Details about Valeri Voev

Access statistics for papers by Valeri Voev.

Last updated 2016-01-07. Update your information in the RePEc Author Service.

Short-id: pvo59

Working Papers

2012

1. Forecasting Covariance Matrices: A Mixed Frequency Approach
   Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz View citations (4)
   Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2011) View citations (11)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (11)
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 View citations (3)
   Also in Economics Working Papers, European University Institute (2012) View citations (4)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (16)

2011

3. Forecasting multivariate volatility using the VARFIMA model on realized covariance cholesky factors
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
   Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) View citations (2)
   See also Journal Article Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors, Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter (2011) View citations (6) (2011)

2010

4. The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
   See also Journal Article The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts, Journal of Empirical Finance, Elsevier (2013) View citations (18) (2013)

2009

5. Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (7) (2011)
6. On the Economic Evaluation of Volatility Forecasts
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (16)

2008

7. Estimating High-Frequency Based (Co-) Variances: A Unified Approach
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
   Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2007) View citations (3)
8. Modelling and Forecasting Multivariate Realized Volatility
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
   Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2008) View citations (3)
   See also Journal Article Modelling and forecasting multivariate realized volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (179) (2011)

2007

9. Dynamic modeling of large dimensional covariance matrices
   CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)
10. Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)

2006

11. A trade-by-trade surprise measure and its relation to observed spreads on the NYSE
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)

Journal Articles

2016

1. Forecasting Covariance Matrices: A Mixed Approach
   Journal of Financial Econometrics, 2016, 14, (2), 383-417 View citations (5)

2014

2. REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
   Journal of Applied Econometrics, 2014, 29, (5), 774-799 View citations (74)

2013

3. The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts
   Journal of Empirical Finance, 2013, 20, (C), 83-95 View citations (18)
   See also Working Paper The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts, CREATES Research Papers (2010) View citations (7) (2010)

2011

4. Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
   Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2011, 231, (1), 134-152 View citations (6)
   See also Working Paper Forecasting multivariate volatility using the VARFIMA model on realized covariance cholesky factors, ULB Institutional Repository (2011) View citations (6) (2011)
5. Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise
   Journal of Business & Economic Statistics, 2011, 30, (1), 94-108 View citations (7)
   See also Working Paper Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise, CREATES Research Papers (2009) View citations (1) (2009)
6. Modelling and forecasting multivariate realized volatility
   Journal of Applied Econometrics, 2011, 26, (6), 922-947 View citations (179)
   See also Working Paper Modelling and Forecasting Multivariate Realized Volatility, CREATES Research Papers (2008) View citations (2) (2008)
7. Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach
   Journal of Financial Econometrics, 2011, 9, (4), 685-716 View citations (4)

2007

8. Integrated Covariance Estimation using High-frequency Data in the Presence of Noise
   Journal of Financial Econometrics, 2007, 5, (1), 68-104 View citations (75)