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subject:"USA"
~person:"Andersen, Torben"
~subject:"Volatilität"
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USA
Volatilität
Time series analysis
31
Zeitreihenanalyse
31
Volatility
24
Theorie
14
Theory
14
Capital income
13
Kapitaleinkommen
13
Estimation theory
12
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12
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10
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10
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9
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9
Börsenkurs
8
Share price
8
Electronic trading
4
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4
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4
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4
United States
4
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3
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3
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3
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3
US dollar
3
US-Dollar
3
1986-1996
2
1987-1992
2
ARCH model
2
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2
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English
24
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Andersen, Torben
Gil-Alaña, Luis A.
106
Caporale, Guglielmo Maria
97
Koopman, Siem Jan
63
McAleer, Michael
57
Gupta, Rangan
56
Stock, James H.
36
Lucas, André
33
Watson, Mark W.
33
Bollerslev, Tim
32
Härdle, Wolfgang
32
Lux, Thomas
32
Franses, Philip Hans
28
Dijk, Dick van
26
Pesaran, M. Hashem
25
Tauchen, George Eugene
25
Diebold, Francis X.
24
Engle, Robert F.
21
Swanson, Norman R.
21
Chan, Joshua
20
Lanne, Markku
20
Marcellino, Massimiliano
20
Sibbertsen, Philipp
20
Teräsvirta, Timo
20
Todorov, Viktor
20
Hautsch, Nikolaus
19
Miller, Stephen M.
19
Hafner, Christian M.
18
Piger, Jeremy Max
18
Asai, Manabu
17
Chang, Chia-Lin
17
Rodriguez, Gabriel
17
Taylor, Robert
17
Blazsek, Szabolcs
16
Bos, Charles S.
16
Caporin, Massimiliano
16
Dijk, Herman K. van
16
Hallin, Marc
16
Kapetanios, George
16
Kim, Donggyu
16
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The Wharton Financial Institutions Center
1
Université de Montréal / Département de sciences économiques
1
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Journal of econometrics
5
CFS working paper series
2
CEFIR and NES working papers
1
CREATES research paper
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Global COE Hi-Stat discussion paper series
1
Handbook of financial time series
1
International economic review
1
International finance discussion papers
1
Journal of applied econometrics
1
Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society
1
NES working paper series : working paper
1
Symposium on forecasting and empirical methods in macroeconomics and finance
1
Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
1
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ECONIS (ZBW)
24
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1
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24
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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
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:
3
Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben
;
Bondarenko, Oleg
;
Kyle, Albert S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012494219
Saved in:
4
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:
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
Intraday trading invariance in the E-mini S&P 500 futures market
Andersen, Torben
;
Bondarenko, Oleg
;
Kyle, Albert S.
; …
-
2016
Persistent link: https://www.econbiz.de/10011633490
Saved in:
7
A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2013
Persistent link: https://www.econbiz.de/10009735127
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
Realized volatility
Andersen, Torben
(
contributor
);
Benzoni, Luca
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003786282
Saved in:
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