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subject:"Volatility"
type_genre:"Article in journal"
~person:"Andersen, Torben"
~person:"Kleibergen, Frank"
~subject:"Regressionsanalyse"
~subject:"Statistical test"
~subject:"Statistischer Test"
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Search: subject_exact:"Estimation theory"
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Volatility
Regressionsanalyse
Statistical test
Statistischer Test
Estimation theory
22
Schätztheorie
22
Volatilität
7
Robust statistics
6
Robustes Verfahren
6
Theorie
6
Theory
6
Regression analysis
5
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5
Risk premium
5
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Induktive Statistik
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Andersen, Torben
Kleibergen, Frank
Phillips, Peter C. B.
28
Su, Liangjun
23
Linton, Oliver
21
Cai, Zongwu
20
Baltagi, Badi H.
17
Kumar, Dilip
16
Li, Qi
15
Bera, Anil K.
14
Chen, Songnian
14
Maheswaran, S.
14
Escanciano, Juan Carlos
13
Perron, Pierre
13
Todorov, Viktor
12
Westerlund, Joakim
12
Fan, Jianqing
11
Li, Jia
11
Shi, Xiaoxia
11
Sun, Yiguo
11
Tu, Yundong
11
White, Halbert
11
Xiao, Zhijie
11
Chernozhukov, Victor
10
Demetrescu, Matei
10
Dufour, Jean-Marie
10
Francq, Christian
10
Gao, Jiti
10
Hansen, Christian Bailey
10
Henderson, Daniel J.
10
Kapetanios, George
10
Park, Joon Y.
10
Parmeter, Christopher F.
10
Robinson, Peter M.
10
Sun, Yixiao
10
Tauchen, George Eugene
10
Andrews, Donald W. K.
9
Florens, Jean-Pierre
9
Galvão Júnior, Antônio Fialho
9
Hansen, Bruce E.
9
Otsu, Taisuke
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Journal of econometrics
8
Journal of financial econometrics
4
Econometric theory
2
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 business & economic statistics : JBES ; a publication of the American Statistical Association
1
Quantitative economics : QE ; journal of the Econometric Society
1
Special section on small-sample properties of generalized method of moments (GMM)
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ECONIS (ZBW)
17
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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
Consistent local spectrum inference for predictive return regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Econometric theory
38
(
2022
)
6
,
pp. 1253-1307
Persistent link: https://www.econbiz.de/10013539347
Saved in:
9
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:
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
Saved in:
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