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Information about:
Asger Lunde

Personal Details | Affiliation | Works
This is information that was supplied by Asger Lunde in registering through RePEc. If you are Asger Lunde , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Asger
Middle Name:
Last Name: Lunde
Suffix:

RePEc Short-ID: plu40

Email:
Homepage: http://mit.econ.au.dk/vip_htm/alunde/
Postal Address: Aarhus University School of Economics and Management Bartholins Allé 10 Building 1326, 117 8200 Aarhus C Denmark
Phone: +45 8942 5367

Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Citations, Discounted by Citation Age
  2. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  3. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  4. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  5. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  6. h, where author has written h papers that have each been cited at least h times.
  7. Wu-Index

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Neil Shephard & Ole E. Barndorff-Nielsen & Asger Lunde, 2006. "Subsampling realised kernels," Economics Series Working Papers 278, University of Oxford, Department of Economics. [Downloadable!]
    Other versions:

  2. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Papers 2006-W03, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
    Published as:

  3. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Model confidence sets for forecasting models," Working Paper 2005-07, Federal Reserve Bank of Atlanta. [Downloadable!]

  4. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Papers 2004-W28, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:

  5. Asger Lunde & Peter Reinhard Hansen, 2004. "Realized Variance and IID Market Microstructure Noise," Econometric Society 2004 North American Summer Meetings 526, Econometric Society. [Downloadable!]

  6. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics. [Downloadable!]
    Other versions:

  7. Asger Lunde & Esben Hoeg, 2003. "Wavelet Estimation of Integrated Volatility," Computing in Economics and Finance 2003 274, Society for Computational Economics. [Downloadable!]

  8. Peter Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers 2003-05, Brown University, Department of Economics. [Downloadable!]
    Other versions:
    Published as:

  9. Peter Hansen & Asger Lunde, 2003. "Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models," Working Papers 2003-01, Brown University, Department of Economics. [Downloadable!]

  10. Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics. [Downloadable!]
    Published as:

  11. Asger Lunde & Allan Timmermann, 2000. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Econometric Society World Congress 2000 Contributed Papers 1216, Econometric Society. [Downloadable!]
    Other versions:
    Published as:

  12. Robert F. Engle & Asger Lunde, 1998. "Trades and Quotes: A Bivariate Point Process," University of California at San Diego, Economics Working Paper Series 98-07, Department of Economics, UC San Diego. [Downloadable!]
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    Published as:

  13. Allan Timmermann & Asger Lunde, 1998. "The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis," FMG Discussion Papers dp302, Financial Markets Group. [Downloadable!] (restricted)
    Other versions:
    Published as:

Articles

  1. Peter Hansen & Jeremy Large & Asger Lunde, 2008. "Moving Average-Based Estimators of Integrated Variance," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 79-111. [Downloadable!] (restricted)

  2. Allan Zebedee & Eric Bentzen & Peter Hansen & Asger Lunde, 2008. "The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements," Financial Markets and Portfolio Management, Springer, vol. 22(1), pages 3-20, March. [Downloadable!] (restricted)

  3. Valeri Voev & Asger Lunde, 2007. "Integrated Covariance Estimation using High-frequency Data in the Presence of Noise," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 68-104. [Downloadable!] (restricted)

  4. Hansen, Peter R. & Lunde, Asger, 2006. "Rejoinder," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 208-218, April. [Downloadable!] (restricted)

  5. Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121. [Downloadable!] (restricted)

  6. Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April. [Downloadable!] (restricted)

  7. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889. [Downloadable!]
    Other versions:

  8. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, 08. [Downloadable!] (restricted)

  9. Peter Reinhard Hansen & Asger Lunde, 2005. "A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 525-554. [Downloadable!] (restricted)

  10. Lunde A. & Timmermann A., 2004. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 253-273, July. [Downloadable!] (restricted)
    Other versions:

  11. Robert F. Engle & Asger Lunde, 2003. "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Oxford University Press, vol. 1(2), pages 159-188.
    Other versions:

  12. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models: The Model Confidence Set Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 839-861, December. [Downloadable!] (restricted)
    Other versions:

  13. Morten B. Jensen & Asger Lunde, 2001. "The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 10.

  14. Lunde, Asger & Timmermann, Allan & Blake, David, 1999. "The hazards of mutual fund underperformance: A Cox regression analysis," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 121-152, April. [Downloadable!] (restricted)
    Other versions:

NEP Fields

18 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2004-02-29
  2. NEP-ECM: Econometrics (13) 2001-08-15 2003-04-13 2003-04-13 2003-05-15 2003-10-20 2004-10-30 2004-12-20 2005-05-23 2005-05-23 2006-06-10 2006-06-17 2006-08-26 2006-09-16 Author is listed
  3. NEP-ETS: Econometric Time Series (9) 2001-08-15 2003-04-27 2003-10-20 2003-11-30 2004-02-29 2004-12-20 2005-05-23 2006-09-16 2006-10-14 Author is listed
  4. NEP-FIN: Finance (8) 2001-08-15 2003-04-13 2003-04-27 2003-11-30 2004-02-29 2004-10-30 2005-05-23 2005-05-23 Author is listed
  5. NEP-FMK: Financial Markets (4) 2004-02-29 2006-06-10 2006-06-17 2006-08-26
  6. NEP-MST: Market Microstructure (5) 2006-06-17 2006-08-26 2006-09-16 2006-09-23 2006-10-14 Author is listed
  7. NEP-RMG: Risk Management (3) 2003-04-27 2003-11-30 2004-02-29
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This page was last updated on 2009-11-9.

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