Asger Lunde
Asger Lunde
Partner, Copenhagen Economics
Verifierad e-postadress på copenhageneconomics.com
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A forecast comparison of volatility models: does anything beat a GARCH (1, 1)?
PR Hansen, A Lunde
Journal of applied econometrics 20 (7), 873-889, 2005
20712005
Designing realized kernels to measure the ex post variation of equity prices in the presence of noise
OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard
Econometrica 76 (6), 1481-1536, 2008
14022008
The model confidence set
PR Hansen, A Lunde, JM Nason
Econometrica 79 (2), 453-497, 2011
13962011
Realized variance and market microstructure noise
PR Hansen, A Lunde
Journal of Business & Economic Statistics 24 (2), 127-161, 2006
13882006
Realized kernels in practice: Trades and quotes
OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard
The Econometrics Journal 12 (3), C1-C32, 2009
6722009
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard
Journal of Econometrics 162 (2), 149-169, 2011
6592011
Consistent ranking of volatility models
PR Hansen, A Lunde
Journal of Econometrics 131 (1-2), 97-121, 2006
4162006
A realized variance for the whole day based on intermittent high-frequency data
PR Hansen, A Lunde
Journal of Financial Econometrics 3 (4), 525-554, 2005
3352005
Duration dependence in stock prices: An analysis of bull and bear markets
A Lunde, A Timmermann
Journal of Business & Economic Statistics 22 (3), 253-273, 2004
3152004
Integrated covariance estimation using high-frequency data in the presence of noise
V Voev, A Lunde
Journal of Financial Econometrics 5 (1), 68-104, 2007
2052007
Choosing the best volatility models: the model confidence set approach
PR Hansen, A Lunde, JM Nason
Oxford Bulletin of Economics and Statistics 65, 839-861, 2003
2002003
Trades and quotes: a bivariate point process
RF Engle, A Lunde
Journal of Financial Econometrics 1 (2), 159-188, 2003
1802003
The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
MB Jensen, A Lunde
The Econometrics Journal 4 (2), 319-342, 2001
1492001
Subsampling realised kernels
OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard
Journal of Econometrics 160 (1), 204-219, 2011
1462011
Oxford-Man Institute’s realized library, version 0.1
G Heber, A Lunde, N Shephard, K Sheppard
Oxford-Man Institute, University of Oxford, 2009
1432009
Testing the significance of calendar effects
PR Hansen, A Lunde, JM Nason
Federal Reserve Bank of Atlanta Working Paper, 2005
1322005
Regular and modified kernel-based estimators of integrated variance: The case with independent noise
OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard
University of Oslo, 2004
1202004
The hazards of mutual fund underperformance: A Cox regression analysis
A Lunde, A Timmermann, D Blake
Journal of Empirical Finance 6 (2), 121-152, 1999
1191999
The hazards of mutual fund underperformance: A Cox regression analysis
A Lunde, A Timmermann, D Blake
Journal of Empirical Finance 6 (2), 121-152, 1999
1191999
Realized beta GARCH: A multivariate GARCH model with realized measures of volatility
PR Hansen, A Lunde, V Voev
Journal of Applied Econometrics 29 (5), 774-799, 2014
1112014
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Artiklar 1–20