Ilya Archakov

Personal Details

First Name:	Ilya
Middle Name:
Last Name:	Archakov
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In ASCII letters:
RePEc Short-ID:	par639
	[This author has chosen not to make the email address public]
	https://homepage.univie.ac.at/ilya.archakov

Affiliation

Department of Economics
York University

Toronto, Canada
http://econ.laps.yorku.ca/
RePEc:edi:dyorkca (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2022. "A New Method for Generating Random Correlation Matrices," Papers 2210.08147, arXiv.org.
   • Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2024. "A new method for generating random correlation matrices," The Econometrics Journal, Royal Economic Society, vol. 27(2), pages 188-212.

   Cited by:

   1. Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.
      • Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2026. "Cluster GARCH," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 44(1), pages 148-161, January.
   2. Peter Reinhard Hansen, 2026. "Correlation Matrices in High Dimensions: Volume, Spectrum, and Extremes," Papers 2608.04162, arXiv.org, revised Oct 2026.
   3. Chen, Han & Fei, Yijie & Yu, Jun, 2025. "Multivariate stochastic volatility models based on generalized Fisher transformation," Journal of Econometrics, Elsevier, vol. 251(C).
      • Leona Han Chen & Yijie Fei & Jun Yu, 2024. "Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation," Working Papers 202419, University of Macau, Faculty of Business Administration.
   4. Peter Reinhard Hansen, 2026. "Bartlett Couplings of the Onion and Vine LKJ Samplers," Papers 2608.06116, arXiv.org, revised Aug 2026.
   5. Archakov, Ilya & Hansen, Peter Reinhard & Lunde, Asger, 2026. "A multivariate realized GARCH model," Journal of Econometrics, Elsevier, vol. 254(PA).
      • Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020. "A Multivariate Realized GARCH Model," Papers 2012.02708, arXiv.org, revised Feb 2025.
   6. Joe, Harry & Kurowicka, Dorota, 2026. "Random correlation matrices generated via partial correlation C-vines," Journal of Multivariate Analysis, Elsevier, vol. 211(C).
   7. Han Chen & Yijie Fei & Jun Yu, 2026. "Multivariate Stochastic Volatility Model with Block Correlations," Working Papers 202638, University of Macau, Faculty of Business Administration.
   8. Ilya Archakov & Peter Reinhard Hansen, 2026. "The Generalized Fisher Transformation: Finite-Sample Properties and Inference," Papers 2606.13864, arXiv.org.

2. Ilya Archakov & Peter Reinhard Hansen, 2020. "A New Parametrization of Correlation Matrices," Papers 2012.02395, arXiv.org.
   • Ilya Archakov & Peter Reinhard Hansen, 2021. "A New Parametrization of Correlation Matrices," Econometrica, Econometric Society, vol. 89(4), pages 1699-1715, July.

   Cited by:

