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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"
~subject:"Forecasting model"
~subject:"IV-Schätzung"
~subject:"Induktive Statistik"
~subject:"Market microstructure noise"
~subject:"Stochastic process"
~subject:"Zeitreihenanalyse"
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Indien
Sparen
Forecasting model
IV-Schätzung
Induktive Statistik
Market microstructure noise
Stochastic process
Zeitreihenanalyse
Estimation theory
7
Schätztheorie
7
Volatility
6
Volatilität
6
Time series analysis
5
Capital income
3
Kapitaleinkommen
3
Estimation
2
Fractional integration
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Frequency domain inference
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Market microstructure
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Marktmikrostruktur
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Noise Trading
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Noise trading
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Prognoseverfahren
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Statistical inference
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Statistical test
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Statistischer Test
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Stochastic volatility
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Volatility forecasting
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1954-1995
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Asymptotic bias
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Behavioural finance
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Börsenkurs
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Cointegration
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Contrarian trading
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Extreme return persistence
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Andersen, Torben
Chernozhukov, Victor
20
Linton, Oliver
17
Horowitz, Joel
14
Phillips, Peter C. B.
14
Taylor, Robert
12
Hansen, Christian Bailey
11
Kitagawa, Toru
10
Lee, Sokbae
10
Rosen, Adam M.
10
Belloni, Alexandre
9
Chen, Xiaohong
9
Todorov, Viktor
9
Canay, Ivan A.
8
Chesher, Andrew
8
Leybourne, Stephen James
8
Shi, Xiaoxia
8
Bugni, Federico A.
7
Newey, Whitney K.
7
Gao, Jiti
6
Lee, Ji Hyung
6
Li, Jia
6
Li, Yingying
6
Robinson, Peter M.
6
Swanson, Norman R.
6
Tauchen, George Eugene
6
Xiao, Zhijie
6
Davis, Richard A.
5
Fan, Yanqin
5
Francq, Christian
5
Harvey, David I.
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Li, Dong
5
Moreira, Marcelo J.
5
Park, Joon Y.
5
Stoye, Jörg
5
Sun, Yixiao
5
Weidner, Martin
5
Wüthrich, Kaspar
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CEMMAP working papers / Centre for Microdata Methods and Practice
Journal of econometrics
CREATES research paper
3
NBER working paper series
2
Econometric theory
1
Global COE Hi-Stat discussion paper series
1
Staff reports / Federal Reserve Bank of New York
1
Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
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ECONIS (ZBW)
7
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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
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:
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
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:
6
Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
- In:
Journal of econometrics
169
(
2012
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10009666722
Saved in:
7
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
Saved in:
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