Michiel De Pooter

Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

Martin Martens, Dick van Dijk, Michiel De Pooter · International Journal of Forecasting · 2009 · 161 citations

Economics, Volatility Modeling, Financial Economics +10

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?

Michiel De Pooter, Martin Martens, Dick van Dijk · Econometric Reviews · 2008 · 127 citations

Portfolio Optimization, Asset Pricing, High-frequency Intraday Data +13

The Liquidity Effects of Official Bond Market Intervention

Michiel De Pooter, Robert F. Martin, Seth Pruitt · Journal of Financial and Quantitative Analysis · 2018 · 71 citations

Empirical Finance, Liquidity Effects, Liquidity +17

Unlocking the Treasury Market through TRACE

Michiel De Pooter, Dobrislav Dobrev, Doug Brain et al. · FEDS Notes · 2018 · 67 citations · Full text

Financial System, Economics, Monetary Policy +13

Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

Martin Martens, Dick van Dijk, Michiel De Pooter · RePEc: Research Papers in Economics · 2004 · 47 citations

Volatility Modeling, Engineering, Linear Arfima Model +16