Research output per year
Research output per year
Personal profile
Keywords
- Probability theory
- Stochastic analysis
- Ambit stochastics
- Financial mathematics
- Other areas of econometrics
- Volatility estimation
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Dive into the research topics where Mikko Pakkanen is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
Bennedsen, M., Lunde, A. & Pakkanen, M., 2022, In: Journal of Financial Econometrics. 20, 5, p. 961-1006 46 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access48 Citations (Scopus) -
State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, M. & Pakkanen, M. S., 2022, In: Quantitative Finance. 22, 3, p. 563-583 21 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile19 Citations (Scopus)65 Downloads (Pure) -
Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, A. E., Christensen, K., Pakkanen, M. & Veliyev, B., Oct 2020, Aarhus: Institut for Økonomi, Aarhus Universitet, 45 p. (CREATES Research Paper; No. 2020-12).Research output: Working paper/Preprint › Working paper › Research
Open AccessFile296 Downloads (Pure) -
Hybrid simulation scheme for volatility modulated moving average fields
Heinrich, C., Pakkanen, M. & Veraart, A., Dec 2019, In: Simulation. 166, December, p. 224-244 21 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access4 Citations (Scopus) -
The local fractional bootstrap
Bennedsen, M., Hounyo, U., Lunde, A. & Pakkanen, M. S., Mar 2019, In: Scandinavian Journal of Statistics. 46, 1, p. 329-359 31 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access3 Citations (Scopus)
Activities
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Realized volatility in the context of multiparameter processes
Pakkanen, M. (Invited speaker)
14 May 2014Activity: Presentations, memberships, employment, ownership and other activities › Lecture and oral contribution
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Volatility estimation for ambit fields
Pakkanen, M. (Other)
7 Apr 2014Activity: Presentations, memberships, employment, ownership and other activities › Lecture and oral contribution
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Volatility estimation for ambit fields
Pakkanen, M. (Invited speaker)
10 Jan 2014Activity: Presentations, memberships, employment, ownership and other activities › Lecture and oral contribution
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Universite Paris Dauphine
Pakkanen, M. (Visiting researcher)
21 Oct 2013 → 25 Oct 2013Activity: Visiting an external institution types › Visiting an external academic institution
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Volatility estimation for ambit fields
Pakkanen, M. (Invited speaker)
12 Sept 2013Activity: Presentations, memberships, employment, ownership and other activities › Lecture and oral contribution