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Ilya Archakov
Ilya Archakov
University of Vienna
Adresse e-mail validée de univie.ac.at - Page d'accueil
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A new parametrization of correlation matrices
I Archakov, PR Hansen
Econometrica 89 (4), 1699-1715, 2021
602021
A multivariate realized GARCH model
I Archakov, PR Hansen, A Lunde
arXiv preprint arXiv:2012.02708, 2020
262020
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
202021
A canonical representation of block matrices with applications to covariance and correlation matrices
I Archakov, PR Hansen
Review of Economics and Statistics, 1-39, 2022
192022
Local mispricing and microstructural noise: A parametric perspective
TG Andersen, I Archakov, G Cebiroglu, N Hautsch
Journal of Econometrics 230 (2), 510-534, 2022
142022
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
62016
A new method for generating random correlation matrices
I Archakov, PR Hansen, Y Luo
The Econometrics Journal, utad027, 2023
32023
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
2023
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