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subject:"Großbritannien"
subject:"Volatilität"
~person:"Andersen, Torben"
~subject:"Statistical inference"
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Großbritannien
Volatilität
Statistical inference
Estimation theory
20
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12
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12
Volatility
10
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Andersen, Torben
Andrews, Donald W. K.
40
Chernozhukov, Victor
31
Pesaran, M. Hashem
21
Koopman, Siem Jan
19
Shi, Xiaoxia
19
Todorov, Viktor
19
Li, Jia
18
Li, Yingying
17
Phillips, Peter C. B.
17
Kumar, Dilip
16
Härdle, Wolfgang
15
Teräsvirta, Timo
15
Bugni, Federico A.
14
Diebold, Francis X.
14
Maheswaran, S.
14
Otsu, Taisuke
14
Tauchen, George Eugene
14
Brandt, Michael W.
13
Fernández-Villaverde, Jesús
13
Ghysels, Eric
13
Inoue, Atsushi
13
Linton, Oliver
13
Minford, Patrick
13
Xu, Yongdeng
13
Dufour, Jean-Marie
12
Fan, Jianqing
12
Hafner, Christian M.
12
Kilian, Lutz
12
Kim, Donggyu
12
Canay, Ivan A.
11
Cheng, Xu
11
Gao, Jiti
11
Hansen, Christian Bailey
11
Jordà, Òscar
11
Kristensen, Dennis
11
Mancino, Maria Elvira
11
Nielsen, Morten Ørregaard
11
Belloni, Alexandre
10
Gouriéroux, Christian
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Journal of econometrics
6
CREATES research paper
2
Econometric theory
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)
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Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
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ECONIS (ZBW)
12
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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 local spectrum inference for predictive return regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Econometric theory
38
(
2022
)
6
,
pp. 1253-1307
Persistent link: https://www.econbiz.de/10013539347
Saved in:
5
Consistent inference for predictive regressions in persistent VAR economies
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
-
2018
Persistent link: https://www.econbiz.de/10011797682
Saved in:
6
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:
7
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:
8
Duration-based volatility estimation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2009
Persistent link: https://www.econbiz.de/10003854415
Saved in:
9
Realized volatility and multipower variation
Andersen, Torben
;
Todorov, Viktor
-
2009
Persistent link: https://www.econbiz.de/10003892558
Saved in:
10
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:
1
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