Access Statistics for Asger Lunde

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? 0 4 15 1,181 4 12 87 2,256
And Now, The Rest of the News: Volatility and Firm Specific News Arrival 0 1 9 234 3 7 40 463
Choosing the Best Volatility Models:The Model Confidence Set Approach 0 2 4 364 2 5 13 938
Choosing the best volatility models: the model confidence set approach 0 0 1 246 1 5 14 721
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 1 3 5 125 4 11 24 419
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 2 4 80 1 5 15 282
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 2 357 1 2 9 953
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 1 686 2 3 8 1,818
Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error 0 0 0 111 1 3 15 253
Model confidence sets for forecasting models 0 0 4 248 5 5 16 567
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 1 2 4 70 3 4 12 169
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 48 0 1 7 173
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 87 0 3 14 307
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 30 0 1 4 122
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 0 350 2 6 15 673
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility 1 1 3 54 4 8 28 222
Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 2 3 3 24 3 4 7 128
Realized Variance and IID Market Microstructure Noise 0 1 3 316 4 7 12 894
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 93 4 5 10 319
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 107 0 0 4 373
Subsampling realised kernels 0 0 0 73 1 2 8 299
Subsampling realised kernels 0 0 0 53 2 3 10 220
Subsampling realised kernels 0 0 0 44 2 4 8 207
Testing the significance of calendar effects 0 1 7 649 1 4 23 1,645
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 1 138 2 5 13 588
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 14 1 2 6 92
The Model Confidence Set 1 4 18 169 7 24 79 465
Trades and Quotes: A Bivariate Point Process 0 0 1 19 0 1 9 87
Wavelet Estimation of Integrated Volatility 0 0 0 276 1 1 6 495
Total Working Papers 6 24 85 6,246 61 143 516 16,148

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data 0 1 6 138 2 4 17 315
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 0 1 15 1,363 5 14 74 3,682
Choosing the Best Volatility Models: The Model Confidence Set Approach* 0 1 2 97 1 4 13 413
Completion time structures of stock price movements 0 0 1 35 0 1 5 173
Consistent ranking of volatility models 1 3 23 396 6 12 45 853
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 1 7 211 6 14 50 603
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 2 2 203 1 3 14 425
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise 0 0 4 138 1 3 15 343
Intraday volatility responses to monetary policy events 0 0 0 31 0 1 1 83
Moving Average-Based Estimators of Integrated Variance 0 1 1 95 1 5 12 373
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 2 2 92 2 6 18 272
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction 0 1 1 29 0 1 3 109
Realized Variance and Market Microstructure Noise 1 3 6 359 2 6 24 796
Realized kernels in practice: trades and quotes 0 0 4 167 4 5 18 496
Rejoinder 0 0 0 17 1 1 2 56
Subsampling realised kernels 0 0 0 50 0 0 5 163
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements 0 0 1 51 0 0 3 134
The Model Confidence Set 0 0 0 0 7 13 32 530
The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model 0 0 0 16 2 4 6 631
The hazards of mutual fund underperformance: A Cox regression analysis 0 0 0 123 2 4 8 399
Trades and Quotes: A Bivariate Point Process 0 0 0 0 0 1 9 290
Total Journal Articles 2 16 75 3,611 43 102 374 11,139

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Statistics updated 2020-02-04