Ilya Archakov

Personal Details

First Name:	Ilya
Middle Name:
Last Name:	Archakov
Suffix:
RePEc Short-ID:	par639
	[This author has chosen not to make the email address public]
	https://homepage.univie.ac.at/ilya.archakov

Affiliation

Department of Economics
York University

Toronto, Canada
http://econ.laps.yorku.ca/
RePEc:edi:dyorkca (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Ilya Archakov & Peter Reinhard Hansen, 2020. "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," Papers 2012.02698, arXiv.org, revised Nov 2021.
   • Ilya Archakov & Peter Reinhard Hansen, 2024. "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," The Review of Economics and Statistics, MIT Press, vol. 106(4), pages 1099-1113, July.

   Cited by:

   1. Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020. "A Multivariate Realized GARCH Model," Papers 2012.02708, arXiv.org, revised May 2024.

2. Ilya Archakov & Peter Reinhard Hansen, 2020. "A New Parametrization of Correlation Matrices," Papers 2012.02395, arXiv.org.
   • Ilya Archakov & Peter Reinhard Hansen, 2021. "A New Parametrization of Correlation Matrices," Econometrica, Econometric Society, vol. 89(4), pages 1699-1715, July.

   Cited by:

   1. K. B. Gubbels & J. Y. Ypma & C. W. Oosterlee, 2023. "Principal Component Copulas for Capital Modelling," Papers 2312.13195, arXiv.org.
   2. Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2024. "A new method for generating random correlation matrices," The Econometrics Journal, Royal Economic Society, vol. 27(2), pages 188-212.
      • Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2022. "A New Method for Generating Random Correlation Matrices," Papers 2210.08147, arXiv.org.
   3. Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.
   4. Ilya Archakov & Peter Reinhard Hansen, 2024. "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," The Review of Economics and Statistics, MIT Press, vol. 106(4), pages 1099-1113, July.
      • Ilya Archakov & Peter Reinhard Hansen, 2020. "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," Papers 2012.02698, arXiv.org, revised Nov 2021.
   5. Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
   6. Hafner, Christian M. & Wang, Linqi, 2023. "A dynamic conditional score model for the log correlation matrix," Journal of Econometrics, Elsevier, vol. 237(2).
   7. Ayed Alwadain & Rao Faizan Ali & Amgad Muneer, 2023. "Estimating Financial Fraud through Transaction-Level Features and Machine Learning," Mathematics, MDPI, vol. 11(5), pages 1-15, February.
   8. Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2021. "Macroeconomic Forecasting and Variable Ordering in Multivariate Stochastic Volatility Models," Working Papers 21-21, Federal Reserve Bank of Philadelphia.
      • Arias, Jonas E. & Rubio-Ramírez, Juan F. & Shin, Minchul, 2023. "Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1054-1086.
   9. Tong, Chen & Hansen, Peter Reinhard, 2023. "Characterizing correlation matrices that admit a clustered factor representation," Economics Letters, Elsevier, vol. 233(C).
      • Chen Tong & Peter Reinhard Hansen, 2023. "Characterizing Correlation Matrices that Admit a Clustered Factor Representation," Papers 2308.05895, arXiv.org.
   10. Jean-Claude Hessing & Rutger-Jan Lange & Daniel Ralph, 2022. "This article establishes the Poisson optional stopping times (POST) method by Lange et al. (2020) as a near-universal method for solving liquidity-constrained American options, or, equivalently, penal," Tinbergen Institute Discussion Papers 22-007/IV, Tinbergen Institute.
   11. Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020. "A Multivariate Realized GARCH Model," Papers 2012.02708, arXiv.org, revised May 2024.
   12. Dilip B. Madan & King Wang, 2022. "Two sided efficient frontiers at multiple time horizons," Annals of Finance, Springer, vol. 18(3), pages 327-353, September.

3. Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020. "A Multivariate Realized GARCH Model," Papers 2012.02708, arXiv.org, revised May 2024.

