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subject:"Volatility"
~person:"Andersen, Torben"
~subject:"Estimation"
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Volatility
Estimation
Estimation theory
20
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10
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Andersen, Torben
Pesaran, M. Hashem
42
Gao, Jiti
41
Linton, Oliver
37
Kapetanios, George
31
Diebold, Francis X.
29
Koopman, Siem Jan
26
Cai, Zongwu
24
Härdle, Wolfgang
24
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23
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22
Swanson, Norman R.
21
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19
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18
Hsu, Yu-Chin
18
Tauchen, George Eugene
18
Fernández-Villaverde, Jesús
17
Li, Jia
17
Teräsvirta, Timo
17
Winkelmann, Rainer
17
Chudik, Alexander
16
Kumar, Dilip
16
Kumbhakar, Subal
16
Li, Yingying
16
Lütkepohl, Helmut
16
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16
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15
Ghysels, Eric
15
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15
Su, Liangjun
15
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14
Kim, Donggyu
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Pei, Zhuan
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Schorfheide, Frank
14
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13
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Journal of econometrics
6
CREATES research paper
1
Global COE Hi-Stat discussion paper series
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Special section on small-sample properties of generalized method of moments (GMM)
1
Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
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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
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
3
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:
4
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:
5
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
6
Duration-based volatility estimation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2009
Persistent link: https://www.econbiz.de/10003854415
Saved in:
7
Realized volatility and multipower variation
Andersen, Torben
;
Todorov, Viktor
-
2009
Persistent link: https://www.econbiz.de/10003892558
Saved in:
8
Estimating continuous-time stochastic volatility models of the short-term interest rate
Andersen, Torben
- In:
Journal of econometrics
77
(
1997
)
2
,
pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
Saved in:
9
GMM estimation of a stochastic volatility model : a Monte Carlo study
Andersen, Torben
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
3
,
pp. 328-352
Persistent link: https://www.econbiz.de/10001334392
Saved in:
10
Volatility
Andersen, Torben
-
1992
Persistent link: https://www.econbiz.de/10000914157
Saved in:
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