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accessRights:"restricted"
subject:"Zeitreihenanalyse"
~person:"Andersen, Torben"
~person:"McElroy, Tucker"
~subject:"Measurement"
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Zeitreihenanalyse
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12
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5
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Andersen, Torben
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10
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10
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7
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7
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6
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6
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6
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6
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6
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6
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6
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6
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6
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5
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5
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5
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5
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5
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4
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4
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
3
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
4
Testing collinearity of vector time series
McElroy, Tucker
;
Jach, Agnieszka
- In:
The econometrics journal
22
(
2019
)
2
,
pp. 97-116
Persistent link: https://www.econbiz.de/10012166700
Saved in:
5
Subsampling inference for the autocorrelations of GARCH processes
McElroy, Tucker
;
Jach, Agnieszka
- In:
Journal of financial econometrics
17
(
2019
)
3
,
pp. 495-515
Persistent link: https://www.econbiz.de/10012054818
Saved in:
6
Multistep ahead forecasting of vector time series
McElroy, Tucker
;
McCracken, Michael W.
- In:
Econometric reviews
36
(
2017
)
5
,
pp. 495-513
Persistent link: https://www.econbiz.de/10011795256
Saved in:
7
Signal extraction revision variances as a goodness-of-fit measure
McElroy, Tucker
;
Wildi, Marc
- In:
Journal of time series econometrics
2
(
2010
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10009623322
Saved in:
8
Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2009
Persistent link: https://www.econbiz.de/10003909988
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