Details about Peter Malec

Access statistics for papers by Peter Malec.

Last updated 2016-10-04. Update your information in the RePEc Author Service.

Short-id: pma1363

Working Papers

2016

1. A Semiparametric Intraday GARCH Model
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)

2014

2. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (5)
3. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
   Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (2)

2013

4. Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (5)
   See also Journal Article Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (36) (2015)
5. Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (32)

2012

6. Nonparametric Kernel Density Estimation Near the Boundary
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
   See also Journal Article Nonparametric kernel density estimation near the boundary, Computational Statistics & Data Analysis, Elsevier (2014) View citations (19) (2014)

2011

7. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (17)
   Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010) View citations (7)
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) View citations (3)
   See also Journal Article Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes, Journal of Financial Econometrics, Oxford University Press (2013) View citations (18) (2013)
8. The Merit of High-Frequency Data in Portfolio Allocation
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (19)
   Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2011) View citations (22)

Journal Articles

2015

1. Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?
   Journal of Applied Econometrics, 2015, 30, (2), 263-290 View citations (36)
   See also Working Paper Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?, SFB 649 Discussion Papers (2013) View citations (5) (2013)

2014

2. Nonparametric kernel density estimation near the boundary
   Computational Statistics & Data Analysis, 2014, 72, (C), 57-76 View citations (19)
   See also Working Paper Nonparametric Kernel Density Estimation Near the Boundary, SFB 649 Discussion Papers (2012) View citations (2) (2012)

2013

3. Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
   Journal of Financial Econometrics, 2013, 12, (1), 89-121 View citations (18)
   See also Working Paper Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes, CFS Working Paper Series (2011) View citations (17) (2011)