Asger Lunde

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Peter HansenHenry A. Latané Distinguished Professor, Dept. of Economics, University of North Carolina & VisitingVerified email at unc.edu
Neil ShephardFrank B. Baird Jr, Professor of Science, Dept of Economics & Dept of Statistics, Harvard UniversityVerified email at fas.harvard.edu
Allan TimmermannProfessor of Finance and Economics, UCSDVerified email at ucsd.edu
Mikkel BennedsenAarhus UniversityVerified email at econ.au.dk
Mikko S. PakkanenReader in Data Science and Quantitative Finance, Imperial College LondonVerified email at imperial.ac.uk
Allan ZebedeeClarkson UniversityVerified email at clarkson.edu
David P BlakeBayes Business SchoolVerified email at city.ac.uk
Niels Strange GrønborgPostdoctoral Researcher, Aarhus University and CREATESVerified email at econ.au.dk
Robert EngleNew York UniversityVerified email at stern.nyu.edu
Almut VeraartImperial College LondonVerified email at imperial.ac.uk
Kevin SheppardUniversity Lecturer, University of OxfordVerified email at economics.ox.ac.uk
Wei WeiLecturer, Department of Econometrics and Business Statistics, Monash UniversityVerified email at monash.edu
Morten Berg JensenAssociate Professor, Department of Economics and Business Economics, Aarhus UniversityVerified email at econ.au.dk
Orimar SauriAssociate Professor of Mathematics and Economics, Aalborg UniversityVerified email at math.aau.dk
Russ WermersProfessor of FinanceVerified email at umd.edu
Ilya ArchakovYork UniversityVerified email at univie.ac.at
Eric BentzenCopenhagen Business SchoolVerified email at cbs.dk
Tiffany GreenwoodAssociate Professor of Psychiatry, UC San DiegoVerified email at ucsd.edu
Ketil Joachim Oedegaard, MD PhDProfessor in psychiatry, University of Bergen and Haukeland University Hospital, NorwayVerified email at haukeland.no
John R KelsoeUniversity of California San DiegoVerified email at ucsd.edu

Asger Lunde

Partner, Copenhagen Economics

Verified email at copenhageneconomics.com

Econometrics Competition Economics


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
A forecast comparison of volatility models: does anything beat a GARCH (1, 1)? PR Hansen, A Lunde Journal of applied econometrics 20 (7), 873-889, 2005	2601	2005
The model confidence set PR Hansen, A Lunde, JM Nason Econometrica 79 (2), 453-497, 2011	2373	2011
Designing realized kernels to measure the ex post variation of equity prices in the presence of noise OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard Econometrica 76 (6), 1481-1536, 2008	1658	2008
Realized variance and market microstructure noise PR Hansen, A Lunde Journal of Business & Economic Statistics 24 (2), 127-161, 2006	1584	2006
Realized kernels in practice: Trades and quotes OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard The Econometrics Journal 12 (3), C1-C32, 2009	866	2009
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard Journal of Econometrics 162 (2), 149-169, 2011	762	2011
Consistent ranking of volatility models PR Hansen, A Lunde Journal of Econometrics 131 (1-2), 97-121, 2006	466	2006
Duration dependence in stock prices: An analysis of bull and bear markets A Lunde, A Timmermann Journal of Business & Economic Statistics 22 (3), 253-273, 2004	392	2004
A realized variance for the whole day based on intermittent high-frequency data PR Hansen, A Lunde Journal of Financial Econometrics 3 (4), 525-554, 2005	381	2005
Choosing the best volatility models: the model confidence set approach PR Hansen, A Lunde, JM Nason Oxford Bulletin of Economics and Statistics 65, 839-861, 2003	266	2003
Integrated covariance estimation using high-frequency data in the presence of noise V Voev, A Lunde Journal of Financial Econometrics 5 (1), 68-104, 2007	212	2007
Trades and quotes: a bivariate point process RF Engle, A Lunde Journal of Financial Econometrics 1 (2), 159-188, 2003	189	2003
Decoupling the short-and long-term behavior of stochastic volatility M Bennedsen, A Lunde, MS Pakkanen Journal of Financial Econometrics 20 (5), 961-1006, 2022	179	2022
Realized beta GARCH: A multivariate GARCH model with realized measures of volatility PR Hansen, A Lunde, V Voev Journal of Applied Econometrics 29 (5), 774-799, 2014	167	2014
The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model MB Jensen, A Lunde The Econometrics Journal 4 (2), 319-342, 2001	166	2001
Hybrid scheme for Brownian semistationary processes M Bennedsen, A Lunde, MS Pakkanen Finance and Stochastics 21, 931-965, 2017	161	2017
Subsampling realised kernels OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard Journal of Econometrics 160 (1), 204-219, 2011	161	2011
Testing the significance of calendar effects PR Hansen, A Lunde Working paper, 2003	144	2003
The hazards of mutual fund underperformance: A Cox regression analysis A Lunde, A Timmermann, D Blake Journal of Empirical Finance 6 (2), 121-152, 1999	141	1999
Moving average-based estimators of integrated variance PR Hansen, J Large, A Lunde Econometric Reviews 27 (1-3), 79-111, 2008	115	2008

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