Lunde, Asger

(as bibtex)

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Articles (15)

• Lunde, Asger, Brix, Anne Floor. Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative. AStA Advances in Statistical Analysis 2015. 99:433-465
• Veraart, Almut E.D., Shephard, Neil, Lunde, Asger, Barndorff-Nielsen, Ole E.. Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes. Scandinavian Journal of Statistics 2014. 41:693-724
• Voev, Valeri, Lunde, Asger, Hansen, Peter Reinhard. REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY. Journal of Applied Econometrics 2014. 29:774-799
• Bollerslev, Tim, Christensen, Bent Jesper, Haldrup, Niels, Lunde, Asger. Periodicity, non-stationarity, and forecasting of economic and financial time series: Editors' introduction. Journal of Time Series Econometrics 2011. 3:NA-NA
• Nason, James M., Lunde, Asger, Hansen, Peter R.. The Model Confidence Set. Econometrica 2011. 79:453-497
• Shephard, Neil, Lunde, Asger, Hansen, Peter Reinhard, Barndorff-Nielsen, Ole E.. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise. Econometrica 2008. 76:1481-1536
• Hansen, Peter R., Large, Jeremy, Lunde, Asger. Moving average-based estimators of integrated variance. Econometric Reviews 2008. 27:79-111
• Hansen, Peter Reinhard, Lunde, Asger. Consistent ranking of volatility models. Journal of Econometrics 2006. 131:97-121
• Hansen, Peter R., Lunde, Asger. Realized variance and market microstructure noise. Journal of Business & Economic Statistics 2006. 24:127-161
• Hansen , Peter R., Lunde, Asger. A forecast comparison of volatility models: Does anything beat a GARCH(1,1)?. Journal of Applied Econometrics 2005. 20:873-889
• Lunde, Asger, Timmermann, Allan. Duration dependence in stock prices: An analysis of bull and bear markets. Journal of Business & Economic Statistics 2004. 22:253-273
• Engle, Robert F., Lunde, Asger. Trades and quotes: A bivariate point process. Journal of Financial Econometrics 2003. 1:159-188
• Hansen, Peter R., Lunde, Asger. Rejoinder. Canadian Journal of Statistics 2002. 30:226-234
• Jensen, Morten B., Lunde, Asger. The NIG-S & ARCH model: A fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model. Econometrics Journal, The 2001. 4:319-342
• Lunde, Asger, Jensen, Morten B.. The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model. The Econometrics Journal 2001. 4:319-342