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source:"econis"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of econometrics"
~isPartOf:"Risks : open access journal"
~isPartOf:"The econometrics journal"
~person:"Andersen, Torben"
~subject:"ARCH model"
~subject:"Schätzung"
~subject:"Stochastischer Prozess"
~subject:"Volatility"
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Search: subject_exact:"Time series analysis"
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Andersen, Torben
Phillips, Peter C. B.
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International journal of theoretical and applied finance
Journal of econometrics
Risks : open access journal
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2
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Cahier / Départment de Sciences Économiques, Université de Montréal
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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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
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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
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:
4
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:
5
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
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