   1. K. B. Gubbels & J. Y. Ypma & C. W. Oosterlee, 2023. "Principal Component Copulas for Capital Modelling and Systemic Risk," Papers 2312.13195, arXiv.org, revised Jul 2025.
   2. Jean-Claude Hessing & Rutger-Jan Lange & Daniel Ralph, 2022. "Solving penalised American options for jump diffusions using the POST algorithm," Tinbergen Institute Discussion Papers 22-007/IV, Tinbergen Institute.
   3. Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020. "A Multivariate Realized GARCH Model," Papers 2012.02708, arXiv.org, revised Feb 2025.
      • Archakov, Ilya & Hansen, Peter Reinhard & Lunde, Asger, 2026. "A multivariate realized GARCH model," Journal of Econometrics, Elsevier, vol. 254(PA).
   4. Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.
      • Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2026. "Cluster GARCH," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 44(1), pages 148-161, January.
   5. Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2022. "A New Method for Generating Random Correlation Matrices," Papers 2210.08147, arXiv.org.
      • Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2024. "A new method for generating random correlation matrices," The Econometrics Journal, Royal Economic Society, vol. 27(2), pages 188-212.
   6. Etienne Wijler & Andre Lucas, 2025. "An Impartial Look at Asset Correlation Stability and Market Structure," Tinbergen Institute Discussion Papers 25-051/III, Tinbergen Institute.
   7. Peter Reinhard Hansen, 2026. "Correlation Matrices in High Dimensions: Volume, Spectrum, and Extremes," Papers 2608.04162, arXiv.org, revised Oct 2026.
   8. Jiawen Luo & Shengjie Fu & Oguzhan Cepni & Rangan Gupta, 2025. "The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach," Working Papers 202501, University of Pretoria, Department of Economics.
   9. Chen, Han & Fei, Yijie & Yu, Jun, 2025. "Multivariate stochastic volatility models based on generalized Fisher transformation," Journal of Econometrics, Elsevier, vol. 251(C).
      • Leona Han Chen & Yijie Fei & Jun Yu, 2024. "Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation," Working Papers 202419, University of Macau, Faculty of Business Administration.
   10. D’Innocenzo, Enzo & Lucas, Andre, 2024. "Dynamic partial correlation models," Journal of Econometrics, Elsevier, vol. 241(2).
   11. Xinxian Chen & Peter Reinhard Hansen & Chen Tong, 2026. "Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity," Papers 2607.03669, arXiv.org.
   12. Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
       • Joshua C. C. Chan, 2024. "BVARs and stochastic volatility," Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 3, pages 43-67, Edward Elgar Publishing.
   13. Ilya Archakov, 2026. "A Robust Similarity Estimator," Papers 2601.12198, arXiv.org, revised Jul 2026.
   14. Koos B. Gubbels & Andre Lucas, 2026. "Spectral Dynamics and Regularization for High-Dimensional Copulas," Papers 2601.13281, arXiv.org.
   15. Hafner, Christian M. & Wang, Linqi, 2023. "A dynamic conditional score model for the log correlation matrix," Journal of Econometrics, Elsevier, vol. 237(2).
       • Hafner, Christian M. & Wang, Linqi, 2022. "A dynamic conditional score model for the log correlation matrix," LIDAM Reprints ISBA 2022012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
       • HAFNER Christian M., & WANG Linqi,, 2019. "A dynamic conditional score model for the log correlation matrix," LIDAM Discussion Papers CORE 2019031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
       • Hafner, Christian M. & Wang, Linqi, 2022. "A dynamic conditional score model for the log correlation matrix," LIDAM Reprints LFIN 2022006, Université catholique de Louvain, Louvain Finance (LFIN).
   16. Hugo Gobato Souto & Amir Moradi, 2026. "Enhancing financial risk management: a novel multivariate neural network approach for realized covariance matrix prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 12(1), pages 1-26, December.
   17. Ayed Alwadain & Rao Faizan Ali & Amgad Muneer, 2023. "Estimating Financial Fraud through Transaction-Level Features and Machine Learning," Mathematics, MDPI, vol. 11(5), pages 1-15, February.
   18. Joe, Harry & Kurowicka, Dorota, 2026. "Random correlation matrices generated via partial correlation C-vines," Journal of Multivariate Analysis, Elsevier, vol. 211(C).
   19. Stollenwerk, Michael, 2026. "Probability distributions for realized covariance measures," Journal of Econometrics, Elsevier, vol. 254(PA).
   20. Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2021. "Macroeconomic Forecasting and Variable Ordering in Multivariate Stochastic Volatility Models," Working Papers 21-21, Federal Reserve Bank of Philadelphia.
       • Arias, Jonas E. & Rubio-Ramírez, Juan F. & Shin, Minchul, 2023. "Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1054-1086.
   21. Lei, Bo & Lan, Wei & Fan, Xinyan, 2026. "Inferences on blockwise correlation matrix with unknown group structure," Computational Statistics & Data Analysis, Elsevier, vol. 222(C).
   22. Han Chen & Yijie Fei & Jun Yu, 2026. "Multivariate Stochastic Volatility Model with Block Correlations," Working Papers 202638, University of Macau, Faculty of Business Administration.
   23. Chen Tong & Peter Reinhard Hansen, 2025. "Dynamic Factor Correlation Model," Papers 2503.01080, arXiv.org.
   24. Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2026. "Are Fiscal Transfers Inflationary?," Working Papers 26-23, Federal Reserve Bank of Philadelphia.
   25. Chen Tong & Peter Reinhard Hansen, 2023. "Characterizing Correlation Matrices that Admit a Clustered Factor Representation," Papers 2308.05895, arXiv.org.
       • Tong, Chen & Hansen, Peter Reinhard, 2023. "Characterizing correlation matrices that admit a clustered factor representation," Economics Letters, Elsevier, vol. 233(C).
   26. Ilya Archakov & Peter Reinhard Hansen, 2020. "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," Papers 2012.02698, arXiv.org, revised Nov 2021.
       • Ilya Archakov & Peter Reinhard Hansen, 2024. "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," The Review of Economics and Statistics, MIT Press, vol. 106(4), pages 1099-1113, July.
   27. Dilip B. Madan & King Wang, 2022. "Two sided efficient frontiers at multiple time horizons," Annals of Finance, Springer, vol. 18(3), pages 327-353, September.
   28. Ilya Archakov & Peter Reinhard Hansen, 2026. "The Generalized Fisher Transformation: Finite-Sample Properties and Inference," Papers 2606.13864, arXiv.org.

3. Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020. "A Multivariate Realized GARCH Model," Papers 2012.02708, arXiv.org, revised Feb 2025.
   • Archakov, Ilya & Hansen, Peter Reinhard & Lunde, Asger, 2026. "A multivariate realized GARCH model," Journal of Econometrics, Elsevier, vol. 254(PA).

   Cited by:

   1. Didit B. Nugroho & Bambang Susanto & Faldy Tita & Takayuki Morimoto, 2026. "Real-time return extensions of realized GARCH models for improved risk management in asset markets," Journal of Asset Management, Palgrave Macmillan, vol. 27(2), pages 1-19, June.
   2. Jiawen Luo & Shengjie Fu & Oguzhan Cepni & Rangan Gupta, 2025. "The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach," Working Papers 202501, University of Pretoria, Department of Economics.
   3. De Nard, Gianluca & Engle, Robert F. & Ledoit, Olivier & Wolf, Michael, 2022. "Large dynamic covariance matrices: Enhancements based on intraday data," Journal of Banking & Finance, Elsevier, vol. 138(C).
      • Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf, 2020. "Large dynamic covariance matrices: enhancements based on intraday data," ECON - Working Papers 356, Department of Economics - University of Zurich, revised Jan 2022.
   4. Ilya Archakov, 2026. "A Robust Similarity Estimator," Papers 2601.12198, arXiv.org, revised Jul 2026.
   5. Emilija Dzuverovic & Matteo Barigozzi, 2023. "Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices," Papers 2305.08488, arXiv.org, revised Jul 2024.
   6. Hafner, Christian M. & Wang, Linqi, 2023. "A dynamic conditional score model for the log correlation matrix," Journal of Econometrics, Elsevier, vol. 237(2).
      • Hafner, Christian M. & Wang, Linqi, 2022. "A dynamic conditional score model for the log correlation matrix," LIDAM Reprints ISBA 2022012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
      • HAFNER Christian M., & WANG Linqi,, 2019. "A dynamic conditional score model for the log correlation matrix," LIDAM Discussion Papers CORE 2019031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
      • Hafner, Christian M. & Wang, Linqi, 2022. "A dynamic conditional score model for the log correlation matrix," LIDAM Reprints LFIN 2022006, Université catholique de Louvain, Louvain Finance (LFIN).
   7. Laura Capera Romero & Anne Opschoor, 2025. "Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment," Tinbergen Institute Discussion Papers 25-041/III, Tinbergen Institute.
   8. Han Chen & Yijie Fei & Jun Yu, 2026. "Multivariate Stochastic Volatility Model with Block Correlations," Working Papers 202638, University of Macau, Faculty of Business Administration.
   9. Chen Tong & Peter Reinhard Hansen, 2025. "Dynamic Factor Correlation Model," Papers 2503.01080, arXiv.org.
   10. Ilya Archakov & Peter Reinhard Hansen, 2021. "A New Parametrization of Correlation Matrices," Econometrica, Econometric Society, vol. 89(4), pages 1699-1715, July.
       • Ilya Archakov & Peter Reinhard Hansen, 2020. "A New Parametrization of Correlation Matrices," Papers 2012.02395, arXiv.org.
   11. Tong, Chen & Hansen, Peter Reinhard, 2023. "Characterizing correlation matrices that admit a clustered factor representation," Economics Letters, Elsevier, vol. 233(C).
       • Chen Tong & Peter Reinhard Hansen, 2023. "Characterizing Correlation Matrices that Admit a Clustered Factor Representation," Papers 2308.05895, arXiv.org.

4. Ilya Archakov & Peter Reinhard Hansen, 2020. "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," Papers 2012.02698, arXiv.org, revised Nov 2021.
   • Ilya Archakov & Peter Reinhard Hansen, 2024. "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," The Review of Economics and Statistics, MIT Press, vol. 106(4), pages 1099-1113, July.

