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Details about Asger Lunde

E-mail:
Homepage:http://mit.econ.au.dk/vip_htm/alunde/
Phone:+45 8942 5367
Postal address:Aarhus University School of Economics and Management Bartholins Allé 10 Building 1326, 117 8200 Aarhus C Denmark
Workplace:Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Asger Lunde.

Last updated 2013-05-26. Update your information in the RePEc Author Service.

Short-id: plu40


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Working Papers

2012

  1. And Now, The Rest of the News: Volatility and Firm Specific News Arrival
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  2. Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (2)
    Also in Economics Working Papers, European University Institute (2012) Downloads View citations (2)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (13)

2010

  1. Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (11)
  2. The Model Confidence Set
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Econometrica (2011)

2009

  1. Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (23)
    OFRC Working Papers Series, Oxford Financial Research Centre (2008) Downloads View citations (27)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) Downloads View citations (23)

    See also Journal Article in Journal of Econometrics (2011)

2006

  1. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (20)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2006) Downloads View citations (55)

    See also Journal Article in Econometrica (2008)
  2. Subsampling realised kernels
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (6)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2006) Downloads View citations (3)
    Economics Series Working Papers, University of Oxford, Department of Economics (2006) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2011)

2005

  1. Model confidence sets for forecasting models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (18)
  2. Testing the significance of calendar effects
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (13)
    Also in Working Papers, Brown University, Department of Economics (2003) Downloads View citations (3)

2004

  1. Realized Variance and IID Market Microstructure Noise
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (30)
  2. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (17)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) Downloads View citations (13)

2003

  1. Choosing the Best Volatility Models:The Model Confidence Set Approach
    Working Papers, Brown University, Department of Economics Downloads View citations (45)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2003) Downloads View citations (49)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
  2. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (10)

    See also Journal Article in Journal of Business & Economic Statistics (2004)
  3. Wavelet Estimation of Integrated Volatility
    Computing in Economics and Finance 2003, Society for Computational Economics Downloads View citations (6)

2001

  1. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
    Working Papers, Brown University, Department of Economics Downloads View citations (31)
    See also Journal Article in Journal of Applied Econometrics (2005)

1998

  1. The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in FMG Discussion Papers, Financial Markets Group (1998) Downloads View citations (1)

    See also Journal Article in Journal of Empirical Finance (1999)
  2. Trades and Quotes: A Bivariate Point Process
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (11)
    See also Journal Article in Journal of Financial Econometrics (2003)

Journal Articles

2011

  1. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
    Journal of Econometrics, 2011, 162, (2), 149-169 Downloads View citations (96)
    See also Working Paper (2009)
  2. Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction
    Journal of Time Series Econometrics, 2011, 3, (1), 1-8 Downloads
  3. Subsampling realised kernels
    Journal of Econometrics, 2011, 160, (1), 204-219 Downloads View citations (21)
    See also Working Paper (2006)
  4. The Model Confidence Set
    Econometrica, 2011, 79, (2), 453-497 View citations (136)
    See also Working Paper (2010)

2009

  1. Intraday volatility responses to monetary policy events
    Financial Markets and Portfolio Management, 2009, 23, (4), 383-399 Downloads View citations (5)
  2. Realized kernels in practice: trades and quotes
    Econometrics Journal, 2009, 12, (3), C1-C32 Downloads View citations (110)

2008

  1. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
    Econometrica, 2008, 76, (6), 1481-1536 Downloads View citations (248)
    See also Working Paper (2006)
  2. Moving Average-Based Estimators of Integrated Variance
    Econometric Reviews, 2008, 27, (1-3), 79-111 Downloads View citations (45)
  3. The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements
    Financial Markets and Portfolio Management, 2008, 22, (1), 3-20 Downloads View citations (4)

2007

  1. Integrated Covariance Estimation using High-frequency Data in the Presence of Noise
    Journal of Financial Econometrics, 2007, 5, (1), 68-104 Downloads View citations (61)

2006

  1. Consistent ranking of volatility models
    Journal of Econometrics, 2006, 131, (1-2), 97-121 Downloads View citations (131)
  2. Realized Variance and Market Microstructure Noise
    Journal of Business & Economic Statistics, 2006, 24, 127-161 Downloads View citations (333)
  3. Rejoinder
    Journal of Business & Economic Statistics, 2006, 24, 208-218 Downloads

2005

  1. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
    Journal of Financial Econometrics, 2005, 3, (4), 525-554 Downloads View citations (90)
  2. A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
    Journal of Applied Econometrics, 2005, 20, (7), 873-889 Downloads View citations (285)
    See also Working Paper (2001)
  3. Completion time structures of stock price movements
    Annals of Finance, 2005, 1, (3), 293-326 Downloads View citations (6)

2004

  1. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
    Journal of Business & Economic Statistics, 2004, 22, 253-273 Downloads View citations (48)
    See also Working Paper (2003)

2003

  1. Choosing the Best Volatility Models: The Model Confidence Set Approach
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 839-861 Downloads View citations (60)
    See also Working Paper (2003)
  2. Trades and Quotes: A Bivariate Point Process
    Journal of Financial Econometrics, 2003, 1, (2), 159-188 View citations (36)
    See also Working Paper (1998)

2001

  1. The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
    Econometrics Journal, 2001, 4, (2), 10 View citations (31)

1999

  1. The hazards of mutual fund underperformance: A Cox regression analysis
    Journal of Empirical Finance, 1999, 6, (2), 121-152 Downloads View citations (25)
    See also Working Paper (1998)
 
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