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Daniel Preve

City University of Hong Kong (from arXiv:1805.04010, 2018) · ORCID · OpenAlex

11 papers in scope · 11 published · 1 on the econ.EM arXiv · 177 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. Savi Virolainen
  2. Pentti Saikkonen
  3. Mika Meitz
  4. Christis Katsouris
  5. Andrea Bucci
  6. Yong Song
  7. Tomasz Woźniak
  8. Sam Wycherley
  9. James A. Duffy
  10. Sophocles Mavroeidis
  11. Igor Kheifets
  12. Yannis Bilias
  13. Emil N. Sørensen
  14. Christian M. Dahl
  15. Guillaume Pouliot
  16. Anna Bykhovskaya
  17. Elena Manresa
  18. Xiyu Jiao
  19. Tetsuya Kaji
  20. Fei Shang

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 11)

Modeling and forecasting intraday spot volatility
published2025 · International Journal of Forecasting · first circulated 2024
with Adam Clements, Daniel P.A. Preve
International Journal of Forecasting
A mixture autoregressive model based on Student’s t –distribution
published2021 · Communication in Statistics-Theory and Methods · 14 citations · first circulated 2018
with Mika Meitz, Pentti Saikkonen
Paper profile Communication in Statistics-Theory and Methods arXiv:1805.04010
Forecasting Realized Volatility Using a Nonnegative Semiparametric Model
published2019 · Journal of risk and financial management · 10 citations · first circulated 2009
with Anders Eriksson, Jun Yu
Journal of risk and financial management
A Practical Guide to Harnessing the HAR Volatility Model
published2019 · Journal of Banking & Finance · 25 citations
with Adam Clements
Journal of Banking & Finance
Measure of location-based estimators in simple linear regression
published2015 · Journal of Statistical Computation and Simulation · first circulated 2013
with Xijia Liu, Shu-Ping Xijia Liu
Journal of Statistical Computation and Simulation
Linear programming-based estimators in nonnegative autoregression
published2015 · Journal of Banking & Finance · 6 citations
Journal of Banking & Finance
ESTIMATION OF TIME‐VARYING ADJUSTED PROBABILITY OF INFORMED TRADING AND PROBABILITY OF SYMMETRIC ORDER‐FLOW SHOCK
published2012 · Journal of Applied Econometrics · 8 citations
with Yiu-Kuen Tse
Journal of Applied Econometrics
Statistical tests for multiple forecast comparison
published2012 · Journal of Econometrics · 85 citations
with Roberto S. Mariano
Journal of Econometrics
Linear programming-based estimators in simple linear regression
published2011 · Journal of Econometrics · 26 citations · first circulated 2010
with Marcelo C. Medeiros
Journal of Econometrics
Essays on Time Series Analysis : With Applications to Financial Econometrics
published2008 · Nature Reviews Gastroenterology & Hepatology · 3 citations
Nature Reviews Gastroenterology & Hepatology
Point Estimation in a Nonnegative First-Order Autoregression
published2008 · Eukaryotic Cell
Eukaryotic Cell

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.