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Details about Valeri Voev

E-mail:
Homepage:http://www.econ.au.dk/research/research-centres/creates/people/research-fellows/valeri-voev/
Workplace:Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)
Institut for Økonomi (Department of Economics and Business Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)

Access statistics for papers by Valeri Voev.

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

Short-id: pvo59


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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 Downloads View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (11)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2011) Downloads 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 Downloads View citations (3)
    Also in Economics Working Papers, European University Institute (2012) Downloads View citations (4)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (16)

2011

  1. 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) Downloads 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) Downloads View citations (6) (2011)

2010

  1. 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 Downloads 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) Downloads View citations (18) (2013)

2009

  1. 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 Downloads 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) Downloads View citations (7) (2011)
  2. On the Economic Evaluation of Volatility Forecasts
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (16)

2008

  1. Estimating High-Frequency Based (Co-) Variances: A Unified Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (9)
    Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2007) Downloads View citations (3)
  2. Modelling and Forecasting Multivariate Realized Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2008) Downloads View citations (3)

    See also Journal Article Modelling and forecasting multivariate realized volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (178) (2011)

2007

  1. Dynamic modeling of large dimensional covariance matrices
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads
  2. 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) Downloads

2006

  1. 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) Downloads

Journal Articles

2016

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

2014

  1. REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
    Journal of Applied Econometrics, 2014, 29, (5), 774-799 Downloads View citations (73)

2013

  1. 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 Downloads 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) Downloads View citations (7) (2010)

2011

  1. 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 Downloads 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)
  2. Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise
    Journal of Business & Economic Statistics, 2011, 30, (1), 94-108 Downloads 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) Downloads View citations (1) (2009)
  3. Modelling and forecasting multivariate realized volatility
    Journal of Applied Econometrics, 2011, 26, (6), 922-947 View citations (178)
    See also Working Paper Modelling and Forecasting Multivariate Realized Volatility, CREATES Research Papers (2008) Downloads View citations (2) (2008)
  4. Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach
    Journal of Financial Econometrics, 2011, 9, (4), 685-716 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 (75)
 
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