Per Skaarup Frederiksen

BlackRock, Inc

Director

55 East 52nd Street

New York City, NY 10055

United States

SCHOLARLY PAPERS

6

DOWNLOADS

607

SSRN CITATIONS
Rank 30,539

SSRN RANKINGS

Top 30,539

in Total Papers Citations

6

CROSSREF CITATIONS

16

Scholarly Papers (6)

1.

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

CREATES Research Paper No. 2007-21
Number of pages: 74 Posted: 23 Jun 2008 Last Revised: 02 Dec 2008
Northwestern University - Kellogg School of Management, Duke University - Finance, BlackRock, Inc, Queen's University - Department of Economics and School of Economics and Management, University of Aarhus
Downloads 232 (136,843)
Citation 12

Abstract:

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Return distributions, continuous-time models, mixture-of-distributions hypothesis, financial-time sampling, high-frequency data, volatility signature plots, realized volatilities, jumps, leverage and volatility feedback effects

2.

On the Generalized Brownian Motion and its Applications in Finance

Number of pages: 29 Posted: 02 Dec 2008
Esben Høg, Per Skaarup Frederiksen and Daniel Schiemert
Aalborg University - Department of Mathematical Sciences, BlackRock, Inc and affiliation not provided to SSRN
Downloads 226 (140,364)

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Generalized Brownian motion, Bond market with memory, Fractional bond pricing equation, fractional Ornstein-Uhlenbeck process, long memory, Kalman filter

3.

Testing for Long Memory in Potentially Nonstationary Perturbed Fractional Processes

CREATES Research Paper No. 2008-59
Number of pages: 53 Posted: 25 Nov 2008
Frank Nielsen and Per Skaarup Frederiksen
Aarhus University - Department of Economics and BlackRock, Inc
Downloads 69 (343,892)
Citation 1

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Temporal aggregation, semiparametric estimation, fractional integration, self-similarity, perturbed fractional processes

4.

Local Polynomial Whittle Estimation of Perturbed Fractional Processes

Number of pages: 49 Posted: 11 Jun 2008
Per Skaarup Frederiksen, Frank Nielsen and Morten Ørregaard Nielsen
BlackRock, Inc, Aarhus University - Department of Economics and Queen's University - Department of Economics
Downloads 47 (412,823)
Citation 7

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Bias reduction, local Whittle, long memory, perturbed fractional process, semipara

Bias-Reduced Estimation of Long Memory Stochastic Volatility

CREATES Research Paper No. 2008-35
Number of pages: 17 Posted: 24 Jun 2008 Last Revised: 01 Jul 2008
Per Skaarup Frederiksen and Morten Ørregaard Nielsen
BlackRock, Inc and Queen's University - Department of Economics
Downloads 30 (497,337)
Citation 3

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Bias reduction, local Whittle estimation, long memory stochastic volatility model

Bias-Reduced Estimation of Long-Memory Stochastic Volatility

Journal of Financial Econometrics, Vol. 6, Issue 4, pp. 496-512, 2008
Posted: 16 Oct 2008
Per Skaarup Frederiksen and Morten Ørregaard Nielsen
BlackRock, Inc and Queen's University - Department of Economics

Abstract:

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C14, C22, bias reduction, local Whittle estimation, long memory stochastic volatility model

6.

Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration

The Econometrics Journal, Vol. 14, Issue 1, pp. 77-120, 2011
Number of pages: 44 Posted: 28 Feb 2011
Morten Ørregaard Nielsen and Per Skaarup Frederiksen
Queen's University - Department of Economics and BlackRock, Inc
Downloads 3 (652,768)
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Abstract:

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Fractional cointegration, Frequency domain, Fully modified estimation, Long memory, Semi-parametric