Department of Economics and Business Economics

Asger Lunde

  1. 2022
  2. Published

    Realizing Correlations Across Asset Classes. / Grønborg, Niels Strange; Lunde, Asger; Olesen, Kasper Vinther et al.

    In: Journal of Financial Markets, Vol. 59, No. Part A, 100729, 06.2022.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. 2021
  4. Published

    Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. / Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil et al.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2021.

    Research output: Working paper/Preprint Working paperResearch

  5. Published

    Ex-post Analysis of the TeliaSonera-Chess 2005 Merger. / Maier, Norbert; Jørgensen, Julie Runge; Lunde, Asger et al.

    In: Economist (Netherlands), Vol. 169, No. 2, 05.2021, p. 141-178.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  6. Published

    Picking Funds with Confidence. / Grønborg, Niels Strange; Lunde, Asger; Timmermann, Allan et al.

    In: Journal of Financial Economics, Vol. 139, No. 1, 01.2021, p. 1-28.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. E-pub ahead of print

    Decoupling the Short- and Long-Term Behavior of Stochastic Volatility. / Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko.

    In: Journal of Financial Econometrics, 2021.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  8. 2020
  9. Published

    Including news data in forecasting macro economic performance of China. / Lunde, Asger; Torkar, Miha.

    In: Computational Management Science, Vol. 17, No. 4, 12.2020, p. 585-611.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  10. 2019
  11. Published

    Calculating the damage of a cartel subject to transition periods : The international uranium cartel in the 1970s. / Lunde, Asger; Sandberg, Rickard; Soderberg, Magnus.

    In: Energy Economics, Vol. 84, 104487, 10.2019.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  12. Published

    Factor structure in commodity futures return and volatility. / Christoffersen, Peter; Lunde, Asger; Olesen, Kasper V.

    In: Journal of Financial and Quantitative Analysis, Vol. 54, No. 3, 06.2019, p. 1083-1115.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  13. Published

    The local fractional bootstrap. / Bennedsen, Mikkel; Hounyo, Ulrich; Lunde, Asger et al.

    In: Scandinavian Journal of Statistics, Vol. 46, No. 1, 2019, p. 329-359.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  14. 2018
  15. Published

    Realizing Correlations Across Asset Classes. / Grønborg, Niels Strange; Lunde, Asger; Olesen, Kasper V. et al.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paper/Preprint Working paperResearch

  16. Published

    A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method. / Brix, Anne Floor; Lunde, Asger; Wei, Wei.

    In: Energy Economics, Vol. 72, 2018, p. 560-582.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  17. 2017
  18. Published

    Hybrid scheme for Brownian semistationary processes. / Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S.

    In: Finance and Stochastics, Vol. 21, No. 4, 10.2017, p. 931-965.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  19. Published

    Decoupling the short- and long-term behavior of stochastic volatility. / Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko.

    Aarhus : Institut for Økonomi, Århus Universitet, 2017.

    Research output: Working paper/Preprint Working paperResearch

  20. Published

    Picking Funds with Confidence. / Grønborg, Niels Strange; Lunde, Asger; Timmermann, Allan et al.

    Aarhus : Institut for Økonomi, Århus Universitet, 2017.

    Research output: Working paper/Preprint Working paperResearch

  21. Published

    Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. / Boudt, Kris; Laurent, Sébastien; Lunde, Asger et al.

    In: Journal of Econometrics, Vol. 196, No. 2, 02.2017, p. 347–367.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  22. 2016
  23. Published

    The Local Fractional Bootstrap. / Bennedsen, Mikkel; Hounyo, Ulrich; Lunde, Asger et al.

    Aarhus : Institut for Økonomi, Århus Universitet, 2016.

    Research output: Working paper/Preprint Working paperResearch

  24. Published

    A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. / Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger et al.

    The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. ed. / Mark Podolskij; Robert Stelzer; Steen Thorbjørnsen; D. Almut E. Veraart. Cham : Springer, 2016. p. 361-394.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  25. Published

    Analyzing Oil Futures with a Dynamic Nelson-Siegel Model. / Hansen, Niels Strange; Lunde, Asger.

    In: Journal of Futures Markets, Vol. 36, No. 2, 2016, p. 153-173.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  26. Published

    Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference. / Wei, Wei; Lunde, Asger.

    In: Journal of Financial Econometrics, Vol. 14, No. 2, 2016, p. 278-283.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperComment/debate/letter to the editorResearchpeer-review

  27. Published

    Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice. / Lunde, Asger; Shephard, Neil; Sheppard, Kevin.

