Marcel Scharth

Finance · 2011–2016

A researcher in the Science corpus: 4 papers; trusts 54 researchers and is trusted by 8 researchers here, as inferred from the citation graph.

Subfields

• Finance — 65 citations into it; #4,295 of 10,518 by trust here, #4,260 by citations
• Economics and Econometrics — 58 citations into it; #9,249 of 23,481 by trust here, #11,786 by citations
• Statistics and Probability — 18 citations into it
• Artificial Intelligence — 11 citations into it
• Management Science and Operations Research — 8 citations into it; #6,051 of 11,946 by trust here, #4,921 by citations

Whom Marcel Scharth trusts overall

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

1. Ole E. Barndorff-Nielsen
2. P. R. Hansen
3. Tim Bollerslev
4. Torben G. Andersen
5. N. Shephard
6. Robert F. Engle
7. Nicolas Chopin
8. J. Durbin
9. Asger Lunde
10. Christophe Andrieu

Who trusts Marcel Scharth overall

1. Makoto Takahashi
2. Stavros Degiannakis *
3. C. A. Naesseth
4. S. J. Koopman

Papers from Marcel Scharth's perspective

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

1. Generalized autoregressive conditional heteroskedasticity
2. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
3. A Simple Long Memory Model of Realized Volatility
4. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
5. Realized Variance and Market Microstructure Noise
6. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (Review of Economics and Statistics)
7. Dynamic Conditional Correlation
8. Separating Microstructure Noise from Volatility
9. Power and bipower variation with stochastic volatility and jumps
10. Estimating Daily Volatility in Financial Markets Utilizing Intraday Data

Their papers

• Modeling and predicting the CBOE market volatility index (2014) — 245 citations
• Importance Sampling Squared for Bayesian Inference in Latent Variable Models (2013) — 57 citations
• Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models (2016) — 139 citations
• The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures (2011) — 89 citations