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~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~subject:"USA"
~subject:"Zeitreihenanalyse"
~type:"article"
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Search: "Andersen, Torben G."
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Zeitreihenanalyse
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Andersen, Torben
7
Todorov, Viktor
2
Varneskov, Rasmus Tangsgaard
2
Bollerslev, Tim
1
Dobrev, Dobrislav
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Lange, Steve
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Li, Yingying
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Journal of econometrics
Journal of empirical finance
The journal of finance : the journal of the American Finance Association
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Econometric analysis of financial and economic time series ; part B
1
Econometric theory
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Financial markets and asset pricing
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Handbook of economic forecasting ; 1
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Handbook of financial time series
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International economic review
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Journal of applied econometrics
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Journal of international economics
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Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society
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Symposium on forecasting and empirical methods in macroeconomics and finance
1
The American economic review
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The review of economics and statistics
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The review of financial studies
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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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ECONIS (ZBW)
7
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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
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
Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
- In:
Journal of econometrics
169
(
2012
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10009666722
Saved in:
6
Forecasting financial market volatility : sample frequency vis-à-vis forecast horizon
Andersen, Torben
;
Bollerslev, Tim
;
Lange, Steve
- In:
Journal of empirical finance
6
(
1999
)
5
,
pp. 457-477
Persistent link: https://www.econbiz.de/10001505784
Saved in:
7
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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