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Timmermann, Allan
63
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11
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8
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Journal of econometrics
17
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
International journal of forecasting
6
The journal of finance : the journal of the American Finance Association
5
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4
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3
Nationaløkonomisk tidsskrift
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2
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2
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Consistent ranking of volatility models
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of econometrics
131
(
2006
)
1
,
pp. 97-122
Persistent link: https://www.econbiz.de/10006747797
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2
Choosing the Best Volatility Models: The Model Confidence Set Approach
Hansen, Peter Reinhard
;
Lunde, Asger
;
Nason, James M.
- In:
Oxford bulletin of economics and statistics
65
(
2003
),
pp. 839-862
Persistent link: https://www.econbiz.de/10006431521
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3
A Test for Superior Predictive Ability
Hansen, Peter Reinhard
- In:
Journal of business & economic statistics : JBES ; a …
23
(
2005
)
4
,
pp. 365-380
Persistent link: https://www.econbiz.de/10008223086
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4
Granger's representation theorem: A closed-form expression for I(1) processes
Hansen, Peter Reinhard
- In:
The econometrics journal
8
(
2005
)
1
,
pp. 23-38
Persistent link: https://www.econbiz.de/10007439983
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5
Realized GARCH: a joint model for returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Shek, Howard Howan
- In:
Journal of applied econometrics
27
(
2012
)
6
,
pp. 877-907
Persistent link: https://www.econbiz.de/10010022052
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6
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 149-170
Persistent link: https://www.econbiz.de/10008997629
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7
Subsampling realised kernels
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 204-220
Persistent link: https://www.econbiz.de/10008770543
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8
Structural changes in the cointegrated vector autoregressive model
Hansen, Peter Reinhard
- In:
Journal of econometrics
114
(
2003
)
2
,
pp. 261-296
Persistent link: https://www.econbiz.de/10006763073
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9
Term structure of risk under alternative econometric specifications
Guidolin, Massimo
;
Timmermann, Allan
- In:
Journal of econometrics
131
(
2006
)
1
,
pp. 285-308
Persistent link: https://www.econbiz.de/10006747791
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10
Small sample properties of forecasts from autoregressive models under structural breaks
Pesaran, M.Hashem
;
Timmermann, Allan
- In:
Journal of econometrics
129
(
2005
)
1
,
pp. 183-218
Persistent link: https://www.econbiz.de/10006750357
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