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)? 1 1 2 1,214 1 2 7 2,438
And Now, The Rest of the News: Volatility and Firm Specific News Arrival 0 0 0 259 2 2 4 623
Choosing the Best Volatility Models:The Model Confidence Set Approach 0 0 2 379 0 0 3 1,024
Choosing the best volatility models: the model confidence set approach 0 0 0 248 0 0 0 841
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 0 132 0 0 3 524
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 1 2 2 87 1 3 5 320
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 0 699 2 2 11 1,894
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 2 369 0 1 5 1,008
Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error 0 0 0 116 1 1 4 331
Model confidence sets for forecasting models 0 0 2 265 0 0 8 664
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 0 1 71 1 1 3 256
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 49 0 1 1 207
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 90 0 1 2 382
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 31 1 1 1 196
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 0 351 0 1 2 720
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility 0 0 0 62 1 1 4 300
Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 0 27 0 0 0 154
Realized Variance and IID Market Microstructure Noise 0 0 0 319 0 0 1 917
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 0 2 6 437
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 0 0 0 362
Subsampling realised kernels 0 0 0 53 0 0 0 239
Subsampling realised kernels 0 0 0 75 0 0 2 335
Subsampling realised kernels 0 0 0 45 0 0 0 254
Testing the significance of calendar effects 0 0 1 669 0 0 3 1,792
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 140 0 0 0 669
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 16 0 0 0 145
The Model Confidence Set 0 1 5 219 0 2 8 730
Trades and Quotes: A Bivariate Point Process 0 0 0 19 0 0 2 99
Wavelet Estimation of Integrated Volatility 0 0 1 280 0 0 4 526
Total Working Papers 2 4 18 6,496 10 21 89 18,387


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 0 2 165 2 2 11 463
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 3 6 9 1,432 5 18 60 4,070
Choosing the Best Volatility Models: The Model Confidence Set Approach* 0 0 2 107 0 1 9 471
Completion time structures of stock price movements 0 0 0 35 0 0 0 189
Consistent ranking of volatility models 0 0 7 441 0 0 13 1,096
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 0 0 235 1 1 5 720
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 1 1 7 236 3 5 29 561
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise 0 0 1 146 0 1 2 371
Intraday volatility responses to monetary policy events 0 1 1 33 0 1 1 99
Moving Average-Based Estimators of Integrated Variance 0 0 0 98 0 0 0 393
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 3 125 1 3 19 432
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction 0 0 0 30 0 0 0 116
Realized Variance and Market Microstructure Noise 1 1 6 380 3 5 16 936
Realized kernels in practice: trades and quotes 0 0 0 171 4 8 14 588
Rejoinder 0 0 0 17 0 0 0 58
Subsampling realised kernels 0 0 0 52 0 0 1 218
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements 0 0 0 53 0 0 0 164
The Model Confidence Set 0 0 0 0 3 7 23 721
The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model 0 0 0 16 1 1 7 653
The hazards of mutual fund underperformance: A Cox regression analysis 0 0 4 132 0 1 6 485
Trades and Quotes: A Bivariate Point Process 0 0 0 0 0 0 6 315
Total Journal Articles 5 9 42 3,904 23 54 222 13,119


Statistics updated 2025-02-05