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Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
Boudt, Kris; Laurent, Sébastien; Lunde, Asger; … - 2014
Persistent link: https://www.econbiz.de/10010250616
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Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2016
Persistent link: https://www.econbiz.de/10011447834
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Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2015
Persistent link: https://www.econbiz.de/10011517000
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Estimating the persistence and the autocorrelation function of a time series that this measured with error
Hansen, Peter Reinhard; Lunde, Asger - 2010
Persistent link: https://www.econbiz.de/10003934448
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Estimating stochastic volatility models using predictionbased estimating functions
Lunde, Asger; Floor Brix, Anne - 2013
Persistent link: https://www.econbiz.de/10009763883
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Analyzing oil futures with a dynamic Nelson-Siegel Model
Hansen, Niels S.; Lunde, Asger - 2013
Persistent link: https://www.econbiz.de/10010195637
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And now, the rest of the news : volatility and firm specific news arrival
Engle, Robert F.; Hansen, Martin Klint; Lunde, Asger - 2012
Persistent link: https://www.econbiz.de/10009785771
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Modeling and forecasting the volatility of energy forward returns : evidence from the Nordic power exchange
Lunde, Asger; Olesen, Kasper V. - 2013
Persistent link: https://www.econbiz.de/10009751838
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Discretization of Lévy semistationary processes with application to estimation
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - 2014
Persistent link: https://www.econbiz.de/10010388017
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Factor structure in commodity futures return and volatility
Christoffersen, Peter F.; Lunde, Asger; Olesen, Kasper V. - 2014
Persistent link: https://www.econbiz.de/10010406918