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isPartOf:"Journal of econometrics"
subject:"Schätzung"
~person:"Nielsen, Morten Ørregaard"
~person:"Thyrsgaard, Martin"
~subject:"Volatility"
~type:"article"
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Schätzung
Volatility
Theorie
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Theory
6
Volatilität
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3
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3
Zeitreihenanalyse
3
Cointegration
2
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1988-1995
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Analysis of variance
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Nielsen, Morten Ørregaard
Thyrsgaard, Martin
Aït-Sahalia, Yacine
7
Koop, Gary
6
Bollerslev, Tim
5
Tauchen, George Eugene
5
Andersen, Torben
4
Gallant, A. Ronald
4
Ghysels, Eric
4
Hallin, Marc
4
McAleer, Michael
4
Renault, Eric
4
Steel, Mark F. J.
4
Todorov, Viktor
4
Asai, Manabu
3
Barigozzi, Matteo
3
Cavaliere, Giuseppe
3
Diebold, Francis X.
3
Frühwirth-Schnatter, Sylvia
3
Gouriéroux, Christian
3
Hong, Yongmiao
3
Pesaran, M. Hashem
3
Phillips, Peter C. B.
3
Rahbek, Anders
3
Robinson, Peter M.
3
Schorfheide, Frank
3
Yu, Jun
3
Boswijk, Herman Peter
2
Chan, Joshua
2
Christensen, Bent Jesper
2
Christensen, Kim
2
Duan, Jin-Chuan
2
Fan, Jianqing
2
Fernández, Carmen
2
Fulop, Andras
2
Galvão Júnior, Antônio Fialho
2
Gonçalves, Sílvia
2
Grammig, Joachim
2
Granger, C. W. J.
2
Griffin, Jim E.
2
Han, Xu
2
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Journal of econometrics
Journal of applied econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
The journal of futures markets
1
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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
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
4
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas
;
Christensen, Bent Jesper
;
Nielsen, …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 48-57
Persistent link: https://www.econbiz.de/10009242554
Saved in:
5
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 343-371
Persistent link: https://www.econbiz.de/10003354581
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