Details about Ilya Archakov

Access statistics for papers by Ilya Archakov.

Last updated 2024-07-23. Update your information in the RePEc Author Service.

Short-id: par639

Working Papers

2025

1. A Multivariate Realized GARCH Model
   Papers, arXiv.org View citations (5)

2024

2. Cluster GARCH
   Papers, arXiv.org

2022

3. A New Method for Generating Random Correlation Matrices
   Papers, arXiv.org
   See also Journal Article A new method for generating random correlation matrices, The Econometrics Journal, Royal Economic Society (2024) View citations (1) (2024)

2021

4. A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices
   Papers, arXiv.org View citations (1)

2020

5. A New Parametrization of Correlation Matrices
   Papers, arXiv.org View citations (3)
   See also Journal Article A New Parametrization of Correlation Matrices, Econometrica, Econometric Society (2021) View citations (12) (2021)

2015

6. A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)

Journal Articles

2024

1. A new method for generating random correlation matrices
   The Econometrics Journal, 2024, 27, (2), 188-212 View citations (1)
   See also Working Paper A New Method for Generating Random Correlation Matrices, Papers (2022) (2022)

2022

2. Local mispricing and microstructural noise: A parametric perspective
   Journal of Econometrics, 2022, 230, (2), 510-534 View citations (3)

2021

3. A Descriptive Study of High-Frequency Trade and Quote Option Data*
   (Stealth Trading in Options Markets)
   Journal of Financial Econometrics, 2021, 19, (1), 128-177 View citations (6)
4. A New Parametrization of Correlation Matrices
   Econometrica, 2021, 89, (4), 1699-1715 View citations (12)
   See also Working Paper A New Parametrization of Correlation Matrices, Papers (2020) View citations (3) (2020)