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~isPartOf:"Journal of econometrics"
~language:"eng"
~language:"fin"
~language:"ind"
~language:"nld"
~language:"ukr"
~person:"Andersen, Torben"
~person:"Marcellino, Massimiliano"
~subject:"Developing countries"
~subject:"KMU"
~subject:"Monetary policy"
~subject:"Stochastischer Prozess"
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Aufsatzsammlung"
~type_genre:"Jahresbericht"
~type_genre:"Sammelwerk"
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Developing countries
KMU
Monetary policy
Stochastischer Prozess
Volatilität
Volatility
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12
Zeitreihenanalyse
12
Estimation theory
11
Schätztheorie
11
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9
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9
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7
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7
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Author
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Andersen, Torben
Marcellino, Massimiliano
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Aït-Sahalia, Yacine
11
McAleer, Michael
11
Phillips, Peter C. B.
10
Meddahi, Nour
8
Taylor, Robert
8
Xiu, Dacheng
8
Ghysels, Eric
7
Li, Jia
7
Mykland, Per A.
7
Park, Joon Y.
7
Patton, Andrew J.
7
Yu, Jun
7
Cavaliere, Giuseppe
6
Gouriéroux, Christian
6
Kim, Donggyu
6
Linton, Oliver
6
Renault, Eric
6
Shephard, Neil G.
6
Zakoïan, Jean-Michel
6
Asai, Manabu
5
Chang, Chia-Lin
5
Francq, Christian
5
Gallant, A. Ronald
5
Hallin, Marc
5
Li, Yingying
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Jasiak, Joann
4
Lieberman, Offer
4
Ling, Shiqing
4
Maheu, John M.
4
Paolella, Marc S.
4
Rahbek, Anders
4
Renò, Roberto
4
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Journal of econometrics
The journal of finance : the journal of the American Finance Association
6
Journal of applied econometrics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
International economic review
2
Journal of financial economics
2
Journal of financial markets
2
The review of economics and statistics
2
Econometric theory
1
Economics letters
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
Journal of shipping and trade
1
Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society
1
NBER reporter online
1
Quantitative economics : QE ; journal of the Econometric Society
1
Review of finance : journal of the European Finance Association
1
Special section on small-sample properties of generalized method of moments (GMM)
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Symposium on forecasting and empirical methods in macroeconomics and finance
1
The American economic review
1
The B.E. journal of macroeconomics
1
The review of financial studies
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ECONIS (ZBW)
15
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15
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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
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
4
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:
5
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:
6
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:
7
Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
225
(
2021
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
Saved in:
8
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 137-154
Persistent link: https://www.econbiz.de/10012303905
Saved in:
9
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:
10
Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs
Marcellino, Massimiliano
;
Sivec, Vasja
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 335-348
Persistent link: https://www.econbiz.de/10011704953
Saved in:
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