Karim Bannouh

Erasmus University Rotterdam (EUR) - Department of Econometrics

P.O. Box 1738

3000 DR Rotterdam

Netherlands

http://people.few.eur.nl/bannouh/

ERIM

PhD Candidate

P.O. Box 1738

3000 DR Rotterdam

Netherlands

SCHOLARLY PAPERS

3

DOWNLOADS

313

CITATIONS
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4

Scholarly Papers (3)

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
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR), Deutsche Bank AG (London) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 153 (121,013)
Citation 4

Abstract:

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

2.

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
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 80 (221,424)

Abstract:

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

3.

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
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam

Abstract:

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