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)? 2 6 11 1,174 9 40 83 2,230
And Now, The Rest of the News: Volatility and Firm Specific News Arrival 1 2 8 231 1 3 32 443
Choosing the Best Volatility Models:The Model Confidence Set Approach 0 0 2 362 0 1 6 930
Choosing the best volatility models: the model confidence set approach 0 0 1 246 0 1 5 711
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 1 121 2 3 14 404
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 3 78 0 2 12 275
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 1 1 2 356 2 3 10 948
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 2 686 1 1 5 1,813
Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error 0 0 1 111 0 1 7 242
Model confidence sets for forecasting models 2 3 6 248 3 4 12 560
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 1 2 67 1 2 6 162
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 48 1 1 3 169
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 1 30 0 0 4 120
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 1 87 4 6 12 302
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 2 350 1 1 7 660
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility 0 0 3 53 1 2 19 210
Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 0 21 0 0 3 122
Realized Variance and IID Market Microstructure Noise 0 0 2 315 0 0 6 885
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 1 93 0 1 4 312
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 107 0 0 5 371
Subsampling realised kernels 0 0 0 53 2 3 5 215
Subsampling realised kernels 0 0 0 44 1 1 7 202
Subsampling realised kernels 0 0 0 73 0 1 7 295
Testing the significance of calendar effects 0 0 7 645 0 4 19 1,635
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 137 1 1 3 578
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 14 0 2 3 89
The Model Confidence Set 2 4 13 160 7 16 55 423
Trades and Quotes: A Bivariate Point Process 0 0 0 18 0 0 2 79
Wavelet Estimation of Integrated Volatility 0 0 0 276 0 1 5 492
Total Working Papers 8 17 69 6,204 37 101 361 15,877

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 1 2 7 135 2 4 13 306
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 0 4 19 1,360 3 11 96 3,660
Choosing the Best Volatility Models: The Model Confidence Set Approach* 0 0 2 96 2 2 9 406
Completion time structures of stock price movements 0 1 2 35 1 2 4 170
Consistent ranking of volatility models 4 10 23 392 8 18 44 838
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 1 3 7 210 4 14 37 583
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 2 201 2 3 10 415
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise 0 0 4 137 1 1 10 335
Intraday volatility responses to monetary policy events 0 0 0 31 0 0 0 82
Moving Average-Based Estimators of Integrated Variance 0 0 0 94 2 2 7 363
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 1 90 3 3 10 261
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction 0 0 0 28 0 0 1 107
Realized Variance and Market Microstructure Noise 0 0 8 356 4 6 21 786
Realized kernels in practice: trades and quotes 1 3 4 166 2 5 18 488
Rejoinder 0 0 0 17 0 0 0 54
Subsampling realised kernels 0 0 0 50 0 1 6 162
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements 0 1 2 51 0 1 4 133
The Model Confidence Set 0 0 0 0 2 6 33 514
The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model 0 0 0 16 0 0 5 626
The hazards of mutual fund underperformance: A Cox regression analysis 0 0 0 123 0 1 3 393
Trades and Quotes: A Bivariate Point Process 0 0 0 0 0 1 2 282
Total Journal Articles 7 24 81 3,588 36 81 333 10,964

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Statistics updated 2019-09-09