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~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"Journal of econometrics"
~subject:"Share price"
~subject:"USA"
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Search: "Andersen, Torben G."
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Andersen, Torben
5
Bollerslev, Tim
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Todorov, Viktor
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Diebold, Francis X.
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Labys, Paul
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Li, Yingying
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Lund, Jesper
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
10
CFS working paper series
5
NBER Working Paper
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NBER working paper series
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Cahier / Départment de Sciences Économiques, Université de Montréal
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Econometric analysis of financial and economic time series ; part B
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Econometric theory
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Financial markets and asset pricing
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International finance discussion papers
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Journal of empirical finance
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Journal of financial econometrics
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Quantitative economics : QE ; journal of the Econometric Society
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The American economic review
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The risks of financial institutions : [...papers and comments presented at a conference held in Woodstock, Vermont, 22-23 October 2004]
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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
Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
1
,
pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
Saved in:
4
Modeling and forecasting realized volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
2
,
pp. 579-625
Persistent link: https://www.econbiz.de/10001750369
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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