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1

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

Peter R. Hansen, Asger Lunde

Journal:

Journal of Applied Econometrics

Year:

2005

Language:

english

File:

PDF, 213 KB

english, 2005

2

The Role of Glucagon in the Pathophysiology and Treatment of Type 2 Diabetes

Hædersdal, Sofie, Lund, Asger, Knop, Filip K., Vilsbøll, Tina

Journal:

Mayo Clinic Proceedings

Year:

2018

Language:

english

File:

PDF, 1.02 MB

english, 2018

3

The Model Confidence Set

Peter R. Hansen, Asger Lunde, James M. Nason

Journal:

Year:

2011

Language:

english

File:

PDF, 595 KB

english, 2011

4

Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets

Asger Lunde and Allan Timmermann

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 1.63 MB

english, 2004

5

Realized Variance and Market Microstructure Noise

Hansen, Peter R, Lunde, Asger

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 1.33 MB

english, 2006

6

A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?

Peter R. Hansen and Asger Lunde

Journal:

Journal of Applied Econometrics

Year:

2005

Language:

english

File:

PDF, 2.06 MB

english, 2005

7

Factor Structure in Commodity Futures Return and Volatility

Christoffersen, Peter, Lunde, Asger, Olesen, Kasper V.

Journal:

Journal of Financial and Quantitative Analysis

Year:

2018

Language:

english

File:

PDF, 4.13 MB

english, 2018

8

Duration Dependence in Stock Prices

Lunde, Asger, Timmermann, Allan

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 837 KB

english, 2004

9

Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction

Bollerslev, Tim, Christensen, Bent Jesper, Haldrup, Niels, Lunde, Asger

Journal:

Journal of Time Series Econometrics

Year:

2011

Language:

english

File:

PDF, 243 KB

english, 2011

10

REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY

Hansen, Peter Reinhard, Lunde, Asger, Voev, Valeri

Journal:

Journal of Applied Econometrics

Year:

2014

Language:

english

File:

PDF, 964 KB

english, 2014

11

Consistent ranking of volatility models

Peter Reinhard Hansen, Asger Lunde

Journal:

Journal of Econometrics

Year:

2006

Language:

english

File:

PDF, 334 KB

english, 2006

12

The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements

Allan A. Zebedee, Eric Bentzen, Peter R. Hansen, Asger Lunde

Journal:

Financial Markets and Portfolio Management

Year:

2008

Language:

english

File:

PDF, 479 KB

english, 2008

13

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard

Journal:

Year:

2008

Language:

english

File:

PDF, 673 KB

english, 2008

14

Realized Variance and Market Microstructure Noise

Peter R. Hansen and Asger Lunde

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 5.41 MB

english, 2006

15

Analyzing Oil Futures with a Dynamic Nelson-Siegel Model

GrØnborg, Niels S., Lunde, Asger

Journal:

Journal of Futures Markets

Year:

2016

Language:

english

File:

PDF, 2.52 MB

english, 2016

16

Glucagon-like peptide 1 in health and disease

Andersen, Andreas, Lund, Asger, Knop, Filip K., Vilsbøll, Tina

Journal:

Nature Reviews Endocrinology (formerly Nature Clinical Practice Endocrinology & Metabolism)

Year:

2018

Language:

english

File:

PDF, 2.62 MB

english, 2018

17

The Role of Glucagon in the Acute Therapeutic Effects of SGLT2 Inhibition

HÃ¦dersdal, Sofie, Lund, Asger, Nielsen-Hannerup, Elisabeth, Maagensen, Henrik, van Hall, Gerrit, Holst, Jens J., Knop, Filip K., VilsbÃ¸ll, Tina

Journal:

Year:

2020

File:

PDF, 1.57 MB

2020

18

Subsampling realised kernels

Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 533 KB

english, 2011

19

Choosing the Best Volatility Models: The Model Confidence Set Approach

Peter Reinhard Hansen, Asger Lunde, James M. Nason

Journal:

Oxford Bulletin of Economics and Statistics

Year:

2003

Language:

english

File:

PDF, 190 KB

english, 2003

20

[Realized Variance and Market Microstructure Noise]: Rejoinder

Peter R. Hansen and Asger Lunde

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 1.67 MB

english, 2006

21

Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes

Barndorff-Nielsen, Ole E., Lunde, Asger, Shephard, Neil, Veraart, Almut E.D.

