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subject:"Prognoseverfahren"
isPartOf:"Journal of econometrics"
~person:"Andersen, Torben"
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Prognoseverfahren
Estimation theory
7
Schätztheorie
7
Volatility
6
Volatilität
6
Time series analysis
5
Zeitreihenanalyse
5
Capital income
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Kapitaleinkommen
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Estimation
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Forecasting model
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Fractional integration
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Market microstructure noise
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Marktmikrostruktur
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Noise Trading
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Schätzung
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Statistical inference
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Stochastic volatility
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Volatility forecasting
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1954-1995
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Asymptotic bias
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Behavioural finance
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Börsenkurs
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Cointegration
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Contrarian trading
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Endogeneity bias
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Extreme return persistence
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Andersen, Torben
Lee, Ji Hyung
5
Taylor, Robert
4
Corradi, Valentina
3
Demetrescu, Matei
3
Georgiev, Iliyan
3
Kim, Donggyu
3
McCracken, Michael W.
3
Rodrigues, Paulo M. M.
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Tu, Yundong
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Cai, Zongwu
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Clark, Todd E.
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Fan, Jianqing
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Fan, Rui
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Hansen, Bruce E.
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Koopman, Siem Jan
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Ng, Serena
2
Rossi, Barbara
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Sekhposyan, Tatevik
2
Swanson, Norman R.
2
Athanasopoulos, George
1
Bai, Jushan
1
Bakalli, Gaetan
1
Baltagi, Badi H.
1
Bauwens, Luc
1
Bennedsen, Mikkel
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Blasques, Francisco
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Bollerslev, Tim
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Borowska, Agnieszka
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Chen, Haiqiang
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Cheng, Xu
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Chevillon, Guillaume
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Dai, Chaoxing
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DeJong, David Neil
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Dias, Gustavo Fruet
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Dijk, Herman K. van
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Journal of econometrics
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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
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