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subject:"Volatility"
type_genre:"Article in journal"
~person:"Andersen, Torben"
~person:"Kumar, Dilip"
~type_genre:"Book section"
~type_genre:"Conference paper"
~type_genre:"Konferenzschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
26
Schätztheorie
26
Volatilität
23
Capital income
13
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13
Kapitaleinkommen
13
Prognoseverfahren
13
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12
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11
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11
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10
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6
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5
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5
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5
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4
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4
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3
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3
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3
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3
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2
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2
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2
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2
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2
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2
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23
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Andersen, Torben
Kumar, Dilip
Maheswaran, S.
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
10
Teräsvirta, Timo
9
Francq, Christian
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Ghysels, Eric
6
Hafner, Christian M.
6
Koopman, Siem Jan
6
Wang, Yazhen
6
Bollerslev, Tim
5
Fan, Jianqing
5
Jing, Bingyi
5
Silvennoinen, Annastiina
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Clements, Adam
4
Dufour, Jean-Marie
4
Elliott, Robert J.
4
Feng, Yuanhua
4
Fičura, Milan
4
Hwang, Eunju
4
Härdle, Wolfgang
4
Li, Wai Keung
4
Mancino, Maria Elvira
4
McAleer, Michael
4
Nolte, Ingmar
4
Park, Joon Y.
4
Rodriguez, Gabriel
4
Shin, Dong-wan
4
Song, Yuping
4
Sucarrat, Genaro
4
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Journal of econometrics
6
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4
IIMB management review
2
International review of economics & finance : IREF
2
The journal of prediction markets
2
Theoretical economics letters
2
Decision
1
International review of financial analysis
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of quantitative economics
1
Macroeconomics and finance in emerging market economies
1
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ECONIS (ZBW)
23
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23
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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
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
6
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
7
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
8
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:
9
Volatility prediction : a study with structural breaks
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1218-1231
Persistent link: https://www.econbiz.de/10011888198
Saved in:
10
Modelling and forecasting unbiased extreme value volatility estimator : a study based on EUR/USD exchange rate
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
9
,
pp. 1599-1613
Persistent link: https://www.econbiz.de/10011888653
Saved in:
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