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subject:"Indien"
subject:"Sparen"
~isPartOf:"CEMMAP working papers / Centre for Microdata Methods and Practice"
~isPartOf:"Journal of econometrics"
~person:"Andersen, Torben"
~person:"Francq, Christian"
~subject:"Forecasting model"
~subject:"IV-Schätzung"
~subject:"Induktive Statistik"
~subject:"Market microstructure noise"
~subject:"Stochastic process"
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Indien
Sparen
Forecasting model
IV-Schätzung
Induktive Statistik
Market microstructure noise
Stochastic process
Estimation theory
17
Schätztheorie
17
ARCH model
10
ARCH-Modell
10
Volatility
10
Volatilität
10
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9
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6
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Noise Trading
2
Noise trading
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Portfolio selection
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Andersen, Torben
Francq, Christian
Chernozhukov, Victor
18
Horowitz, Joel
14
Hansen, Christian Bailey
11
Kitagawa, Toru
10
Lee, Sokbae
10
Rosen, Adam M.
10
Belloni, Alexandre
9
Canay, Ivan A.
8
Chesher, Andrew
8
Shi, Xiaoxia
8
Todorov, Viktor
8
Bugni, Federico A.
7
Linton, Oliver
7
Newey, Whitney K.
7
Lee, Ji Hyung
6
Li, Yingying
5
Phillips, Peter C. B.
5
Stoye, Jörg
5
Swanson, Norman R.
5
Tauchen, George Eugene
5
Taylor, Robert
5
Weidner, Martin
5
Wüthrich, Kaspar
5
Zakoïan, Jean-Michel
5
Andrews, Donald W. K.
4
Andrews, Isaiah
4
Demetrescu, Matei
4
Fan, Yanqin
4
Florens, Jean-Pierre
4
Kaido, Hiroaki
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Kim, Donggyu
4
McCloskey, Adam
4
Moreira, Marcelo J.
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Payne, Jonathan
4
Chao, John C.
3
Cheng, Xu
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Clark, Todd E.
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Corradi, Valentina
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CEMMAP working papers / Centre for Microdata Methods and Practice
Journal of econometrics
Econometric theory
2
NBER working paper series
2
CREATES research paper
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
9
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1
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:
2
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
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
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:
6
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
7
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:
8
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
9
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
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