Access Statistics for Valeri Voev

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A trade-by-trade surprise measure and its relation to observed spreads on the NYSE 0 0 0 25 1 1 3 102
Dynamic modeling of large dimensional covariance matrices 0 0 0 161 0 0 2 260
Estimating High-Frequency Based (Co-) Variances: A Unified Approach 0 0 1 73 0 0 2 149
Estimating high-frequency based (co-) variances: A unified approach 0 0 1 93 1 1 2 183
Forecasting Covariance Matrices: A Mixed Frequency Approach 0 1 2 96 1 3 10 147
Forecasting Covariance Matrices: A Mixed Frequency Approach 0 0 0 116 1 3 7 184
Forecasting Covariance Matrices: A Mixed Frequency Approach 0 1 2 56 1 3 7 188
Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors 0 0 0 132 0 1 8 364
Forecasting multivariate volatility using the VARFIMA model on realized covariance cholesky factors 0 0 0 0 1 1 3 17
Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise 0 0 0 86 0 1 5 176
Modelling and Forecasting Multivariate Realized Volatility 0 0 0 185 0 0 8 355
Modelling and forecasting multivariate realized volatility 0 0 0 98 1 1 8 194
On the Economic Evaluation of Volatility Forecasts 0 0 2 86 1 3 16 185
Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market 0 0 0 42 0 0 3 133
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 1 1 351 0 3 16 687
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility 0 0 2 55 1 7 26 244
Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 3 25 1 1 12 137
The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts 0 0 1 90 2 3 11 228
Total Working Papers 0 3 15 1,770 12 32 149 3,933


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Forecasting Covariance Matrices: A Mixed Approach 0 0 4 15 0 0 12 40
Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors 0 0 0 39 0 0 1 151
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise 0 0 3 141 1 2 10 352
Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise 0 0 0 6 0 0 0 45
Modelling and forecasting multivariate realized volatility 0 0 0 0 0 2 9 191
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY 0 0 0 21 0 0 2 66
The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts 0 0 0 10 1 1 11 67
Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach 0 0 0 5 0 0 5 47
Total Journal Articles 0 0 7 237 2 5 50 959


Statistics updated 2021-01-03