Journal:

Scandinavian Journal of Statistics

Year:

2014

Language:

english

File:

PDF, 962 KB

english, 2014

22

Rejoinder

Hansen, Peter R, Lunde, Asger

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 482 KB

english, 2006

23

Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice

Lunde, Asger, Shephard, Neil, Sheppard, Kevin

Journal:

Journal of Business and Economic Statistics

Year:

2015

Language:

english

File:

PDF, 18.29 MB

english, 2015

24

Skeletal muscle fiber characteristics and oxidative capacity in hemiparetic stroke survivors

Severinsen, Kaare, Dalgas, Ulrik, Overgaard, Kristian, Pedersen, Asger R., øRtenblad, Niels, Lund, Caroline, Jakobsen, Johannes K., Andersen, Henning

Journal:

Year:

2016

Language:

english

File:

PDF, 190 KB

english, 2016

25

Testing the Significance of Calendar Effects

Hansen, Peter Reinhard, Lunde, Asger, Nason, James M.

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 545 KB

english, 2005

26

Realized Variance and Market Microstructure Noise

Hansen, Peter Reinhard, Lunde, Asger

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 2.11 MB

english, 2005

27

Consistent Ranking of Volatility Models

Hansen, Peter Reinhard, Lunde, Asger

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 394 KB

english, 2003

28

Determinants of Fasting Hyperglucagonemia in Patients with Type 2 Diabetes and Nondiabetic Control Subjects

Demant, Mia, Bagger, Jonatan I., Suppli, Malte P., Lund, Asger, Gyldenløve, Mette, Hansen, Katrine B., Hare, Kristine J., Christensen, Mikkel, Sonne, David P., Holst, Jens J., Vilsbøll, Tina, Knop, Fi

Journal:

Metabolic Syndrome and Related Disorders

Year:

2018

Language:

english

File:

PDF, 195 KB

english, 2018

29

Rejoinder (To Comments on Realized Variance and Market Microstructure Noise)

Hansen, Peter Reinhard, Lunde, Asger

Journal:

SSRN Electronic Journal

Year:

2006

Language:

english

File:

PDF, 474 KB

english, 2006

30

Realizing Correlations Across Asset Classes

Groenborg, Niels, Lunde, Asger, Olesen, Kasper, Vander Elst, Harry

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 699 KB

english, 2018

31

Picking funds with confidence

GrÃ¸nborg, Niels S., Lunde, Asger, Timmermann, Allan, Wermers, Russ

Journal:

Journal of Financial Economics

Year:

2020

File:

PDF, 2.19 MB

2020

32

Revisiting the Idea of the University. Introduction

Bengtsen, SÃ¸ren S. E., FrÃ¸lund, Sune, SÃ¸rensen, Asger

Journal:

Danish Yearbook of Philosophy

Year:

2019

File:

PDF, 669 KB

2019

33

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 907 KB

english, 2011

34

Completion time structures of stock price movements

Asger Lunde, Allan Timmermann

Journal:

Annals of Finance

Year:

2005

Language:

english

File:

PDF, 302 KB

english, 2005

35

Intraday volatility responses to monetary policy events

Asger Lunde, Allan A. Zebedee

Journal:

Financial Markets and Portfolio Management

Year:

2009

Language:

english

File:

PDF, 960 KB

english, 2009

36

The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model

Morten B. Jensen, Asger Lunde

Journal:

The Econometrics Journal

Year:

2001

Language:

english

File:

PDF, 302 KB

english, 2001

37

The hazards of mutual fund underperformance: A Cox regression analysis

Asger Lunde, Allan Timmermann, David Blake

Journal:

Journal of Empirical Finance

Year:

1999

Language:

english

File:

PDF, 374 KB

english, 1999

38

Emerging GLP-1 receptor agonists

Lund, Asger, Knop, Filip K, Vilsbøll, Tina

Journal:

Expert Opinion on Emerging Drugs

Year:

2011

Language:

english

File:

PDF, 325 KB

english, 2011

39

In- and out-of-the-money convertible bond calls: Signaling or price pressure?

