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subject:"USA"
type:"article"
~person:"Andersen, Torben"
~subject:"Capital income"
~subject:"Zeitreihenanalyse"
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Andersen, Torben
Gupta, Rangan
108
Gil-Alaña, Luis A.
98
Zaremba, Adam
58
Caporale, Guglielmo Maria
55
Wohar, Mark E.
48
Bahmani-Oskooee, Mohsen
44
Tiwari, Aviral Kumar
40
McMillan, David G.
36
Bollerslev, Tim
29
Chang, Tsangyao
29
Moosa, Imad A.
26
Narayan, Paresh Kumar
26
Pierdzioch, Christian
26
Balcilar, Mehmet
25
Todorov, Viktor
22
Apergēs, Nikolaos
21
Bali, Turan G.
21
Salisu, Afees A.
20
Brooks, Robert
19
Cakici, Nusret
19
Jawadi, Fredj
19
Ma, Feng
19
McAleer, Michael
19
Wang, Yudong
19
Koopman, Siem Jan
18
Miller, Stephen M.
17
Payne, James E.
17
Serletis, Apostolos
17
Bouri, Elie
16
Kumar, Dilip
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Lee, Chien-chiang
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Sehgal, Sanjay
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Xuan Vinh Vo
16
Belke, Ansgar
15
Bohl, Martin T.
15
Demirer, Rıza
15
Engle, Robert F.
15
Koop, Gary
15
Tauchen, George Eugene
15
Zhang, Yaojie
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Journal of econometrics
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Economic inquiry : journal of the Western Economic Association International
1
International economic review
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1
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1
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1
Symposium on forecasting and empirical methods in macroeconomics and finance
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The American economic review
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The risks of financial institutions : [...papers and comments presented at a conference held in Woodstock, Vermont, 22-23 October 2004]
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ECONIS (ZBW)
14
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
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:
3
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
Saved in:
4
The pricing of tail risk and the equity premium : evidence from international option markets
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10012262503
Saved in:
5
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of financial economics
117
(
2015
)
3
,
pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
Saved in:
6
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben
;
Bollerslev, Tim
;
Frederiksen, Per
; …
- In:
Journal of applied econometrics
25
(
2010
)
2
,
pp. 233-261
Persistent link: https://www.econbiz.de/10008667607
Saved in:
7
Practical volatility and correlation modeling for financial market risk management
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
- In:
The risks of financial institutions : [...papers and …
,
(pp. 513-548)
.
2006
Persistent link: https://www.econbiz.de/10003445632
Saved in:
8
Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
1
,
pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
Saved in:
9
A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
- In:
The American economic review
95
(
2005
)
2
,
pp. 398-404
Persistent link: https://www.econbiz.de/10003214098
Saved in:
10
Modeling and forecasting realized volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
2
,
pp. 579-625
Persistent link: https://www.econbiz.de/10001750369
Saved in:
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