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subject:"Volatility"
type_genre:"Article in journal"
~person:"Andersen, Torben"
~person:"Escanciano, Juan Carlos"
~person:"Kleibergen, Frank"
~subject:"Statistical test"
~subject:"Statistischer Test"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
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Estimation theory
43
Schätztheorie
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13
Nonparametric statistics
13
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12
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Andersen, Torben
Escanciano, Juan Carlos
Kleibergen, Frank
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Bera, Anil K.
11
Li, Jia
11
Cai, Zongwu
10
Francq, Christian
10
Shi, Xiaoxia
10
Tauchen, George Eugene
10
Baltagi, Badi H.
9
Dufour, Jean-Marie
9
Phillips, Peter C. B.
9
Sun, Yixiao
9
Teräsvirta, Timo
9
Chen, Yi-ting
8
Perron, Pierre
8
Su, Liangjun
8
White, Halbert
8
Andrews, Donald W. K.
7
Demetrescu, Matei
7
Ghysels, Eric
7
Guggenberger, Patrik
7
Kim, Donggyu
7
Li, Yingying
7
Linton, Oliver
7
Liu, Zhi
7
Mykland, Per A.
7
Zakoïan, Jean-Michel
7
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6
Doğan, Osman
6
Fan, Jianqing
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Jin, Sainan
6
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6
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4
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3
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ECONIS (ZBW)
21
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1
Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
Saved in:
2
Rejoinder on: identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 311-315
Persistent link: https://www.econbiz.de/10014314746
Saved in:
3
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:
4
Comment on: identification robust testing of risk premia in finite samples
Khalaf, Lynda
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 298-302
Persistent link: https://www.econbiz.de/10014314743
Saved in:
5
Discussion of identification robust testing of risk premia in finite samples
Peñaranda, Francisco
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 306-310
Persistent link: https://www.econbiz.de/10014314745
Saved in:
6
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:
7
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:
8
Efficient size correct subset inference in homoskedastic linear instrumental variables regression
Kleibergen, Frank
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 78-96
Persistent link: https://www.econbiz.de/10012618800
Saved in:
9
Optimal linear instrumental variables approximations
Escanciano, Juan Carlos
;
Li, Wei
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 223-246
Persistent link: https://www.econbiz.de/10012618821
Saved in:
10
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
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