11(top 50%)
PR articles
14.9K(top 1%)
PR citations
10(top 20%)
PR h-index
11(top 20%)
h-index
14
documents
23.7K
doc citations
3.8K
citing journals
100
times ranked

Publications

11 peer-reviewed articles • 21,365 peer-reviewed citations • Sorted by year • Download PDF (PDF by citations)
Sort: Year | Citations
#ArticleIFCitationsLinks
1Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models
Journal of Business and Economic Statistics, 2023, 41, 683-694
1.79Citations (PDF)
2Fitting Vast Dimensional Time-Varying Covariance Models
Journal of Business and Economic Statistics, 2021, 39, 652-668
1.776Citations (PDF)
3Array programming with NumPy
Nature, 2020, 585, 357-362
31.824,757Citations (PDF)
4Factor High-Frequency-Based Volatility (HEAVY) Models
Journal of Financial Econometrics, 2019, 17, 33-65
1.023Citations (PDF)
5Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice
Journal of Business and Economic Statistics, 2016, 34, 504-518
1.769Citations (PDF)
6Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
Journal of Econometrics, 2015, 187, 293-311
2.6596Citations (PDF)
7Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
Review of Economics and Statistics, 2015, 97, 683-697
2.8767Citations (PDF)
8Multivariate rotated ARCH models
Journal of Econometrics, 2014, 179, 16-30
2.653Citations (PDF)
9Multivariate high-frequency-based volatility (HEAVY) models
Journal of Applied Econometrics, 2012, 27, 907-933
1.6212Citations (PDF)
10Realising the future: forecasting with high-frequency-based volatility (HEAVY) models
Journal of Applied Econometrics, 2010, 25, 197-231
1.6394Citations (PDF)
11Optimal combinations of realised volatility estimators
International Journal of Forecasting, 2009, 25, 218-238
3.6140Citations (PDF)