Lada M. Kyj

Finance · 2012–2013

A researcher in the Science corpus: 2 papers; trusts 21 researchers and is trusted by 3 researchers here, as inferred from the citation graph.

Subfields

• Finance — 52 citations into it; #8,133 of 10,518 by trust here, #6,960 by citations
• Economics and Econometrics — 44 citations into it
• Statistics and Probability — 12 citations into it; #10,256 of 12,932 by trust here, #8,279 by citations

Whom Lada M. Kyj trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Ole E. Barndorff-Nielsen
2. Robert F. Engle
3. N. Shephard
4. P. R. Hansen
5. Torben G. Andersen
6. Fulvio Corsi
7. Iain M. Johnstone
8. L. Laloux
9. Asger Lunde
10. Olivier Ledoit

Who trusts Lada M. Kyj overall

1. Asger Lunde
2. Xin Jin

Papers from Lada M. Kyj's perspective

Ordered by how strongly the researchers Lada M. Kyj trusts endorse each paper. Same corpus, a different order for every researcher.

1. Separating Microstructure Noise from Volatility
2. Dynamic Conditional Correlation
3. Power and bipower variation with stochastic volatility and jumps
4. Realized kernels in practice: trades and quotes
5. High dimensional covariance matrix estimation using a factor model
6. Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise
7. RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
8. On the distribution of the largest eigenvalue in principal components analysis
9. Modelling and Forecasting Multivariate Realized Volatility
10. A Simple Approximate Long-Memory Model of Realized Volatility

Their papers

• A blocking and regularization approach to high dimensional realized covariance estimation (2012) — 123 citations
• Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? (2013) — 88 citations