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Ilya Archakov
Ilya Archakov
York University
在 univie.ac.at 的电子邮件经过验证 - 首页
标题
引用次数
引用次数
年份
A new parametrization of correlation matrices
I Archakov, PR Hansen
Econometrica 89 (4), 1699-1715, 2021
672021
A multivariate realized GARCH model
I Archakov, PR Hansen, A Lunde
arXiv preprint arXiv:2012.02708, 2020
292020
A canonical representation of block matrices with applications to covariance and correlation matrices
I Archakov, PR Hansen
Review of Economics and Statistics 106 (4), 1099-1113, 2024
232024
A descriptive study of high-frequency trade and quote option data
T Andersen, I Archakov, L Grund, N Hautsch, Y Li, S Nasekin, I Nolte, ...
Journal of Financial Econometrics 19 (1), 128-177, 2021
212021
Local mispricing and microstructural noise: A parametric perspective
TG Andersen, I Archakov, G Cebiroglu, N Hautsch
Journal of Econometrics 230 (2), 510-534, 2022
192022
A Markov chain estimator of multivariate volatility from high frequency data
PR Hansen, G Horel, A Lunde, I Archakov
The Fascination of Probability, Statistics and Their Applications: In Honour …, 2016
82016
A new method for generating random correlation matrices
I Archakov, PR Hansen, Y Luo
The Econometrics Journal 27 (2), 188-212, 2024
72024
Corrigendum to “Local mispricing and microstructural noise: A parametric perspective”[J. Econometrics 230 (2022) 510–534,(S0304407621001780),(10.1016/j. jeconom. 2021.06. 006)]
TG Andersen, I Archakov, G Cebiroglu, N Hautsch
Journal of Econometrics 232 (2), 598-603, 2023
12023
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