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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric Reviews"
~person:"Andersen, Torben"
~person:"Ghysels, Eric"
~person:"Jasiak, Joann"
~person:"Maheu, John M."
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Search: subject_exact:"Volatility"
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Volatility
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Andersen, Torben
Ghysels, Eric
Jasiak, Joann
Maheu, John M.
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Aït-Sahalia, Yacine
11
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9
Meddahi, Nour
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7
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3
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3
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3
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3
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3
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Journal of econometrics
Econometric Reviews
Working paper / National Bureau of Economic Research, Inc.
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
7
CREATES research paper
6
Série des documents de travail / Centre de Recherche en Économie et Statistique
6
The journal of finance : the journal of the American Finance Association
6
CFS working paper series
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3
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Journal of applied econometrics
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Journal of empirical finance
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Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
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Global COE Hi-Stat discussion paper series
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Handbook of financial time series
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ShanghaiTech SEM Working Paper
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Studies in Nonlinear Dynamics & Econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The review of financial studies
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22-327
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American Economic Review papers and proceedings
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1
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ECONIS (ZBW)
25
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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
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
4
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
5
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
6
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
7
Liquidity and volatility in the US treasury market
Nguyen, Giang H.
;
Engle, Robert F.
;
Fleming, Michael J.
; …
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 207-229
Persistent link: https://www.econbiz.de/10012482750
Saved in:
8
Stationary bubble equilibria in rational expectation models
Gouriéroux, Christian
;
Jasiak, Joann
;
Monfort, Alain
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 714-735
Persistent link: https://www.econbiz.de/10012483178
Saved in:
9
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
10
Modeling covariance breakdowns in multivariate GARCH
Jin, Xin
;
Maheu, John M.
- In:
Journal of econometrics
194
(
2016
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011705024
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