Standout Papers

A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 2005 2026 2012 2019 1.1k
  1. A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)
    Peter Reinhard Hansen, Asger Lunde Journal of Applied Econometrics
  2. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)
    Ole E. Barndorff–Nielsen, Peter Reinhard Hansen et al. Econometrica
  3. Realized Variance and Market Microstructure Noise (2006)
    Peter Reinhard Hansen, Asger Lunde Journal of Business and Economic Statistics
  4. Realized kernels in practice: trades and quotes (2009)
    Ole E. Barndorff–Nielsen, Peter Reinhard Hansen et al. Econometrics Journal

Immediate Impact

105 standout
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Citing Papers

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics
2025 Standout
Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets
2024 Standout
18 intermediate papers

Works of Asger Lunde being referenced

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
2008 Standout
A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
2005 Standout
and 8 more

Author Peers

Author Last Decade Papers Cites
Asger Lunde 4422 3689 1428 63 5.2k
Stephen J. Taylor 4345 3892 1668 95 5.5k
Peter Reinhard Hansen 5506 4879 2067 70 6.9k
Peter Christoffersen 6453 4394 1983 143 7.5k
Andrew J. Patton 4961 4751 2094 92 6.7k
Ray Yeutien Chou 3397 3026 1274 29 4.0k
Dick van Dijk 3246 3775 2624 167 5.7k
Jean‐Michel Zakoïan 2943 2399 1351 67 3.5k
Yacine Aı̈t-Sahalia 7652 4146 1576 95 8.8k
Robert B. Litterman 3415 3233 2884 41 6.0k
Victor Ng 4514 4402 1881 63 6.2k

All Works

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2026