Daniel J. Pastor

Economics and Econometrics · 2018

A researcher in the Science corpus: 1 paper; trusts 2 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

Whom Daniel J. Pastor trusts

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

  1. Stephen J. Taylor (in Finance)
  2. Ser-Huang Poon (in Economics and Econometrics)

Papers from Daniel J. Pastor's perspective

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

  1. Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns
  2. Generalized autoregressive conditional heteroskedasticity
  3. A Reality Check for Data Snooping
  4. A Simple Long Memory Model of Realized Volatility
  5. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
  6. Estimating Daily Volatility in Financial Markets Utilizing Intraday Data
  7. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
  8. Asymptotic Inference about Predictive Ability
  9. Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
  10. The stationary bootstrap

Their papers