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isPartOf:"Journal of econometrics"
subject:"Schätzung"
~isPartOf:"International economic review"
~person:"Andersen, Torben"
~person:"Heckman, James J."
~person:"Thyrsgaard, Martin"
~subject:"Empirical processes"
~subject:"Momentenmethode"
~subject:"Volatility"
~type:"article"
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Schätzung
Empirical processes
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Theorie
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7
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7
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4
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Andersen, Torben
Heckman, James J.
Thyrsgaard, Martin
Bollerslev, Tim
8
Aït-Sahalia, Yacine
7
Gallant, A. Ronald
6
Koop, Gary
6
Ghysels, Eric
5
Inoue, Atsushi
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4
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4
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4
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4
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4
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4
Asai, Manabu
3
Barigozzi, Matteo
3
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3
Cavaliere, Giuseppe
3
Diebold, Francis X.
3
Frühwirth-Schnatter, Sylvia
3
Galvão Júnior, Antônio Fialho
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Gonçalves, Sílvia
3
Gouriéroux, Christian
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Meddahi, Nour
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Schorfheide, Frank
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Seo, Myung Hwan
3
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Smith, Richard J.
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Journal of econometrics
International economic review
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Journal of political economy
2
The journal of finance : the journal of the American Finance Association
2
Handbook of economic forecasting ; Vol. 1
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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1
Journal of financial economics
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NBER reporter online
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Symposium on forecasting and empirical methods in macroeconomics and finance
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ECONIS (ZBW)
10
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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
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
Saved in:
3
Estimation of dynamic discrete choice models by maximum likelihood and the simulated method of moments
Eisenhauer, Philipp
;
Heckman, James J.
;
Mosso, Stefano
- In:
International economic review
56
(
2015
)
2
,
pp. 331-358
Persistent link: https://www.econbiz.de/10011421088
Saved in:
4
Bayesian exploratory factor analysis
Conti, Gabriella
;
Frühwirth-Schnatter, Sylvia
; …
- In:
Journal of econometrics
183
(
2014
)
1
,
pp. 31-57
Persistent link: https://www.econbiz.de/10010506092
Saved in:
5
Testing the correlated random coefficient model
Heckman, James J.
;
Schmierer, Daniel
;
Urzua, Sergio
- In:
Journal of econometrics
158
(
2010
)
2
,
pp. 177-203
Persistent link: https://www.econbiz.de/10008839973
Saved in:
6
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Andersen, Torben
;
Bollerslev, Tim
;
Huang, Xin
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 176-189
Persistent link: https://www.econbiz.de/10009242526
Saved in:
7
Analytical evaluation of volatility forecasts
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
International economic review
45
(
2004
)
4
,
pp. 1079-1110
Persistent link: https://www.econbiz.de/10002427616
Saved in:
8
Efficient method of moments estimation of a stochastic volatility model : a Monte Carlo study
Andersen, Torben
;
Chung, Hyung-Jin
;
Sørensen, Bent E.
- In:
Journal of econometrics
91
(
1999
)
1
,
pp. 61-87
Persistent link: https://www.econbiz.de/10001382157
Saved in:
9
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:
10
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:
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