- Voev, 2007, Integrated Covariance Estimation Using High-Frequency Data in the Presence of Noise (link to working paper version). Journal of Financial Econometrics 5, pp. 68-104 (with Asger Lunde).
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Voev, 2008, Dynamic Modelling of Large Dimensional Covariance Matrices, Recent Developments in High Frequency Financial Econometrics. L. Bauwens, W. Pohlmeier & D. Veredas (eds.), Studies in Empirical Economics, Springer, Berlin.
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Voev, 2009, Modelling and Forecasting Multivariate Realized Volatility. Journal of Applied Econometrics, forthcoming (with Roxana Chiriac).