   Cited by:

   1. Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf, 2020. "Large dynamic covariance matrices: enhancements based on intraday data," ECON - Working Papers 356, Department of Economics - University of Zurich, revised Jan 2022.
      • De Nard, Gianluca & Engle, Robert F. & Ledoit, Olivier & Wolf, Michael, 2022. "Large dynamic covariance matrices: Enhancements based on intraday data," Journal of Banking & Finance, Elsevier, vol. 138(C).
   2. Emilija Dzuverovic & Matteo Barigozzi, 2023. "Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices," Papers 2305.08488, arXiv.org, revised Jul 2024.
   3. Hafner, Christian M. & Wang, Linqi, 2023. "A dynamic conditional score model for the log correlation matrix," Journal of Econometrics, Elsevier, vol. 237(2).
   4. Ilya Archakov & Peter Reinhard Hansen, 2020. "A New Parametrization of Correlation Matrices," Papers 2012.02395, arXiv.org.
      • Ilya Archakov & Peter Reinhard Hansen, 2021. "A New Parametrization of Correlation Matrices," Econometrica, Econometric Society, vol. 89(4), pages 1699-1715, July.
   5. Tong, Chen & Hansen, Peter Reinhard, 2023. "Characterizing correlation matrices that admit a clustered factor representation," Economics Letters, Elsevier, vol. 233(C).
      • Chen Tong & Peter Reinhard Hansen, 2023. "Characterizing Correlation Matrices that Admit a Clustered Factor Representation," Papers 2308.05895, arXiv.org.

4. Peter Reinhard Hansen & Guillaume Horel & Asger Lunde & Ilya Archakov, 2015. "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data," CREATES Research Papers 2015-19, Department of Economics and Business Economics, Aarhus University.

   Cited by:

   1. Siem Jan Koopman & Rutger Lit & Andre Lucas, 2015. "Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model," Tinbergen Institute Discussion Papers 15-076/IV/DSF94, Tinbergen Institute.
      • Siem Jan Koopman & Rutger Lit & André Lucas, 2017. "Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(520), pages 1490-1503, October.
   2. Bian, Siyu & Serra, Teresa & Garcia, Philip & Irwin, Scott, 2022. "New evidence on market response to public announcements in the presence of microstructure noise," European Journal of Operational Research, Elsevier, vol. 298(2), pages 785-800.

Articles

1. Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2022. "Local mispricing and microstructural noise: A parametric perspective," Journal of Econometrics, Elsevier, vol. 230(2), pages 510-534.

   Cited by:

   1. Gustavo Fruet Dias & Karsten Schweiker, 2024. "Integrated Variance Estimation for Assets Traded in Multiple Venues," University of East Anglia School of Economics Working Paper Series 2024-04, School of Economics, University of East Anglia, Norwich, UK..
   2. Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024. "Jump detection in high-frequency order prices," Papers 2403.00819, arXiv.org.

2. Torben Andersen & Ilya Archakov & Leon Grund & Nikolaus Hautsch & Yifan Li & Sergey Nasekin & Ingmar Nolte & Manh Cuong Pham & Stephen Taylor & Viktor Todorov, 2021. "A Descriptive Study of High-Frequency Trade and Quote Option Data [Stealth Trading in Options Markets]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 128-177.

   Cited by:

   1. Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2023. "Stock illiquidity and option returns," Journal of Financial Markets, Elsevier, vol. 63(C).

3. Ilya Archakov & Peter Reinhard Hansen, 2021. "A New Parametrization of Correlation Matrices," Econometrica, Econometric Society, vol. 89(4), pages 1699-1715, July.
   • Ilya Archakov & Peter Reinhard Hansen, 2020. "A New Parametrization of Correlation Matrices," Papers 2012.02395, arXiv.org.
   See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-ECM: Econometrics (5) 2015-05-09 2020-12-21 2020-12-21 2022-11-21 2024-07-22. Author is listed
2. NEP-ETS: Econometric Time Series (3) 2015-05-09 2020-12-21 2024-07-22. Author is listed
3. NEP-RMG: Risk Management (2) 2015-05-09 2024-07-22. Author is listed
4. NEP-MST: Market Microstructure (1) 2015-05-09
5. NEP-ORE: Operations Research (1) 2015-05-09

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