    In: Journal of Business and Economic Statistics, Vol. 34, No. 4, 2016, p. 504-518.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  28. 2015
  29. Published

    A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method. / Lunde, Asger; Brix, Anne Floor; Wei, Wei.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paper/Preprint Working paperResearch

  30. Published

    Hybrid scheme for Brownian semistationary processes. / Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paper/Preprint Working paperResearch

  31. Published

    A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. / Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger et al.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paper/Preprint Working paperResearch

  32. Published

    Prediction-based estimating functions for stochastic volatility models with noisy data : comparison with a GMM alternative. / Brix, Anne Floor; Lunde, Asger.

    In: A St A - Advances in Statistical Analysis, Vol. 99, No. 4, 2015, p. 433-465.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  33. 2014
  34. Published

    Factor Structure in Commodity Futures Return and Volatility. / Christoffersen, Peter; Lunde, Asger; Olesen, Kasper Vinther.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper/Preprint Working paperResearch

  35. Published

    Discretization of Lévy semistationary processes with application to estimation. / Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper/Preprint Working paperResearch

  36. Published

    Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. / Boudt, Kris; Laurent, Sébastien; Lunde, Asger et al.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper/Preprint Working paperResearch

  37. Published

    Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error. / Hansen, Peter Reinhard; Lunde, Asger.

    In: Econometric Theory, Vol. 30, No. 1, 2014, p. 60-93.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  38. Published

    In- and Out-of-the-Money Convertible Bond Calls : Signaling or Price Pressure? / Bechman, Ken; Lunde, Asger; Zebedee, Allan.

    In: Journal of Corporate Finance, Vol. 24, No. 2, 2014, p. 135-148.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  39. Published

    Integer-valued trawl processes : A class of stationary infinitely divisible processes. / Barndorff-Nielsen, Ole E.; Lunde, Asger; Shephard, Neil et al.

    In: Scandinavian Journal of Statistics, Vol. 41, 2014, p. 693-724.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  40. Published

    Realized Beta GARCH : A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility. / Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri Radkov.

    In: Journal of Applied Econometrics, Vol. 29, 2014, p. 774-799.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  41. 2013
  42. Published

    Analyzing Oil Futures with a Dynamic Nelson-Siegel Model. / Hansen, Niels Strange; Lunde, Asger.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paper/Preprint Working paperResearch

  43. Published

    Estimating Stochastic Volatility Models using Prediction-based Estimating Functions. / Lunde, Asger; Brix, Anne Floor.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paper/Preprint Working paperResearch

  44. Published

    Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange. / Lunde, Asger; Olesen, Kasper Vinther.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paper/Preprint Working paperResearch

  45. 2012
  46. Published

    And Now, The Rest of the News: Volatility and Firm Specific News Arrival. / Engle, Robert F.; Hansen, Martin Klint; Lunde, Asger.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paper/Preprint Working paperResearch

  47. 2011
  48. Published

    Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. / Barndorff-Nielsen, Ole Eiler; Hansen, Peter Reinhard; Lunde, Asger et al.

    In: Journal of Econometrics, Vol. 162, No. 2, 2011, p. 149-169.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  49. Published

    Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction. / Bollerslev, Tim; Christensen, Bent Jesper; Haldrup, Niels et al.

    In: Journal of Time Series Econometrics, Vol. 3, No. 1, Article 1, 2011.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  50. Published

    Subsampling Realised Kernels. / Barndorff-Nielsen, Ole Eiler; Hansen, Peter Reinhard; Lunde, Asger et al.

    In: Journal of Econometrics, Vol. 160, No. 1, 2011, p. 204-219.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  51. Published

    The Model Confidence Set. / Hansen, Peter Reinhard; Lunde, Asger; Nason, James M.

    In: Econometrica, Vol. 79, No. 2, 2011, p. 453-497.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  52. 2010
  53. Published

    A genome-wide linkage study of bipolar disorder and co-morbid migraine : Replication of migraine linkage on chromosome 4q24, and suggestion of an overlapping susceptibility region for both disorders on chromosome 20p11. / Oedegaard, K. J.; Greenwood, T. A.; Lunde, Asger et al.

    In: Journal of Affective Disorders, Vol. 122, No. 1-2, 2010, p. 14-26.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  54. Published

    Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error. / Hansen, Peter Reinhard; Lunde, Asger.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paper/Preprint Working paperResearch

  55. Published

    Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility. / Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paper/Preprint Working paperResearch

  56. Published

    The Model Confidence Set. / Hansen, Peter Reinhard; Lunde, Asger; Nason, James M.

    Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paper/Preprint Working paperResearch

  57. 2009
  58. Published

    Intraday volatility responses to monetary policy events. / Lunde, Asger; Zebedee, Allan.

