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~isPartOf:"Econometric analysis of financial and economic time series ; part B"
~isPartOf:"Journal of econometrics"
~subject:"Faktorenanalyse"
~subject:"Share price"
~subject:"USA"
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Faktorenanalyse
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Volatility
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Andersen, Torben
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Todorov, Viktor
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Diebold, Francis X.
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Lund, Jesper
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Econometric analysis of financial and economic time series ; part B
Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
10
CFS working paper series
5
NBER Working Paper
5
NBER working paper series
5
The journal of finance : the journal of the American Finance Association
5
Working papers / Financial Institutions Center
4
CFS Working Paper
3
CREATES research paper
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Financial Institutions Center
2
Foreign exchange markets
2
Journal of financial markets
2
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1
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1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Econometric theory
1
Financial markets and asset pricing
1
International finance discussion papers
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of international economics
1
NBER reporter online
1
Quantitative economics : QE ; journal of the Econometric Society
1
The American economic review
1
The review of economics and statistics
1
The review of financial studies
1
The risks of financial institutions : [...papers and comments presented at a conference held in Woodstock, Vermont, 22-23 October 2004]
1
Working papers / Federal Reserve Bank of Chicago
1
Working papers / Penn Institute for Economic Research
1
Working papers / Rodney L. White Center for Financial Research
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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
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:
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
Realized beta : persistence and predictability
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2006
Persistent link: https://www.econbiz.de/10003350083
Saved in:
5
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
Saved in:
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