Stephen Fagan

Finance · 2014

A researcher in the Science corpus: 1 paper; trusts 19 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

Whom Stephen Fagan trusts overall

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

  1. Ole E. Barndorff-Nielsen
  2. Michael Johannes
  3. Torben G. Andersen
  4. P. R. Hansen
  5. Mark Podolskij
  6. N. Shephard
  7. Jean Jacod
  8. Suzanne S. Lee
  9. George J. Jiang
  10. Per Aslak Mykland

Papers from Stephen Fagan's perspective

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

  1. Power and bipower variation with stochastic volatility and jumps
  2. The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models
  3. Realized Variance and Market Microstructure Noise
  4. MODELING AND FORECASTING REALIZED VOLATILITY
  5. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (Review of Economics and Statistics)
  6. Testing for Jumps in a Discretely Observed Process
  7. Microstructure Noise in the Continuous Case: The Pre-Averaging Approach ∗
  8. Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach
  9. Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps
  10. Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics

Their papers