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isPartOf:"Journal of econometrics"
subject:"Schätzung"
~person:"Andersen, Torben"
~person:"Smith, Richard J."
~person:"Thyrsgaard, Martin"
~subject:"Empirical processes"
~subject:"Momentenmethode"
~subject:"Volatility"
~type:"article"
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Schätzung
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5
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Andersen, Torben
Smith, Richard J.
Thyrsgaard, Martin
Aït-Sahalia, Yacine
7
Bollerslev, Tim
6
Gallant, A. Ronald
6
Koop, Gary
6
Ghysels, Eric
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Lee, Lung-fei
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Tauchen, George Eugene
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4
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3
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Cavaliere, Giuseppe
3
Diebold, Francis X.
3
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Galvão Júnior, Antônio Fialho
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Gonçalves, Sílvia
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Gouriéroux, Christian
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Hong, Yongmiao
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Nielsen, Morten Ørregaard
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Phillips, Peter C. B.
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Rahbek, Anders
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Schorfheide, Frank
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Sun, Yixiao
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Windmeijer, Frank
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Ahn, Seung Chan
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Journal of econometrics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
International economic review
2
Journal of applied econometrics
2
The journal of finance : the journal of the American Finance Association
2
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Handbook of economic forecasting ; Vol. 1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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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 refinement of econometric estimation and test procedures : finite sample and asymptoyic analysis
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ECONIS (ZBW)
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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
Efficient information theoretic inference for conditional moment restrictions
Smith, Richard J.
- In:
Journal of econometrics
138
(
2007
)
2
,
pp. 430-460
Persistent link: https://www.econbiz.de/10003464273
Saved in:
5
Generalized empirical likelihood non-nested tests
Ramalho, Joachim J. S.
;
Smith, Richard J.
- In:
Journal of econometrics
107
(
2002
)
1/2
,
pp. 99-125
Persistent link: https://www.econbiz.de/10001651266
Saved in:
6
Structural analysis of vector error correction models with exogenous I (1) variables
Pesaran, M. Hashem
;
Shin, Yongcheol
;
Smith, Richard J.
- In:
Journal of econometrics
97
(
2000
)
2
,
pp. 293-343
Persistent link: https://www.econbiz.de/10001496593
Saved in:
7
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:
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:
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