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type_genre:"Article in journal"
~person:"Andersen, Torben"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Volatility
Zeitreihenanalyse
Theorie
16
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16
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15
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7
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7
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7
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7
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Andersen, Torben
Phillips, Peter C. B.
56
Franses, Philip Hans
55
Gil-Alaña, Luis A.
47
Gupta, Rangan
33
Taylor, Robert
32
McAleer, Michael
31
Koopman, Siem Jan
29
Perron, Pierre
29
Caporale, Guglielmo Maria
28
Ghysels, Eric
27
Koop, Gary
26
Leybourne, Stephen James
26
Harvey, Andrew C.
25
Lütkepohl, Helmut
24
Bollerslev, Tim
23
Granger, C. W. J.
23
Hecq, Alain W. J.
22
Herwartz, Helmut
22
Hong, Yongmiao
20
Newbold, Paul
20
Yu, Jun
20
Chan, Joshua
19
Engle, Robert F.
19
Hyndman, Rob J.
19
Swanson, Norman R.
19
Teräsvirta, Timo
19
Hassler, Uwe
18
Mills, Terence C.
18
Petropoulos, Fotios
18
Asai, Manabu
17
Hendry, David F.
17
Ruiz, Esther
17
Assimakopoulos, V.
16
Härdle, Wolfgang
16
Lucas, André
16
Marcellino, Massimiliano
16
Peña, Daniel
16
Renault, Eric
16
Diebold, Francis X.
15
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Journal of econometrics
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
International economic review
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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2
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1
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1
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ECONIS (ZBW)
16
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16
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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
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:
3
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Andersen, Torben
;
Bollerslev, Tim
;
Huang, Xin
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 176-189
Persistent link: https://www.econbiz.de/10009242526
Saved in:
4
Roughing it up : including jump components in the measurement, modeling, and forecasting of return volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
- In:
The review of economics and statistics
89
(
2007
)
4
,
pp. 701-720
Persistent link: https://www.econbiz.de/10003567164
Saved in:
5
Realized return volatility, asset pricing, and risk management
Andersen, Torben
;
Bollerslev, Tim
- In:
NBER reporter online
(
2006/2007
)
3
,
pp. 7-10
Persistent link: https://www.econbiz.de/10011366975
Saved in:
6
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:
7
Analytical evaluation of volatility forecasts
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
International economic review
45
(
2004
)
4
,
pp. 1079-1110
Persistent link: https://www.econbiz.de/10002427616
Saved in:
8
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:
9
The distribution of realized stock return volatility
Andersen, Torben
(
contributor
)
- In:
Journal of financial economics
61
(
2001
)
1
,
pp. 43-76
Persistent link: https://www.econbiz.de/10001592215
Saved in:
10
Some reflections on analysis of high-frequency data
Andersen, Torben
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
2
,
pp. 146-153
Persistent link: https://www.econbiz.de/10001469560
Saved in:
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