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Martin Thyrsgaard

University of Oxford (from arXiv:1705.09952, 2017) · OpenAlex

6 papers in scope · 5 published · 1 on the econ.EM arXiv · 154 citations · h-index 5 (over the papers listed here)

Related authors

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

  1. Bezirgen Veliyev
  2. David Preinerstorfer
  3. Anders Kock
  4. Keisuke Hirano
  5. Shosei Sakaguchi
  6. Jack R. Porter
  7. Benedikt M. Pötscher
  8. Takuya Ura
  9. Undral Byambadalai
  10. Sukjin Han
  11. Yuya Sasaki
  12. Tiefeng Jiang
  13. Wei Xiong
  14. Binghui Liu
  15. Long Feng
  16. Yuta Koike
  17. Victor Chernozhukov
  18. Toru Kitagawa
  19. Jeff Rowley
  20. Kengo Kato

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 6)

Intraday cross-sectional distributions of systematic risk
published2022 · Journal of Econometrics · 14 citations
with Torben G. Andersen, Raul Riva, Viktor Todorov
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk
published2021 · Quantitative Economics · 42 citations
Predicting Bond Return Predictability
published2020 · Management Science · 20 citations
with Daniel Borup, Jonas N. Eriksen, Mads Markvart Kjær, Daniel Borup Andersen
Time-Varying Periodicity in Intraday Volatility
published2018 · Journal of the American Statistical Association · 69 citations
The Realized Empirical Distribution Function of Stochastic Variance with Application to Goodness-of-Fit Testing
published2018 · Journal of Econometrics · 2 citations
working paper2017 · arXiv · 7 citations

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.