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Details about Peter Malec

E-mail:
Homepage:http://sites.google.com/site/peterjacekmalec/
Workplace:Faculty of Economics, University of Cambridge, (more information at EDIRC)

Access statistics for papers by Peter Malec.

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

Short-id: pma1363


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Working Papers

2016

  1. A Semiparametric Intraday GARCH Model
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads

2014

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

2013

  1. Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)
    See also Journal Article in Journal of Applied Econometrics (2015)
  2. Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (22)

2012

  1. Nonparametric Kernel Density Estimation Near the Boundary
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2014)

2011

  1. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (12)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) Downloads View citations (2)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads View citations (1)

    See also Journal Article in Journal of Financial Econometrics (2013)
  2. The Merit of High-Frequency Data in Portfolio Allocation
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (16)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2011) Downloads View citations (18)

Journal Articles

2015

  1. Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?
    Journal of Applied Econometrics, 2015, 30, (2), 263-290 Downloads View citations (17)
    See also Working Paper (2013)

2014

  1. Nonparametric kernel density estimation near the boundary
    Computational Statistics & Data Analysis, 2014, 72, (C), 57-76 Downloads View citations (7)
    See also Working Paper (2012)

2013

  1. Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
    Journal of Financial Econometrics, 2013, 12, (1), 89-121 Downloads View citations (12)
    See also Working Paper (2011)
 
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