   Cited by:

   1. Hansen, Peter Reinhard & Tong, Chen, 2026. "Convolution-t distributions," Journal of Econometrics, Elsevier, vol. 254(PB).
      • Peter Reinhard Hansen & Chen Tong, 2024. "Convolution-t Distributions," Papers 2404.00864, arXiv.org.
   2. Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020. "A Multivariate Realized GARCH Model," Papers 2012.02708, arXiv.org, revised Feb 2025.
      • Archakov, Ilya & Hansen, Peter Reinhard & Lunde, Asger, 2026. "A multivariate realized GARCH model," Journal of Econometrics, Elsevier, vol. 254(PA).
   3. Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.
      • Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2026. "Cluster GARCH," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 44(1), pages 148-161, January.
   4. Chen, Han & Fei, Yijie & Yu, Jun, 2025. "Multivariate stochastic volatility models based on generalized Fisher transformation," Journal of Econometrics, Elsevier, vol. 251(C).
      • Leona Han Chen & Yijie Fei & Jun Yu, 2024. "Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation," Working Papers 202419, University of Macau, Faculty of Business Administration.
   5. Xinxian Chen & Peter Reinhard Hansen & Chen Tong, 2026. "Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity," Papers 2607.03669, arXiv.org.
   6. Ilya Archakov, 2026. "A Robust Similarity Estimator," Papers 2601.12198, arXiv.org, revised Jul 2026.
   7. Lei, Bo & Lan, Wei & Fan, Xinyan, 2026. "Inferences on blockwise correlation matrix with unknown group structure," Computational Statistics & Data Analysis, Elsevier, vol. 222(C).
   8. Han Chen & Yijie Fei & Jun Yu, 2026. "Multivariate Stochastic Volatility Model with Block Correlations," Working Papers 202638, University of Macau, Faculty of Business Administration.
   9. Chen Tong & Peter Reinhard Hansen, 2025. "Dynamic Factor Correlation Model," Papers 2503.01080, arXiv.org.
   10. Wu, Yongqiang & Zhang, Jun & Lan, Wei, 2025. "Structured covariance matrix estimation under volatility constraint," Finance Research Letters, Elsevier, vol. 85(PD).
   11. Wu, Jiaqi & Zhang, Weiping, 2026. "Learning block structures in covariance matrices under heteroskedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 220(C).
   12. Neville Francis & Peter Reinhard Hansen & Chen Tong, 2025. "Principled Identification of Structural Dynamic Models," Papers 2512.17005, arXiv.org, revised Apr 2026.
       • Neville Francis & Peter Reinhard Hansen & Chen Tong, 2026. "Principled Identification of Structural Dynamic Models," NBER Working Papers 34623, National Bureau of Economic Research, Inc.

5. Peter Reinhard Hansen & Guillaume Horel & Asger Lunde & Ilya Archakov, 2015. "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data," CREATES Research Papers 2015-19, Department of Economics and Business Economics, Aarhus University.
   • Peter Reinhard Hansen & Guillaume Horel & Asger Lunde & Ilya Archakov, 2016. "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data," Springer Books, in: Mark Podolskij & Robert Stelzer & Steen Thorbjørnsen & Almut E. D. Veraart (ed.), The Fascination of Probability, Statistics and their Applications, pages 361-394, Springer.

   Cited by:

   1. Siem Jan Koopman & Rutger Lit & Andre Lucas, 2015. "Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model," Tinbergen Institute Discussion Papers 15-076/IV/DSF94, Tinbergen Institute.
      • Siem Jan Koopman & Rutger Lit & André Lucas, 2017. "Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(520), pages 1490-1503, October.
   2. Ilya Archakov, 2026. "A Robust Similarity Estimator," Papers 2601.12198, arXiv.org, revised Jul 2026.
   3. Bian, Siyu & Serra, Teresa & Garcia, Philip & Irwin, Scott, 2022. "New evidence on market response to public announcements in the presence of microstructure noise," European Journal of Operational Research, Elsevier, vol. 298(2), pages 785-800.

Articles

1. Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2024. "A new method for generating random correlation matrices," The Econometrics Journal, Royal Economic Society, vol. 27(2), pages 188-212.
   • Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2022. "A New Method for Generating Random Correlation Matrices," Papers 2210.08147, arXiv.org.
   See citations under working paper version above.
2. Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2022. "Local mispricing and microstructural noise: A parametric perspective," Journal of Econometrics, Elsevier, vol. 230(2), pages 510-534.

