M. D. Pooter

Finance · 2007–2009

A researcher in the Science corpus: 3 papers; trusts 19 researchers and is trusted by 5 researchers here, as inferred from the citation graph.

Subfields

• Finance — 56 citations into it; #6,553 of 10,518 by trust here, #4,371 by citations
• Economics and Econometrics — 52 citations into it; #14,253 of 23,481 by trust here, #10,872 by citations

Whom M. D. Pooter trusts overall

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

1. Halbert White
2. G. Duffee
3. Glenn D. Rudebusch
4. Takaki Hayashi
5. Tao Wu
6. P. R. Hansen
7. Torben G. Andersen
8. F. Bandi
9. Tim Bollerslev
10. Ole E. Barndorff-Nielsen

Who trusts M. D. Pooter overall

1. Nikolaus Hautsch
2. S. J. Koopman
3. Lada M. Kyj
4. Michael Mcaleer

Papers from M. D. Pooter's perspective

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

1. Term premia and interest rate forecasts in affine models
2. A Simple Long Memory Model of Realized Volatility
3. A Reality Check for Data Snooping
4. On covariance estimation of non-synchronously observed diffusion processes
5. A MACRO-FINANCE MODEL OF THE TERM STRUCTURE, MONETARY POLICY AND THE ECONOMY*
6. Modelling daily value-at-risk using realized volatility and arch type models
7. Forecasting Daily Variability of the S&P 100 Stock Index Using Historical, Realised and Implied Volatility Measurements
8. Detecting multiple breaks in financial market volatility dynamics
9. Generalized autoregressive conditional heteroskedasticity
10. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation

Their papers

• Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? (2008) — 135 citations
• Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting Performance (2007) — 148 citations
• Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements (2009) — 157 citations