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 | 2549 | 2005 |
The model confidence set PR Hansen, A Lunde, JM Nason Econometrica 79 (2), 453-497, 2011 | 2294 | 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 | 1646 | 2008 |
Realized variance and market microstructure noise PR Hansen, A Lunde Journal of Business & Economic Statistics 24 (2), 127-161, 2006 | 1567 | 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 | 854 | 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 | 754 | 2011 |
Consistent ranking of volatility models PR Hansen, A Lunde Journal of Econometrics 131 (1-2), 97-121, 2006 | 461 | 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 | 383 | 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 | 378 | 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 | 257 | 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 | 211 | 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 | 171 | 2022 |
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 | 164 | 2001 |
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 | 163 | 2014 |
Subsampling realised kernels OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard Journal of Econometrics 160 (1), 204-219, 2011 | 161 | 2011 |
Hybrid scheme for Brownian semistationary processes M Bennedsen, A Lunde, MS Pakkanen Finance and Stochastics 21, 931-965, 2017 | 156 | 2017 |
Testing the significance of calendar effects PR Hansen, A Lunde, JM Nason Federal Reserve Bank of Atlanta Working Paper, 2005 | 142 | 2005 |
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 | 140 | 1999 |
Moving average-based estimators of integrated variance PR Hansen, J Large, A Lunde Econometric Reviews 27 (1-3), 79-111, 2008 | 114 | 2008 |