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Search: "Andersen, Torben G."
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Andersen, Torben
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Andersen, Torben G.
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ECONIS (ZBW)
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Predictive modeling of financial data : editorial
Andersen, Torben
;
Taylor, Robert
;
Timmermann, Allan
; …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-4
Persistent link: https://www.econbiz.de/10014471792
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
Annals issue: Time series analysis of higher moments and distributions of financial data
Andersen, Torben
(
ed.
);
Chang, Chia-Lin
(
ed.
); …
-
Association of Asia-Pacific Business School's Academic …
-
2022
Persistent link: https://www.econbiz.de/10013440599
Saved in:
5
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:
6
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:
7
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
Saved in:
8
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:
9
Intraday trading invariance in the E-mini S&P 500 futures market
Andersen, Torben
;
Bondarenko, Oleg
;
Kyle, Albert S.
; …
-
2016
Persistent link: https://www.econbiz.de/10011633490
Saved in:
10
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:
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