← All authors Asger Lunde University of North Carolina at Chapel Hill (per OpenAlex) · ORCID · OpenAlex
42 papers in scope · 42 published · 1 on the econ.EM arXiv · 7,415 citations · h-index 25 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Peter Reinhard Hansen Ilya Archakov Chen Tong Tong Chen Xinxian Chen Yiyao Luo Zhuo Huang K. B. Gubbels Andre Lucas Alessandra Luati Rutger-Jan Lange Fred Espen Benth Thomas K. Kloster Kim Christensen Yuta Yamauchi Enzo D’Innocenzo Yasuhiro Omori Ramon de Punder Cornelis W. Oosterlee Jelmer Yeb Ypma 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 (1 of 42)
published 2025 · Journal of Econometrics · 12 citations · first circulated 2020
Exploiting News Analytics for Volatility Forecasting
published 2024 · Journal of Applied Econometrics · 5 citations · first circulated 2023
with Simon Tranberg Bodilsen
Inference and forecasting for continuous-time integer-valued trawl processes
published 2023 · Journal of Econometrics · 10 citations · first circulated 2021
Identifying Risk Factors and Their Premia: A Study on Electricity Prices
published 2022 · Journal of Financial Econometrics · 9 citations
with Wei Wei
Realizing correlations across asset classes
published 2022 · Journal of Financial Markets · 1 citations · first circulated 2018
with Niels S. Grønborg, Kasper V. Olesen, Harry Vander Elst, Niels Groenborg
Ex-post Analysis of the TeliaSonera-Chess 2005 Merger
published 2021 · De Economist · 1 citations
with Norbert Maier, Julie Runge Jørgensen, Otto Toivanen
Decoupling the Short-and Long-Term Behavior of Stochastic Volatility
published 2020 · Journal of Financial Econometrics · 87 citations · first circulated 2016
Including news data in forecasting macro economic performance of China
published 2020 · Computational Management Science · 10 citations · first circulated 2019
with Miha Torkar
News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*
published 2020 · Journal of Financial Econometrics · 33 citations
with Robert F. Engle, Martin Klint Hansen, Ahmet K. Karagozoglu
Picking funds with confidence
published 2020 · Journal of Financial Economics · 45 citations · first circulated 2017
Calculating the damage of a cartel subject to transition periods: The international uranium cartel in the 1970s
published 2019 · Energy Economics · 2 citations
Factor Structure in Commodity Futures Return and Volatility
published 2018 · Journal of Financial and Quantitative Analysis · 22 citations · first circulated 2014
with Peter Christoffersen, Kasper V. Olesen
A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method
published 2018 · Energy Economics · 26 citations · first circulated 2013
with Anne Floor Brix, Wei Wei
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
published 2016 · Journal of Econometrics · 32 citations · first circulated 2014
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice
published 2015 · Journal of Business and Economic Statistics · 79 citations
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
published 2015 · Journal of Financial Econometrics
Analyzing Oil Futures with a Dynamic Nelson‐Siegel Model
published 2015 · Journal of Futures Markets · 29 citations · first circulated 2013
with Niels S. Grønborg, Niels S. Hansen
Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative
published 2015 · AStA Advances in Statistical Analysis · 1 citations
with Anne Floor Brix
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
published 2014 · Journal of Applied Econometrics · 145 citations · first circulated 2010
Integer‐valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes
published 2014 · Scandinavian Journal of Statistics · 36 citations · first circulated 2013
In-and out-of-the-money convertible bond calls: Signaling or price pressure?
published 2013 · Journal of Corporate Finance · 8 citations
with Ken L. Bechmann, Allan A. Zebedee
ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
published 2013 · Econometric Theory · 43 citations · first circulated 2010
Estimating Stochastic Volatility Models using Prediction-based Estimating Functions
published 2013 · CREATES Research Papers · 10 citations
with Anne Floor Brix, Aarhus
no link
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction
published 2011 · Journal of Time Series Econometrics · 3 citations
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
published 2011 · Journal of Econometrics · 186 citations · first circulated 2010
Subsampling realised kernels
published 2010 · Journal of Econometrics · 98 citations · first circulated 2007
Realized kernels in practice: trades and quotes
published 2009 · Econometrics Journal · 677 citations · first circulated 2008
Intraday volatility responses to monetary policy events
published 2009 · Financial markets and portfolio management · 27 citations
with Allan A. Zebedee
Moving Average-Based Estimators of Integrated Variance
published 2008 · Econometric Reviews · 82 citations · first circulated 2006
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
published 2008 · Econometrica · 1289 citations
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements
published 2007 · Financial markets and portfolio management · 24 citations
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise
published 2006 · Journal of Financial Econometrics · 148 citations
with Valeri Voev
Realized Variance and Market Microstructure Noise
published 2006 · Journal of Business and Economic Statistics · 1224 citations · first circulated 2004
Rejoinder
published 2006 · Journal of Business and Economic Statistics · 2 citations
A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
published 2005 · Journal of Financial Econometrics · 306 citations
Completion time structures of stock price movements
published 2005 · Annals of Finance · 14 citations
A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
published 2005 · Journal of Applied Econometrics · 1755 citations · first circulated 2001
Consistent ranking of volatility models
published 2005 · Journal of Econometrics · 378 citations · first circulated 2003
Duration Dependence in Stock Prices
published 2004 · Journal of Business and Economic Statistics · 262 citations · first circulated 2003
Choosing the Best Volatility Models: The Model Confidence Set Approach*
published 2003 · Oxford Bulletin of Economics and Statistics · 49 citations
The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
published 2001 · Econometrics Journal · 123 citations
with Morten Berg Jensen
The hazards of mutual fund underperformance: A Cox regression analysis
published 1999 · Journal of Empirical Finance · 122 citations · first circulated 1998
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.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).