Pawel Janus

Finance · 2014–2017

A researcher in the Science corpus: 3 papers; trusts 34 researchers and is trusted by 3 researchers here, as inferred from the citation graph.

Subfields

• Finance — 67 citations into it
• Economics and Econometrics — 54 citations into it; #17,313 of 23,481 by trust here, #19,308 by citations
• Statistics and Probability — 10 citations into it
• Artificial Intelligence — 5 citations into it
• Management Science and Operations Research — 5 citations into it

Whom Pawel Janus trusts overall

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

1. Robert F. Engle
2. Ole E. Barndorff-Nielsen
3. P. R. Hansen
4. N. Shephard
5. Andrew S. Harvey
6. Andrew J. Patton
7. Drew D. Creal
8. Tim Bollerslev
9. Torben G. Andersen
10. R. Giacomini

Who trusts Pawel Janus overall

1. A. Opschoor
2. André Lucas

Papers from Pawel Janus's perspective

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

1. Dynamic Conditional Correlation
2. New frontiers for arch models
3. Generalized autoregressive conditional heteroskedasticity
4. Realized Variance and Market Microstructure Noise
5. MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a
6. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
7. Tests of Conditional Predictive Ability
8. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
9. Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods
10. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models

Their papers

• Realized Wishart-Garch: A Score-Driven Multi-Asset Volatility Model (2016) — 57 citations
• Long Memory Dynamics for Multivariate Dependence under Heavy Tails (2014) — 58 citations
• New HEAVY Models for Fat-Tailed Realized Covariances and Returns (2017) — 88 citations