Asger Lunde
Impact in
- Finance top 0.1%
- Financial Risk and Volatility Modeling
- Stochastic processes and financial applications
- Financial Markets and Investment Strategies
-
- Monetary Policy and Economic Impact
Papers in
- Finance 58
- Financial Risk and Volatility Modeling 42
- Financial Markets and Investment Strategies 25
- Stochastic processes and financial applications 13
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- Market Dynamics and Volatility 27
- Complex Systems and Time Series Analysis 13
- Co-authors
- Peter Reinhard Hansen (29 shared papers)Neil Shephard (10 shared papers)Ole E. Barndorff–Nielsen (8 shared papers)Allan Timmermann (5 shared papers)Valeri Voev (3 shared papers)Morten Berg Jensen (1 shared paper)David Blake (2 shared papers)James M. Nason (2 shared papers)
- Journals
- Journal of Econometrics (5 papers)Journal of Business and Economic Statistics (4 papers)Journal of Applied Econometrics (3 papers)Journal of Financial Econometrics (3 papers)Econometrics Journal (2 papers)
- Partner nations
- DenmarkUnited StatesUnited Kingdom
In The Last Decade
Asger Lunde
66 papers receiving 5.3k citations
Hit Papers
Peers
Comparison fields: 5 of 93
- Finance 4.7k
- General Economics, Econometrics and Finance 1.5k
- Economics and Econometrics 3.9k
- Management Science and Operations Research 542
- Statistics and Probability 355
Countries citing papers authored by Asger Lunde
This map shows the geographic impact of Asger Lunde's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Asger Lunde with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Asger Lunde more than expected).
Fields of papers citing papers by Asger Lunde
This network shows the impact of papers produced by Asger Lunde. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Asger Lunde. The network helps show where Asger Lunde may publish in the future.
Co-authors
The 25 scholars most cited alongside Asger Lunde, linked wherever they have co-authored with each other. Click a name or a connecting line to browse the papers they share.
All Works
Showing the 20 most-cited of 70 papers — load more, or switch the sort, to bring in the rest.
| # | Work | ||
|---|---|---|---|
| 1 | A forecast comparison of volatility models: does anything beat a GARCH(1,1)? Hit paper breakdown → | 2005 | 1174 |
| 2 | Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise Hit paper breakdown → | 2008 | 811 |
| 3 | Realized Variance and Market Microstructure Noise Hit paper breakdown → | 2006 | 766 |
| 4 | Realized kernels in practice: trades and quotes Hit paper breakdown → | 2009 | 451 |
| 5 | 2005 | 238 | |
| 6 | 2001 | 203 | |
| 7 | 2005 | 185 | |
| 8 | 2004 | 170 | |
| 9 | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise | 2008 | 119 |
| 10 | 2008 | 110 | |
| 11 | 2010 | 96 | |
| 12 | 2014 | 94 | |
| 13 | 2001 | 88 | |
| 14 | 2006 | 87 | |
| 15 | A Generalized Gamma Autoregressive Conditional Duration Model | 1999 | 80 |
| 16 | 1999 | 71 | |
| 17 | 2005 | 64 | |
| 18 | 2010 | 52 | |
| 19 | 2004 | 49 | |
| 20 | 2008 | 46 |
About Asger Lunde
Asger Lunde is a scholar working on Finance, Economics and Econometrics, General Economics, Econometrics and Finance, Management Science and Operations Research and Statistics and Probability, having authored 70 papers that have together received 5.5k indexed citations. Recurring topics across this work include Financial Risk and Volatility Modeling (42 papers), Market Dynamics and Volatility (27 papers), Financial Markets and Investment Strategies (25 papers), Monetary Policy and Economic Impact (23 papers), Stochastic processes and financial applications (13 papers), Complex Systems and Time Series Analysis (13 papers), Statistical Methods and Inference (7 papers) and Stock Market Forecasting Methods (5 papers). The work is most often cited by research in Finance (4.7k citations), General Economics, Econometrics and Finance (1.5k citations), Economics and Econometrics (3.9k citations), Management Science and Operations Research (542 citations) and Statistics and Probability (355 citations). Asger Lunde has collaborated with scholars based in Denmark, United States and United Kingdom. Frequent co-authors include Peter Reinhard Hansen, Neil Shephard, Ole E. Barndorff–Nielsen, Allan Timmermann, Valeri Voev, Morten Berg Jensen, David Blake, James M. Nason, Allan A. Zebedee and Jeremy Large. Their work appears in journals such as Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Applied Econometrics, Journal of Financial Econometrics and Econometrics Journal.
Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.