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subject:"Panel"
subject:"Stochastic process"
~isPartOf:"CEMMAP working papers / Centre for Microdata Methods and Practice"
~isPartOf:"Journal of econometrics"
~person:"Andersen, Torben"
~subject:"Autokorrelation"
~subject:"Estimation"
~subject:"Modellierung"
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1954-1995
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Andersen, Torben
Weidner, Martin
25
Linton, Oliver
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Su, Liangjun
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Fernández-Val, Iván
13
Lee, Lung-fei
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Lu, Xun
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CEMMAP working papers / Centre for Microdata Methods and Practice
Journal of econometrics
CREATES research paper
2
Global COE Hi-Stat discussion paper series
1
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ECONIS (ZBW)
4
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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
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:
3
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:
4
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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