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 2 3 1,216 2 3 7 2,442
And Now, The Rest of the News: Volatility and Firm Specific News Arrival 0 0 1 260 1 1 4 625
Choosing the Best Volatility Models:The Model Confidence Set Approach 0 0 2 380 0 0 2 1,025
Choosing the best volatility models: the model confidence set approach 0 0 0 248 0 0 1 842
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 1 133 0 0 3 526
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 3 88 1 2 9 325
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 1 1 370 0 1 4 1,009
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 2 2 701 3 5 14 1,900
Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error 0 0 0 116 0 0 3 331
Model confidence sets for forecasting models 0 1 2 266 1 6 10 671
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 0 1 71 0 0 4 257
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 49 1 1 2 208
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 1 196
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 0 2 382
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 0 351 1 1 3 721
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility 0 0 0 62 0 0 2 300
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 96 1 2 3 365
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 0 0 6 438
Subsampling realised kernels 0 0 0 53 0 0 1 240
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 0 669 0 0 0 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 1 1 1 146
The Model Confidence Set 1 2 4 221 1 2 7 732
Trades and Quotes: A Bivariate Point Process 0 0 0 19 1 1 3 100
Wavelet Estimation of Integrated Volatility 0 0 1 280 0 0 4 526
Total Working Papers 2 8 21 6,508 14 26 99 18,428


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 1 165 0 0 6 464
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 1 3 11 1,435 4 14 59 4,094
Choosing the Best Volatility Models: The Model Confidence Set Approach* 0 0 2 108 1 1 7 474
Completion time structures of stock price movements 0 0 0 35 0 1 3 192
Consistent ranking of volatility models 1 2 5 444 1 3 10 1,100
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 1 1 236 0 1 3 722
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 1 3 6 239 3 7 20 569
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise 0 0 1 146 0 0 2 371
Intraday volatility responses to monetary policy events 0 0 1 33 0 0 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 1 3 4 128 3 5 14 437
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction 0 0 0 30 2 2 2 118
Realized Variance and Market Microstructure Noise 1 1 5 381 1 4 15 941
Realized kernels in practice: trades and quotes 0 0 0 171 0 1 14 591
Rejoinder 0 0 0 17 0 0 1 59
Subsampling realised kernels 0 0 0 52 0 0 0 218
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 3 14 726
The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model 0 0 0 16 0 0 4 653
The hazards of mutual fund underperformance: A Cox regression analysis 0 0 1 132 0 0 3 486
Trades and Quotes: A Bivariate Point Process 0 0 0 0 0 1 5 316
Total Journal Articles 5 13 38 3,919 18 43 183 13,187


Statistics updated 2025-07-04