequency data, Realized volatility and covariance, Market microstructure

5.

Dynamic Modelling of Large Dimensional Covariance Matrices

Number of pages: 21 Posted: 09 May 2006
Valeri Voev
Aarhus University - CREATES
Downloads 311 (97,949)
Citation 3

Abstract:

Loading...

Forecasting, realized covariance, shrinking

Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach

Number of pages: 43 Posted: 17 Jul 2006 Last Revised: 30 Sep 2010
Ingmar Nolte and Valeri Voev
Lancaster University - Department of Accounting and Finance and Aarhus University - CREATES
Downloads 223 (137,857)
Citation 2

Abstract:

Loading...

Trading Activity Datasets, Panel Intensity Models, Latent Factors, Efficient Importance Sampling, Behavioral Finance

Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach

Number of pages: 45 Posted: 16 Feb 2009
Ingmar Nolte and Valeri Voev
Lancaster University - Department of Accounting and Finance and Aarhus University - CREATES
Downloads 75 (323,431)

Abstract:

Loading...

Trading Activity Datasets, Panel Intensity Models, Latent Factors, Efficient Importance Sampling, Behavioral Finance

7.

Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise

Number of pages: 30 Posted: 28 Apr 2009 Last Revised: 17 Mar 2011
Ingmar Nolte and Valeri Voev
Lancaster University - Department of Accounting and Finance and Aarhus University - CREATES
Downloads 209 (147,082)
Citation 1

Abstract:

Loading...

High frequency data, Subsampling, Realized volatility, Market microstructure

8.

Forecasting Multivariate Volatility Using the Varfima Model on Realized Covariance Cholesky Factors

Journal of Economics and Statistics, Vol. 231, No. 1, pp. 134-152, 2011, ECARES working paper 2010‐041
Number of pages: 26 Posted: 03 Nov 2010 Last Revised: 25 Oct 2011
Roxana Halbleib and Valeri Voev
University of Konstanz and Aarhus University - CREATES
Downloads 186 (163,868)

Abstract:

Loading...

Forecasting, Stochastic dominance, Portfolio optimization, Realized covariance

9.

A Least Squares Regression Realized Covariation Estimation

Number of pages: 87 Posted: 23 Jan 2013 Last Revised: 03 Oct 2019
Ingmar Nolte, Michalis Vasios, Valeri Voev and Qi Xu
Lancaster University - Department of Accounting and Finance, Norges Bank Investment Management (NBIM), Aarhus University - CREATES and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 170 (177,570)

Abstract:

Loading...

Market Microstructure Noise, Realized Volatility, Realized Covariation, High Frequency Data, Subsampling, Market Microstructure, Asset Allocation

10.

On the Economic Evaluation of Volatility Forecasts

CREATES Research Paper 2009-56
Number of pages: 24 Posted: 28 Nov 2009
Valeri Voev
Aarhus University - CREATES
Downloads 130 (221,540)
Citation 6

Abstract:

Loading...

Forecast evaluation, Volatility forecasting, Portfolio optimization, Mean-variance analysis

11.

A Trade-by-Trade Surprise Measure and its Relation to Observed Spreads on the NYSE

Number of pages: 18 Posted: 17 Jul 2006
Valeri Voev
Aarhus University - CREATES
Downloads 53 (382,211)

Abstract:

Loading...