Details about Asger Lunde

Access statistics for papers by Asger Lunde.

Last updated 2013-05-26. Update your information in the RePEc Author Service.

Short-id: plu40

Working Papers

2012

1. And Now, The Rest of the News: Volatility and Firm Specific News Arrival
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
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 (3)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (16)

2010

3. Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (18)
4. The Model Confidence Set
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
   See also Journal Article The Model Confidence Set, Econometrica, Econometric Society (2011) View citations (1053) (2011)

2009

5. Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (6)
   Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations (37)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (37)
   Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations (33)
   See also Journal Article Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading, Journal of Econometrics, Elsevier (2011) View citations (275) (2011)

2006

6. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
   OFRC Working Papers Series, Oxford Financial Research Centre View citations (48)
   Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2006) View citations (77)
   See also Journal Article Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise, Econometrica, Econometric Society (2008) View citations (729) (2008)
7. Subsampling realised kernels
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (5)
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2006) View citations (5)
   OFRC Working Papers Series, Oxford Financial Research Centre (2006) View citations (8)
   See also Journal Article Subsampling realised kernels, Journal of Econometrics, Elsevier (2011) View citations (39) (2011)

2005

8. Model confidence sets for forecasting models
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (22)
9. Testing the significance of calendar effects
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (18)

2004

10. Realized Variance and IID Market Microstructure Noise
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (33)
11. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (31)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (31)

2003

12. Choosing the Best Volatility Models:The Model Confidence Set Approach
    Working Papers, Brown University, Department of Economics View citations (121)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2003) View citations (120)
    See also Journal Article Choosing the Best Volatility Models: The Model Confidence Set Approach*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2003) View citations (122) (2003)
13. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (13)
    See also Journal Article Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets, Journal of Business & Economic Statistics, American Statistical Association (2004) View citations (130) (2004)
14. Wavelet Estimation of Integrated Volatility
    Computing in Economics and Finance 2003, Society for Computational Economics View citations (14)

2001

15. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
    Working Papers, Brown University, Department of Economics View citations (51)
    See also Journal Article A forecast comparison of volatility models: does anything beat a GARCH(1,1)?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (766) (2005)

1998

16. The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis
    FMG Discussion Papers, Financial Markets Group View citations (2)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1998) View citations (3)
    See also Journal Article The hazards of mutual fund underperformance: A Cox regression analysis, Journal of Empirical Finance, Elsevier (1999) View citations (35) (1999)
17. Trades and Quotes: A Bivariate Point Process
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (13)
    See also Journal Article Trades and Quotes: A Bivariate Point Process, Journal of Financial Econometrics, Oxford University Press (2003) View citations (53) (2003)

Journal Articles

2011

1. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
   Journal of Econometrics, 2011, 162, (2), 149-169 View citations (275)
   See also Working Paper Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading, Global COE Hi-Stat Discussion Paper Series (2009) View citations (6) (2009)
2. Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction
   Journal of Time Series Econometrics, 2011, 3, (1), 8
3. Subsampling realised kernels
   Journal of Econometrics, 2011, 160, (1), 204-219 View citations (39)
   See also Working Paper Subsampling realised kernels, Economics Papers (2006) View citations (5) (2006)
4. The Model Confidence Set
   Econometrica, 2011, 79, (2), 453-497 View citations (1053)
   See also Working Paper The Model Confidence Set, CREATES Research Papers (2010) View citations (5) (2010)

2009

5. Intraday volatility responses to monetary policy events
   Financial Markets and Portfolio Management, 2009, 23, (4), 383-399 View citations (11)
6. Realized kernels in practice: trades and quotes
   Econometrics Journal, 2009, 12, (3), C1-C32 View citations (341)

2008

7. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
   Econometrica, 2008, 76, (6), 1481-1536 View citations (729)
   See also Working Paper Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise, OFRC Working Papers Series (2006) View citations (48) (2006)
8. Moving Average-Based Estimators of Integrated Variance
   Econometric Reviews, 2008, 27, (1-3), 79-111 View citations (54)
9. The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements
   Financial Markets and Portfolio Management, 2008, 22, (1), 3-20 View citations (4)

2007

10. Integrated Covariance Estimation using High-frequency Data in the Presence of Noise
    Journal of Financial Econometrics, 2007, 5, (1), 68-104 View citations (74)

2006

11. Consistent ranking of volatility models
    Journal of Econometrics, 2006, 131, (1-2), 97-121 View citations (211)
12. Realized Variance and Market Microstructure Noise
    Journal of Business & Economic Statistics, 2006, 24, 127-161 View citations (657)
13. Rejoinder
    Journal of Business & Economic Statistics, 2006, 24, 208-218

2005

14. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
    Journal of Financial Econometrics, 2005, 3, (4), 525-554 View citations (185)
15. A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
    Journal of Applied Econometrics, 2005, 20, (7), 873-889 View citations (766)
    See also Working Paper A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?, Working Papers (2001) View citations (51) (2001)
16. Completion time structures of stock price movements
    Annals of Finance, 2005, 1, (3), 293-326 View citations (9)

2004

17. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
    Journal of Business & Economic Statistics, 2004, 22, 253-273 View citations (130)
    See also Working Paper Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets, CEPR Discussion Papers (2003) View citations (5) (2003)

2003

18. Choosing the Best Volatility Models: The Model Confidence Set Approach*
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 839-861 View citations (122)
    See also Working Paper Choosing the Best Volatility Models:The Model Confidence Set Approach, Working Papers (2003) View citations (121) (2003)
19. Trades and Quotes: A Bivariate Point Process
    Journal of Financial Econometrics, 2003, 1, (2), 159-188 View citations (53)
    See also Working Paper Trades and Quotes: A Bivariate Point Process, University of California at San Diego, Economics Working Paper Series (1998) View citations (13) (1998)

2001

20. The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
    Econometrics Journal, 2001, 4, (2), 10 View citations (73)

1999

21. The hazards of mutual fund underperformance: A Cox regression analysis
    Journal of Empirical Finance, 1999, 6, (2), 121-152 View citations (35)
    See also Working Paper The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis, FMG Discussion Papers (1998) View citations (2) (1998)