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isPartOf:"Journal of econometrics"
subject:"Schätzung"
~isPartOf:"International economic review"
~person:"Andersen, Torben"
~person:"Thyrsgaard, Martin"
~subject:"Empirical processes"
~subject:"Momentenmethode"
~subject:"Volatility"
~type:"article"
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Schätzung
Empirical processes
Momentenmethode
Volatility
Theorie
7
Theory
7
Volatilität
7
Estimation
4
Time series analysis
4
Zeitreihenanalyse
4
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2
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Andersen, Torben
Thyrsgaard, Martin
Bollerslev, Tim
8
Aït-Sahalia, Yacine
7
Gallant, A. Ronald
6
Koop, Gary
6
Ghysels, Eric
5
Inoue, Atsushi
5
Lee, Lung-fei
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Renault, Eric
5
Tauchen, George Eugene
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4
Hallin, Marc
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
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4
Asai, Manabu
3
Barigozzi, Matteo
3
Berg, Gerard J. van den
3
Cavaliere, Giuseppe
3
Diebold, Francis X.
3
Frühwirth-Schnatter, Sylvia
3
Galvão Júnior, Antônio Fialho
3
Gonçalves, Sílvia
3
Gouriéroux, Christian
3
Heckman, James J.
3
Hong, Yongmiao
3
Keane, Michael P.
3
Meddahi, Nour
3
Nielsen, Morten Ørregaard
3
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3
Rahbek, Anders
3
Schorfheide, Frank
3
Seo, Myung Hwan
3
Shin, Yongcheol
3
Smith, Richard J.
3
Su, Liangjun
3
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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
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
Journal of empirical finance
1
Journal of financial economics
1
NBER reporter online
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Special section on small-sample properties of generalized method of moments (GMM)
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Symposium on forecasting and empirical methods in macroeconomics and finance
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The review of economics and statistics
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ECONIS (ZBW)
7
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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
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:
4
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:
5
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:
6
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:
7
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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