Dr Aleksey Kolokolov

Lecturer in Finance

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Publications

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2020
Published
Statistical inferences for price staleness
Kolokolov, A., Livieri, G. & Pirino, D., 1 Sep 2020, In: Journal of Econometrics. 218, 1, p. 32-81 50 p.
Research output: Contribution to journal › Article › peer-review
DOI: 10.1016/j.jeconom.2020.01.021
E-pub ahead of print
Estimating Jump Activity Using Multipower Variation
Kolokolov, A., 25 Jun 2020, (E-pub ahead of print) In: Journal of Business and Economic Statistics.
Research output: Contribution to journal › Article › peer-review
DOI: 10.1080/07350015.2020.1784745
Published
Zeros
Kolokolov, A., Bandi, F., Renò, R. & Pirino, D., 8 May 2020, In: MANAGEMENT SCIENCE. 66, 8, p. 3466-3479 14 p.
Research output: Contribution to journal › Article › peer-review
DOI: 10.1287/mnsc.2019.3527
2018
Published
Efficient multipowers
Kolokolov, A. & Renò, R., 1 Sep 2018, In: Journal of Financial Econometrics. 16, 4, p. 629-659 31 p.
Research output: Contribution to journal › Article › peer-review
DOI: 10.1093/jjfinec/nbx018
2017
Published
Systemic co-jumps
Caporin, M., Kolokolov, A. & Renò, R., 1 Dec 2017, In: Journal of Financial Economics. 126, 3, p. 563-591 29 p.
Research output: Contribution to journal › Article › peer-review
DOI: 10.1016/j.jfineco.2017.06.016