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subject:"Großbritannien"
subject:"Volatilität"
~person:"Andersen, Torben"
~subject:"Theorie"
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Großbritannien
Volatilität
Theorie
Estimation theory
20
Schätztheorie
20
Time series analysis
12
Zeitreihenanalyse
12
Volatility
10
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Andersen, Torben
Härdle, Wolfgang
74
Phillips, Peter C. B.
59
Pesaran, M. Hashem
58
Gouriéroux, Christian
53
Andrews, Donald W. K.
44
Franses, Philip Hans
44
McAleer, Michael
42
Newey, Whitney K.
42
Swanson, Norman R.
42
Giles, David E. A.
35
Imbens, Guido
35
Diebold, Francis X.
33
Teräsvirta, Timo
32
Heckman, James J.
30
Horowitz, Joel
30
Robinson, Peter M.
30
Zakoïan, Jean-Michel
29
Baltagi, Badi H.
28
King, Maxwell L.
28
Kohn, Robert
27
Brännäs, Kurt
26
Dufour, Jean-Marie
26
Granger, C. W. J.
26
Li, Qi
26
Linton, Oliver
26
Lucas, André
26
Ohtani, Kazuhiro
26
Koopman, Siem Jan
25
Krämer, Walter
25
Maravall Herrero, Agustín
25
Bera, Anil K.
24
Ghysels, Eric
24
Stahlecker, Peter
24
Ullah, Aman
24
Winkelmann, Rainer
24
Monfort, Alain
23
Robert, Christian P.
23
Spokojnyj, Vladimir G.
23
Engle, Robert F.
22
Francq, Christian
22
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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
1
Source
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ECONIS (ZBW)
10
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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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