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 0 4 1,212 2 2 24 2,433
And Now, The Rest of the News: Volatility and Firm Specific News Arrival 0 0 6 259 0 2 30 621
Choosing the Best Volatility Models:The Model Confidence Set Approach 0 1 8 378 1 2 22 1,023
Choosing the best volatility models: the model confidence set approach 0 0 0 248 0 0 13 841
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 1 85 0 0 2 315
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 0 132 0 0 2 521
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 1 1 5 368 1 1 9 1,004
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 9 699 1 1 21 1,884
Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error 0 0 0 116 0 1 10 328
Model confidence sets for forecasting models 0 0 3 263 1 2 13 658
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 0 0 70 0 0 12 253
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 0 0 206
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 1 90 0 0 7 380
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 31 0 0 12 195
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 0 351 0 0 7 718
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility 0 0 0 62 0 1 14 297
Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 1 27 0 0 3 154
Realized Variance and IID Market Microstructure Noise 0 0 0 319 0 0 1 916
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 0 0 3 362
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 4 116 0 0 8 431
Subsampling realised kernels 0 0 0 75 0 0 1 333
Subsampling realised kernels 0 0 0 45 0 0 2 254
Subsampling realised kernels 0 0 0 53 0 0 1 239
Testing the significance of calendar effects 0 1 2 669 0 3 17 1,792
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 1 16 0 0 3 145
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 1 140 0 0 15 669
The Model Confidence Set 1 2 5 216 1 2 12 724
Trades and Quotes: A Bivariate Point Process 0 0 0 19 0 0 1 97
Wavelet Estimation of Integrated Volatility 0 0 1 279 0 0 3 522
Total Working Papers 2 5 52 6,483 7 17 268 18,315


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 3 164 0 4 17 456
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 1 1 5 1,424 5 9 39 4,019
Choosing the Best Volatility Models: The Model Confidence Set Approach* 1 1 2 106 1 2 11 464
Completion time structures of stock price movements 0 0 0 35 0 0 0 189
Consistent ranking of volatility models 2 2 3 436 2 3 22 1,086
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 0 3 235 1 3 16 718
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 2 3 8 232 4 5 21 537
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise 0 0 2 145 0 0 6 369
Intraday volatility responses to monetary policy events 0 0 0 32 0 0 1 98
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 1 5 123 0 5 24 418
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 0 1 7 375 1 5 31 925
Realized kernels in practice: trades and quotes 0 0 0 171 0 1 13 575
Rejoinder 0 0 0 17 0 0 0 58
Subsampling realised kernels 0 0 0 52 0 1 5 218
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements 0 0 0 53 0 0 1 164
The Model Confidence Set 0 0 0 0 3 7 25 705
The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model 0 0 0 16 0 1 2 647
The hazards of mutual fund underperformance: A Cox regression analysis 0 0 2 128 0 1 19 480
Trades and Quotes: A Bivariate Point Process 0 0 0 0 0 2 3 311
Total Journal Articles 6 10 40 3,872 17 49 256 12,946


Statistics updated 2024-05-04