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subject:"Volatility"
subject:"Stochastic process"
~subject:"Bayes-Statistik"
~person:"Andersen, Torben"
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Volatility
Stochastic process
Bayes-Statistik
Estimation theory
20
Schätztheorie
20
Time series analysis
12
Zeitreihenanalyse
12
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10
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Andersen, Torben
Koopman, Siem Jan
28
Phillips, Peter C. B.
27
Koop, Gary
26
Todorov, Viktor
19
Tsionas, Efthymios G.
19
Fernández-Villaverde, Jesús
18
Schorfheide, Frank
18
Li, Jia
17
Bauwens, Luc
16
Kumar, Dilip
16
Tauchen, George Eugene
16
Kohn, Robert
15
Li, Yingying
15
Teräsvirta, Timo
15
Zhang, Xibin
15
Maheswaran, S.
14
Brandt, Michael W.
13
Lucas, André
13
Sentana, Enrique
13
Ardia, David
12
Chaturvedi, Anoop
12
Diebold, Francis X.
12
Gao, Jiti
12
Hafner, Christian M.
12
Kim, Donggyu
12
McAleer, Michael
12
Shin, Minchul
12
Strachan, Rodney W.
12
Swanson, Norman R.
12
Zhang, Xinyu
12
Del Negro, Marco
11
Ghysels, Eric
11
Härdle, Wolfgang
11
Mancino, Maria Elvira
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Martin, Gael M.
11
Matlin, Ethan
11
Reiß, Markus
11
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Journal of econometrics
6
CREATES research paper
2
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
1
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ECONIS (ZBW)
11
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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 VAR economies
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
-
2018
Persistent link: https://www.econbiz.de/10011797682
Saved in:
5
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:
6
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:
7
Duration-based volatility estimation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2009
Persistent link: https://www.econbiz.de/10003854415
Saved in:
8
Realized volatility and multipower variation
Andersen, Torben
;
Todorov, Viktor
-
2009
Persistent link: https://www.econbiz.de/10003892558
Saved in:
9
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:
10
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:
11
Volatility
Andersen, Torben
-
1992
Persistent link: https://www.econbiz.de/10000914157
Saved in:
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