    In: Financial Markets and Portfolio Management, Vol. 23, No. 4, 2009, p. 383-399.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  59. Published

    Realized kernels in practice : trades and quotes. / Barndorff-Nielsen, Ole Eiler; Hansen, P. Reinhard; Lunde, Asger et al.

    In: Econometrics Journal, Vol. 12, No. 3, 2009, p. C1-C32.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  60. 2008
  61. Published

    Designing realized kernels to measure the ex post variation of equity prices in the presence of noise. / Barndorff-Nielsen, Ole Eiler; Hansen, P.R.; Lunde, Asger et al.

    In: Econometrica, Vol. 76, No. 6, 2008, p. 1481-1536.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  62. Published

    Moving average-based Estimators of Integrated Variance. / Hansen, Peter Reinhard; Large, Jeremy; Lunde, Asger.

    In: Econometric Reviews, Vol. 27, No. 1-3, 2008, p. 79-111.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  63. Published
  64. Published

    The Greenspan Years: An Analysis of the Magnitude and speed of the Equity Market Response to FOMC Announcements. / Zebedee, Allan; Bentzen, Eric; Hansen, Peter Reinhard et al.

    In: Financial Markets and Portfolio Management, Vol. 22, No. 1, 2008, p. 3-20.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  65. 2007
  66. Published

    Integrated covariance estimation using high-frequency data in the presence of noise. / Voev, Valeri; Lunde, Asger.

    In: Journal of Financial Econometrics, Vol. 5, No. 1, 2007, p. 68-104.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  67. 2006
  68. Published

    Consistent ranking of volatility models. / Hansen, Peter Reinhard; Lunde, Asger.

    In: Journal of Econometrics, Vol. 131, No. 1-2, 2006, p. 97-121.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  69. Published

    Realized Variance and Market Microstructure Noise. / Hansen, Peter R.; Lunde, Asger.

    In: Journal of Business and Economic Statistics, Vol. 24, No. 2, apr, 2006, p. 127-161.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  70. Published

    Rejoinder. / Hansen, Peter R.; Lunde, Asger.

    In: Journal of Business and Economic Statistics, Vol. 24, No. 2, 2006, p. 208-218.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  71. 2005
  72. Published

    A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. / Hansen, Peter Reinhard; Lunde, Asger.

    In: Journal of Financial Econometrics, Vol. 3, No. 4, 2005, p. 525-554.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  73. Published

    A forecast comparison of volatility models : Does anything beat a GARCH(1,1)? / Hansen, Peter Reinhard; Lunde, Asger.

    In: Journal of Applied Econometrics, Vol. 20, No. 7, 2005, p. 873-889.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  74. Published

    Completion time structures of stock price movements. / Lunde, Asger; Timmermann, Allan.

    In: Annals of Finance, Vol. 1, No. 3, 2005, p. 293-326.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  75. 2004
  76. Published

    Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets. / Lunde, Asger; Timmermann, Allan.

    In: Journal of Business and Economic Statistics, Vol. 22, No. 3, 2004, p. 253-273.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  77. 2003
  78. Published

    Choosing the Best Volatility Models: The Model Confidence Set Approach. / Hansen, Peter R.; Lunde, Asger; Nason, James M.

    In: Oxford Bulletin of Economics and Statistics, Vol. 65, 2003, p. 839-861.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  79. Published

    Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability. / Hansen, Peter R.; Lunde, Asger.

    Proceedings for The 2003 IEEE International Conference on Computational Intelligence for Financial Engineering. IEEE Computer Society Press, 2003. p. 301-307.

    Research output: Contribution to book/anthology/report/proceedingArticle in proceedingsResearch

  80. Published

    Trades and Quotes: A Bivariate Point Process. / Engle, Robert F.; Lunde, Asger.

    In: Journal of Financial Econometrics, Vol. 1, No. 2, 2003, p. 159-188.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  81. 2002
  82. Published

    Wavelet Estimation of Integrated Volatility. / Høg, Esben; Lunde, Asger.

    2002. Paper presented at Quantitative Methods in Finance, Sydney, Australia.

    Research output: Contribution to conferencePaperResearch

  83. 2001
  84. Published

    The NIG-S&ARCH Model : A Fat Tailed, Stochastic, and Autoregressive Conditional Heteroskedastic Volatility Model. / Jensen, Morten B.; Lunde, Asger.

    In: Econometrics Journal, Vol. 4, No. 2, 2001, p. 319-342.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  85. 1999
  86. Published

    The hazards of mutual fund underperformance: A Cox regression analysis. / Lunde, Asger; Timmermann, Allan; Blake, David.

    In: Journal of Empirical Finance, Vol. 6, No. 2, 1999, p. 121-152.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review