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GMM Estimation of a Stochastic...
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Time series analysis
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Andersen, Torben
39
Bollerslev, Tim
12
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11
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11
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6
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5
Andersen, Torben G.
4
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4
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4
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4
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3
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3
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2
Ho, Mun
2
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2
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ECONIS (ZBW)
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1
Some reflections on analysis of high-frequency data
Andersen, Torben
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
2
,
pp. 146-153
Persistent link: https://www.econbiz.de/10001469560
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2
Finding cointegration rank in high dimensional systems using the Johansen test : an illustration using data based Monte Carlo simulations
Ho, Mun
- In:
The review of economics and statistics
78
(
1996
)
4
,
pp. 726-732
Persistent link: https://www.econbiz.de/10001209682
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3
Asymptotic distributions of the least-squares estimators and test statistics in the near unit root model with non-zero initial value and local drift and trend
Nabeya, Seiji
- In:
Econometric theory
10
(
1994
)
5
,
pp. 937-966
Persistent link: https://www.econbiz.de/10001175048
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4
Multivariate tests of a continuous time equilibrium arbitrage pricing theory with conditional heteroscedasticity and jumps
Ho, Mun
;
Perraudin, William R. M.
;
Sørensen, Bent E.
-
1992
Persistent link: https://www.econbiz.de/10000137146
Saved in:
5
Interaction effects in econometrics
Balli, Hatice Ozer
;
Sørensen, Bent E.
- In:
Empirical economics : a journal of the Institute for …
45
(
2013
)
1
,
pp. 583-603
Persistent link: https://www.econbiz.de/10009780027
Saved in:
6
Volatility
Andersen, Torben
-
1992
Persistent link: https://www.econbiz.de/10000914157
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7
Answering the skeptics : yes, standard volatility models do provide accurate forecasts
Andersen, Torben
- In:
International economic review
39
(
1998
)
4
,
pp. 885-905
Persistent link: https://www.econbiz.de/10001338809
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
Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben
;
Bollerslev, Tim
-
1997
Persistent link: https://www.econbiz.de/10000627888
Saved in:
10
Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben
(
contributor
);
Bollerslev, Tim
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001899970
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