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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

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

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

Cross-Sectional Dispersion of Risk in Trading Time

Andersen, Torben - 2019

We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of the returns increasing to infinity, while the time span of the data remains fixed, and the...

Persistent link: https://www.econbiz.de/10012480274