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Aleksey Kolokolov

New Economic School (from arXiv:2602.01817, 2026) · ORCID · OpenAlex

11 papers in scope · 10 published · 2 on the econ.EM arXiv · 198 citations · h-index 6 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Jia Li
  2. Mark Podolskij
  3. Kim Christensen
  4. Mikkel Slot Nielsen
  5. Alexei Kolokolov
  6. Federico A. Bugni
  7. Raffaele Saggio
  8. Mikkel S olvsten
  9. Patrick Kline
  10. Mikkel Sølvsten
  11. Deborah Kim
  12. Yuta Kurose
  13. Giuseppe Storti
  14. Lingxiang Zhang
  15. Qianli Zhao
  16. Ivan A. Canay
  17. Shifan Yu
  18. Fred Espen Benth
  19. Thomas K. Kloster
  20. Chen Zhang

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(3 of 11)

Realized Regularized Regressions
working paper2026 · arXiv
with Shifan Yu
Paper profile arXiv arXiv:2604.23023
Drift Bursts in Pure Jumps: Detection and Application to Bitcoin
published2025 · Journal of Business and Economic Statistics
Journal of Business and Economic Statistics
Do designated market makers provide liquidity during downward extreme price movements?
published2025 · Journal of Financial Markets · 7 citations · first circulated 2024
with Mario Bellia, Kim Christensen, Loriana Pelizzon, Roberto Renò
Paper profile Journal of Financial Markets arXiv:2602.01817
BUMVU estimators
published2025 · Journal of Econometrics · 3 citations · first circulated 2023
with Roberto Renò, Patrick Zoi
Journal of Econometrics
An unbounded intensity model for point processes
published2024 · Journal of Econometrics · 4 citations · first circulated 2023
with Kim Christensen, Alexei Kolokolov
Paper profile Journal of Econometrics arXiv:2408.06519
Jumps or Staleness?
published2023 · Journal of Business and Economic Statistics · 18 citations · first circulated 2021
with Roberto Renò
Journal of Business and Economic Statistics
Estimating Jump Activity Using Multipower Variation
published2020 · Journal of Business and Economic Statistics · 11 citations · first circulated 2018
Journal of Business and Economic Statistics
Zeros
published2020 · Management Science · 47 citations · first circulated 2019
with Federico M. Bandi, Davide Pirino, Roberto Renò
Management Science
Statistical inferences for price staleness
published2020 · Journal of Econometrics · 23 citations · first circulated 2018
with Giulia Livieri, Davide Pirino
Journal of Econometrics
Systemic co-jumps
published2017 · Journal of Financial Economics · 81 citations · first circulated 2016
with Massimiliano Caporin, Roberto Renò, Roberto Renn, Alexey Kolokolov
Journal of Financial Economics
Efficient Multipowers*
published2017 · Journal of Financial Econometrics · 4 citations · first circulated 2016
with Roberto Renò, Roberto Renn
Journal of Financial Econometrics

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.