Asger Lunde

Available identifiers

zbMath Open lunde.asgerMaRDI QIDQ292006

List of research outcomes

Publication	Date of Publication	Type
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice	2025-01-20	Paper
Inference and forecasting for continuous-time integer-valued trawl processes	2023-09-28	Paper
Including news data in forecasting macro economic performance of China	2021-06-17	Paper
The local fractional bootstrap	2019-03-21	Paper
Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative	2018-11-12	Paper
Hybrid scheme for Brownian semistationary processes	2017-10-23	Paper
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data	2017-01-16	Paper
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity	2017-01-13	Paper
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading	2016-08-12	Paper
Subsampling realised kernels	2016-08-10	Paper
Consistent ranking of volatility models	2016-06-10	Paper
Integer-valued trawl processes: a class of stationary infinitely divisible processes	2014-10-09	Paper
ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR	2014-06-20	Paper
Completion time structures of stock price movements	2012-03-05	Paper
The Model Confidence Set	2011-04-27	Paper
The Model Confidence Set	2011-01-01	Paper
Realized kernels in practise : trades and quotes	2009-12-22	Paper
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise	2008-12-15	Paper
Moving Average-Based Estimators of Integrated Variance	2008-11-19	Paper
The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model	2002-10-31	Paper

Research outcomes over time

This page was built for person: Asger Lunde