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~isPartOf:"Journal of econometrics"
~language:"eng"
~person:"Andersen, Torben"
~person:"Franses, Philip Hans"
~person:"Tauchen, George Eugene"
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Bibliografie"
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Volatilität
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25
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Andersen, Torben
Franses, Philip Hans
Tauchen, George Eugene
Bollerslev, Tim
19
Todorov, Viktor
17
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
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Li, Jia
7
Mykland, Per A.
7
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Kim, Donggyu
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Hallin, Marc
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Li, Yingying
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Taylor, Robert
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Zhou, Hao
5
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4
Francq, Christian
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Jasiak, Joann
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Linton, Oliver
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Maheu, John M.
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Park, Joon Y.
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3
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Journal of econometrics
The journal of finance : the journal of the American Finance Association
6
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Journal of applied econometrics
3
Journal of financial economics
3
Econometric theory
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International economic review
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2
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The review of economics and statistics
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Industrial marketing management : the international journal for industrial and high-tech firms
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International journal of forecasting
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Journal of empirical finance
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Journal of financial econometrics
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Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society
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NBER reporter online
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Special section on small-sample properties of generalized method of moments (GMM)
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Symposium on forecasting and empirical methods in macroeconomics and finance
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The American economic review
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The quarterly journal of finance
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ECONIS (ZBW)
25
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25
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date (oldest first)
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
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:
4
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:
5
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
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
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:
8
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald
;
Tauchen, George Eugene
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
Saved in:
9
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
10
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
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