   Cited by:

   1. Choi, Youngmin & Lee, Suzanne S., 2025. "On the efficiency contributions of analyst recommendations to financial markets," Journal of Financial Markets, Elsevier, vol. 75(C).
   2. Li, Z. Merrick & Yang, Xiye, 2026. "Multi-horizon test for market frictions," Journal of Econometrics, Elsevier, vol. 253(C).
   3. Gustavo Fruet Dias & Karsten Schweiker, 2024. "Integrated Variance Estimation for Assets Traded in Multiple Venues," University of East Anglia School of Economics Working Paper Series 2024-04, School of Economics, University of East Anglia, Norwich, UK..
   4. Flora, Maria & Renò, Roberto, 2025. "V-shapes," Journal of Banking & Finance, Elsevier, vol. 179(C).
   5. Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024. "Jump detection in high-frequency order prices," Papers 2403.00819, arXiv.org, revised Aug 2025.
      • Bibinger, Markus & Hautsch, Nikolaus & Ristig, Alexander, 2026. "Jump detection in high-frequency order prices," Journal of Econometrics, Elsevier, vol. 253(C).
   6. Dias, Gustavo Fruet & Schweikert, Karsten, 2026. "Integrated variance estimation for assets traded in multiple venues," Journal of Econometrics, Elsevier, vol. 255(C).
   7. Queiroz, R.G.S. & Kristoufek, L. & David, S.A., 2024. "A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 652(C).
   8. Laurent, Sébastien & Renò, Roberto & Shi, Shuping, 2026. "Realized drift," Journal of Econometrics, Elsevier, vol. 254(PA).
      • Sébastien Laurent & Roberto Renò & Shuping Shi, 2026. "Realized drift," Post-Print hal-05443560, HAL.

3. Torben Andersen & Ilya Archakov & Leon Grund & Nikolaus Hautsch & Yifan Li & Sergey Nasekin & Ingmar Nolte & Manh Cuong Pham & Stephen Taylor & Viktor Todorov, 2021. "A Descriptive Study of High-Frequency Trade and Quote Option Data [Stealth Trading in Options Markets]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 128-177.

   Cited by:

   1. Fengler, Matthias & Koeniger, Winfried & Minger, Stephan, 2025. "The Transmission of Monetary Policy to the Cost of Hedging," Economics Working Paper Series 2501, University of St. Gallen, School of Economics and Political Science.
      • Fengler, Matthias & Koeniger, Winfried & Minger, Stephan, 2024. "The transmission of monetary policy to the cost of hedging," CFS Working Paper Series 726, Center for Financial Studies (CFS).
      • Matthias R. Fengler & Winfried Koeniger & Stephan Minger, 2025. "The Transmission of Monetary Policy to the Cost of Hedging," Swiss Finance Institute Research Paper Series 25-03, Swiss Finance Institute.
      • Matthias Fengler & Winfried Koeniger & Stephan Minger, 2024. "The Transmission of Monetary Policy to the Cost of Hedging," CESifo Working Paper Series 11556, CESifo.
   2. Li, Yifan & Nolte, Ingmar & Pham, Manh Cuong, 2024. "Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures," Journal of Econometrics, Elsevier, vol. 241(2).
   3. Amir Ahmad Dar & Mohammad Shahfaraz Khan & Imran Azad & Amit Kumar Pathak & Gopu Jayaraman, 2024. "Literature review: options and its applications," SN Business & Economics, Springer, vol. 4(8), pages 1-26, August.
   4. Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2023. "Stock illiquidity and option returns," Journal of Financial Markets, Elsevier, vol. 63(C).
   5. Alexiou, Lykourgos & Bevilacqua, Mattia & Hizmeri, Rodrigo, 2026. "Uncovering the asymmetric information content of high-frequency options," Journal of Banking & Finance, Elsevier, vol. 188(C).

4. Ilya Archakov & Peter Reinhard Hansen, 2021. "A New Parametrization of Correlation Matrices," Econometrica, Econometric Society, vol. 89(4), pages 1699-1715, July.
   • Ilya Archakov & Peter Reinhard Hansen, 2020. "A New Parametrization of Correlation Matrices," Papers 2012.02395, arXiv.org.
   See citations under working paper version above.

More information

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Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-ECM: Econometrics (5) 2015-05-09 2020-12-21 2020-12-21 2022-11-21 2024-07-22. Author is listed
2. NEP-ETS: Econometric Time Series (3) 2015-05-09 2020-12-21 2024-07-22
3. NEP-RMG: Risk Management (2) 2015-05-09 2024-07-22
4. NEP-MST: Market Microstructure (1) 2015-05-09
5. NEP-ORE: Operations Research (1) 2015-05-09

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