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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric Reviews"
~person:"Andersen, Torben"
~person:"Ghysels, Eric"
~person:"Jasiak, Joann"
~person:"Shephard, Neil G."
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Search: subject_exact:"Volatility"
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Volatility
28
Volatilität
27
Estimation theory
9
Schätztheorie
9
Theorie
9
Theory
9
Capital income
8
Kapitaleinkommen
8
Time series analysis
8
Zeitreihenanalyse
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Estimation
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Prognoseverfahren
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Börsenkurs
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Market microstructure
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Noise Trading
4
Noise trading
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Statistical inference
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USA
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2
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27
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English
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Andersen, Torben
Ghysels, Eric
Jasiak, Joann
Shephard, Neil G.
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Kim, Donggyu
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Francq, Christian
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renault, Eric
4
Renò, Roberto
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Bandi, Federico M.
3
Calvet, Laurent E.
3
Caporin, Massimiliano
3
Carriero, Andrea
3
Chang, Chia-Lin
3
Christensen, Kim
3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Econometric Reviews
Working paper / National Bureau of Economic Research, Inc.
17
Economics discussion papers
9
CREATES research paper
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Oxford Financial Research Centre economics series
5
Working papers / Financial Institutions Center
5
Journal of applied econometrics
4
Department of Economics discussion paper series / University of Oxford
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Financial Institutions Center
3
Journal of financial economics
3
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
3
Working papers / Federal Reserve Bank of Chicago
3
CIRANO Working Papers
2
Discussion paper / Centre for Economic Policy Research
2
Econometric reviews
2
Econometric theory
2
Foreign exchange markets
2
Global COE Hi-Stat discussion paper series
2
Handbook of financial time series
2
International economic review
2
Journal of empirical finance
2
Journal of financial markets
2
NBER working paper series
2
Research paper series / Swiss Finance Institute
2
Studies in Nonlinear Dynamics & Econometrics
2
The review of economics and statistics
2
The review of financial studies
2
Tools and techniques
2
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
2
Advanced texts in econometrics
1
Advances in economics and econometrics ; Vol. 3
1
American Economic Review papers and proceedings
1
CEFIR and NES working papers
1
CORE discussion paper : DP
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ECONIS (ZBW)
27
RePEc
1
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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
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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