Bechmann, Ken L., Lunde, Asger, Zebedee, Allan A.

Journal:

Journal of Corporate Finance

Year:

2014

Language:

english

File:

PDF, 305 KB

english, 2014

40

Glucagon-like peptide-1 receptor agonists for the treatment of type 2 diabetes: Differences and similarities

Lund, Asger, Knop, Filip K., Vilsbøll, Tina

Journal:

European Journal of Internal Medicine

Year:

2014

Language:

english

File:

PDF, 484 KB

english, 2014

41

Glucagon responses to increasing oral loads of glucose and corresponding isoglycaemic intravenous glucose infusions in patients with type 2 diabetes and healthy individuals

Bagger, Jonatan I., Knop, Filip K., Lund, Asger, Holst, Jens J., Vilsbøll, Tina

Journal:

Year:

2014

Language:

english

File:

PDF, 242 KB

english, 2014

42

Unprecedented high insulin secretion in a healthy human subject after intravenous glucagon-like peptide-1: a case report

Knop, Filip K, Lund, Asger, Madsbad, Sten, Holst, Jens J, Krarup, Thure, Vilsbøll, Tina

Journal:

BMC Research Notes

Year:

2014

Language:

english

File:

PDF, 292 KB

english, 2014

43

ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR

Hansen, Peter R., Lunde, Asger

Journal:

Econometric Theory

Year:

2014

Language:

english

File:

PDF, 504 KB

english, 2014

44

Glucagon and Type 2 Diabetes: the Return of the Alpha Cell

Lund, Asger, Bagger, Jonatan I., Christensen, Mikkel, Knop, Filip K., Vilsbøll, Tina

Journal:

Current Diabetes Reports

Year:

2014

Language:

english

File:

PDF, 207 KB

english, 2014

45

Carriers of X-linked retinitis pigmentosa A fluorophotometric determination of the permeability of the blood-retinal barrier

Larsen, Michael, Krogsaa, Bent, Warburg, Mette, Sørensen, Sven Asger, Lund-Andersen, Henrik

Journal:

Ophthalmic Genetics

Year:

1986

Language:

english

File:

PDF, 504 KB

english, 1986

46

Impaired Regulation of the Incretin Effect in Patients with Type 2 Diabetes

Bagger, Jonatan I., Knop, Filip K., Lund, Asger, Vestergaard, Henrik, Holst, Jens J., Vilsbøll, Tina

Journal:

Journal of Clinical Endocrinology & Metabolism

Year:

2011

Language:

english

File:

PDF, 451 KB

english, 2011

47

Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative

Brix, Anne Floor, Lunde, Asger

Journal:

AStA Advances in Statistical Analysis

Year:

2015

Language:

english

File:

PDF, 456 KB

english, 2015

48

Worry vs. knowledge about treatment-associated hypoglycaemia and weight gain in type 2 diabetic patients on metformin and/or sulphonylurea

Lund, Asger, Knop, Filip K.

Journal:

Current Medical Research and Opinion

Year:

2012

Language:

english

File:

PDF, 340 KB

english, 2012

49

Evidence of Extrapancreatic Glucagon Secretion in Man

Lund, Asger, Bagger, Jonatan I., Wewer Albrechtsen, Nicolai J., Christensen, Mikkel, Grøndahl, Magnus, Hartmann, Bolette, Mathiesen, Elisabeth R., Hansen, Carsten P., Storkholm, Jan H., van Hall, Gerr

Journal:

Year:

2015

Language:

english

File:

PDF, 1.27 MB

english, 2015

50

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard

Journal:

Year:

2008

Language:

english

File:

PDF, 5.83 MB

english, 2008