Research output per year
Research output per year
Personal profile
Overview
Aleksey Kolokolov is currently working as a lecturer in finance at the Alliance Manchester Business School. He is an experienced researcher with excellent record of publications in top journals including Journal of Financial Economics, Management Science and Journal of Econometrics. Aleksey obtained his Ph.D degree in Econometrics and Empirical Economics from the University of Rome "Tor Vergata" (Italy). His research interests lie primarily in the financial econometrics. His current research papers are dedicated to developing novel econometric methods for real-time and off-line detection of local trends in financial prices, flash crashes, asset price jumps and financial bubbles, and modelling the dynamics of cryptocurrencies and forecasting volatility of financial assets. Aleksey Kolokolov provide consultcy for industry professionals.
Research interests
Financial econometrics, high-frequency data analysis, asset price jumps, flash crashes, financial bubbles
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Research output
- 5 Article
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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
Open AccessFile158 Downloads (Pure) -
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
Open AccessFile40 Downloads (Pure) -
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
Open AccessFile170 Downloads (Pure) -
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
Open AccessFile121 Downloads (Pure) -
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
Open AccessFile356 Downloads (Pure)
Activities
- 1 Consultancy & Services
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Consultancy on factor based Risk Model for Portx Ltd
Aleksey Kolokolov (Consultant)
17 May 2022 → 31 Aug 2022Activity: Consultancy, spin-outs, CPD & licensing › Consultancy & Services