Asger Lunde

Names

Contact

Affiliations

• Aarhus Universitet → Institut for Økonomi → Center for Research in Econometric Analysis of Time Series (CREATES)
  • website
  • location: Aarhus, Denmark

Research profile

author of:

• A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
  by Asger Lunde & Peter Reinhard Hansen
• Choosing the Best Volatility Models:The Model Confidence Set Approach
  by Peter Hansen & Asger Lunde & James M. Nason
• Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
  by Asger Lunde & Allan Timmermann
• The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
  by MORTEN B. JENSEN & ASGER LUNDE
• Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
  by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard
• Choosing the best volatility models: the model confidence set approach
  by Peter Reinhard Hansen & Asger Lunde & James M. Nason
• Testing the significance of calendar effects
  by Peter Reinhard Hansen & Asger Lunde & James M. Nason
• The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis
  by Allan Timmermann & Asger Lunde
• Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
  by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard
• Consistent ranking of volatility models
  by Hansen, Peter Reinhard & Lunde, Asger
• Wavelet Estimation of Integrated Volatility
  by Asger Lunde & Esben Hoeg
• A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
  by Asger Lunde & Peter R. Hansen
• Completion time structures of stock price movements
  by Asger Lunde & Allan Timmermann
• Trades and Quotes: A Bivariate Point Process
  by Robert F. Engle & Asger Lunde
• Realized Variance and IID Market Microstructure Noise
  by Asger Lunde & Peter Reinhard Hansen
• Model confidence sets for forecasting models
  by Peter Reinhard Hansen & Asger Lunde & James M. Nason
• The hazards of mutual fund underperformance: A Cox regression analysis
  by Lunde, Asger & Timmermann, Allan & Blake, David
• A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
  by Peter Reinhard Hansen & Asger Lunde
• The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements
  by Allan Zebedee & Eric Bentzen & Peter Hansen & Asger Lunde
• Rejoinder
  by Hansen, Peter R. & Lunde, Asger
• Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
  by Lunde, Asger & Timmermann, Allan G.
• Realized Variance and Market Microstructure Noise
  by Hansen, Peter R. & Lunde, Asger
• Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
  by Ole E. Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard
• Subsampling realised kernels
  by Neil Shephard & Ole E. Barndorff-Nielsen & Asger Lunde
• Subsampling realised kernels
  by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard
• Integrated Covariance Estimation using High-frequency Data in the Presence of Noise
  by Valeri Voev & Asger Lunde
• Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
  by OLE E. BARNDORFF-NIELSEN & PETER REINHARD HANSEN & ASGER LUNDE & NEIL SHEPHARD
• Choosing the Best Volatility Models: The Model Confidence Set Approach*
  by Peter Reinhard Hansen & Asger Lunde & James M. Nason
• Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
  by Lunde A. & Timmermann A.
• Subsampling realised kernels
  by Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard
• Moving Average-Based Estimators of Integrated Variance
  by Peter Hansen & Jeremy Large & Asger Lunde
• Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
  by Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil
• Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
  by Peter R. Hansen & Asger Lunde & Valeri Voev
• Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction
  by Bollerslev Tim & Christensen Bent Jesper & Haldrup Niels & Lunde Asger
• Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
  by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard
• And Now, The Rest of the News: Volatility and Firm Specific News Arrival
  by Robert F. Engle & Martin Klint Hansen & Asger Lunde
• Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility
  by Peter Reinhard Hansen & Asger Lunde & Valeri Voev
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
  by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
  by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
  by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard
• Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
  by Peter Reinhard Hansen & Asger Lunde & Valeri Voev
• Realized kernels in practice: trades and quotes
  by O. E. Barndorff-Nielsen & P. Reinhard Hansen & A. Lunde & N. Shephard
• Intraday volatility responses to monetary policy events
  by Asger Lunde & Allan Zebedee
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
  by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard
• Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error
  by Peter R. Hansen & Asger Lunde
• The Model Confidence Set
  by Peter R. Hansen & Asger Lunde & James M. Nason
• Trades and Quotes: A Bivariate Point Process
  by Engle, Robert F. & Lunde, Asger
• Subsampling realised kernels
  by Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil
• The Model Confidence Set
  by Peter R. Hansen & Asger Lunde & James M. Nason
• The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis
  by Lunde, Asger & Timmermann, Allan & Blake, David