2026 Asger Lunde: Economics and Finance Researcher – H-Index, Publications & Awards

Discipline name	D-Index	World Ranking	Current World Ranking	National Ranking	Current National Ranking	Publications	Citations
Economics and Finance	39	2345	2120	12	12	107	16223

Asger Lunde publication distribution in Economics and Finance in 2026

The chart shows the distribution of publications by all Research.com ranked scientists in the field of Economics and Finance in 2026. The highlighted bar marks where Asger Lunde sits on this spectrum.

42 publications 521+

This scientist: 107 publications — 18th percentile

18% of scientists in this discipline score the same or lower.

The last bar groups every scientist with 521 publications or more.

Asger Lunde D-index placement in Economics and Finance in 2026

The chart shows the D-index (discipline H-index) distribution of Economics and Finance scientists ranked by Research.com in 2026. The highlighted bar marks where Asger Lunde sits on this spectrum.

30 D-Index 101+

This scientist: 39 D-Index — 38th percentile

38% of scientists in this discipline score the same or lower.

The last bar groups every scientist with 101 D-Index or more.

Overview

Asger Lunde is affiliated with Aarhus University in Denmark and focuses on research primarily within the fields of Economics, Econometrics, and Finance, with additional work in Decision Sciences. Their research encompasses a range of subfields including Economics and Econometrics, Finance, Management Science and Operations Research, General Economics, Econometrics and Finance, as well as Renewable Energy, Sustainability and the Environment.

The scientist's research topics include Market Dynamics and Volatility, Financial Risk and Volatility Modeling, Stock Market Forecasting Methods, Financial Markets and Investment Strategies, Complex Systems and Time Series Analysis, Monetary Policy and Economic Impact, and Forecasting Techniques and Applications.

Recent publications by Asger Lunde demonstrate engagement with journals known for quantitative finance and econometrics, including:

"Picking funds with confidence," 2020, Journal of Financial Economics
"News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*," 2020, Journal of Financial Econometrics
"Decoupling the Short- and Long-Term Behavior of Stochastic Volatility," 2020, Journal of Financial Econometrics
"A Multivariate Realized GARCH Model," 2020, arXiv (Cornell University)
"Including news data in forecasting macro economic performance of China," 2020, Computational Management Science

Frequent co-authors in their research work include:

Mikkel Bennedsen
Niels S. Grønborg
Mikko S. Pakkanen
Ilya Archakov
Peter Reinhard Hansen

The main publication venues where Asger Lunde's work has appeared prominently are:

Journal of Financial Econometrics
Journal of Econometrics
arXiv (Cornell University)
Journal of Financial Economics
Computational Management Science

Best Publications

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

Peter Reinhard Hansen;Asger Lunde

2531
Citations
The Model Confidence Set

Peter R. Hansen;Asger Lunde;James M. Nason

2386
Citations
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise ∗

Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

1741
Citations
Realized Variance and Market Microstructure Noise

Peter R Hansen;Asger Lunde

1593
Citations
Realized kernels in practice: trades and quotes

O. E. Barndorff‐Nielsen;P. Reinhard Hansen;A. Lunde;N. Shephard

847
Citations
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

768
Citations
Consistent ranking of volatility models

Peter Reinhard Hansen;Asger Lunde

487
Citations
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets

Asger Lunde;Allan Timmermann

397
Citations
A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Peter Reinhard Hansen;Asger Lunde

379
Citations
Choosing the best volatility models: the model confidence set approach

Peter Reinhard Hansen;Asger Lunde;James M. Nason

266
Citations
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise

Valeri Voev;Asger Lunde

240
Citations
Realized Variance and Market Microstructure Noise

Peter Reinhard Hansen;Peter Reinhard Hansen;Peter Reinhard Hansen;Asger Lunde

239
Citations
A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?

Peter Reinhard Hansen;Peter Reinhard Hansen;Peter Reinhard Hansen;Asger Lunde

227
Citations
Realised Kernels in Practice: Trades and Quotes

Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Peter Reinhard Hansen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

205
Citations
Trades and Quotes: A Bivariate Point Process

Robert F. Engle;Asger Lunde

194
Citations
Hybrid scheme for Brownian semistationary processes

Mikkel Bennedsen;Asger Lunde;Mikko S. Pakkanen;Mikko S. Pakkanen

178
Citations
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY

Peter Reinhard Hansen;Asger Lunde;Valeri Voev;Valeri Voev

168
Citations
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility

Mikkel Bennedsen;Asger Lunde;Mikko S Pakkanen

168
Citations
Subsampling realised kernels

Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

165
Citations
The NIG‐S&ARCH model: a fat‐tailed, stochastic, and autoregressive conditional heteroskedastic volatility model

Morten Berg Jensen;Asger Lunde

162
Citations
Testing the Significance of Calendar Effects

Peter Hansen;Asger Lunde

156
Citations
Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise

Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Peter Reinhard Hansen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

142
Citations
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Peter Reinhard Hansen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

48
Citations

Frequent Co-Authors

Peter Reinhard Hansen University of North Carolina at Chapel Hill

Neil Shephard Harvard University

Allan Timmermann University of California, San Diego

Robert F. Engle New York University

Sébastien Laurent Aix-Marseille University

Peter Christoffersen University of Toronto

Russ Wermers University of Maryland, College Park

Ole Bernt Fasmer University of Bergen

Hagop S. Akiskal University of California, San Diego

John R. Kelsoe University of California, San Diego

External Links

Personal website of Asger Lunde Google Scholar page

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