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~isPartOf:"Journal of econometrics"
~language:"eng"
~person:"Andersen, Torben"
~person:"Herwartz, Helmut"
~subject:"Geldpolitik"
~subject:"Multivariate Analyse"
~subject:"Option pricing theory"
~subject:"Schätzung"
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Geldpolitik
Multivariate Analyse
Option pricing theory
Schätzung
Volatility
13
Volatilität
13
Estimation theory
6
Schätztheorie
6
Capital income
5
Kapitaleinkommen
5
Theorie
5
Theory
5
Time series analysis
5
Zeitreihenanalyse
5
Estimation
4
Forecasting model
3
High-frequency data
3
Induktive Statistik
3
Market microstructure
3
Marktmikrostruktur
3
Noise Trading
3
Noise trading
3
Prognoseverfahren
3
Statistical inference
3
Stochastic process
3
Stochastic volatility
3
Stochastischer Prozess
3
ARCH model
2
ARCH-Modell
2
Börsenkurs
2
Factor analysis
2
Faktorenanalyse
2
Fractional integration
2
Frequency domain inference
2
Market microstructure noise
2
Share price
2
Stable convergence
2
Statistical test
2
Statistischer Test
2
Volatility forecasting
2
1954-1995
1
Aktienindex
1
Anlageverhalten
1
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English
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Andersen, Torben
Herwartz, Helmut
Todorov, Viktor
14
Bollerslev, Tim
9
Tauchen, George Eugene
8
Xiu, Dacheng
7
Aït-Sahalia, Yacine
6
Kim, Donggyu
5
Li, Jia
5
McAleer, Michael
4
Asai, Manabu
3
Francq, Christian
3
Ghysels, Eric
3
Gouriéroux, Christian
3
Patton, Andrew J.
3
Wang, Yazhen
3
Zakoïan, Jean-Michel
3
Amengual, Dante
2
Bandi, Federico M.
2
Barigozzi, Matteo
2
Bibinger, Markus
2
Bondarenko, Oleg
2
Christensen, Kim
2
Creal, Drew
2
Engle, Robert F.
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gallo, Giampiero M.
2
Grynkiv, Iaryna
2
Hafner, Christian M.
2
Hallin, Marc
2
Harvey, Andrew C.
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Li, Yingying
2
Meddahi, Nour
2
Paolella, Marc S.
2
Park, Joon Y.
2
Park, Yang-Ho
2
Petrova, Katerina
2
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Journal of econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
6
Working paper / National Bureau of Economic Research, Inc.
6
Discussion papers of interdisciplinary research project 373
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Applied quantitative finance
2
American Economic Review papers and proceedings
1
An analysis of long-term influences on financial markets, uncertainty and the sustainability of fiscal balances
1
Applied quantitative finance : theory and computational tools
1
CFS working paper series
1
CORE discussion papers : DP
1
CREATES research paper
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics
1
Discussion papers / Deutsches Institut für Wirtschaftsforschung
1
Econometric Institute research papers
1
Econometric reviews
1
Economics working paper
1
Financial Institutions Center
1
Global COE Hi-Stat discussion paper series
1
International economic review
1
Journal of applied econometrics
1
Journal of applied economics
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
Journal of financial markets
1
Journal of international financial markets, institutions & money
1
Macroeconomic dynamics
1
Oxford bulletin of economics and statistics
1
Quantitative economics : QE ; journal of the Econometric Society
1
Review of world economics
1
SFB 373 Discussion Paper
1
Statistica Neerlandica : journal of the Netherlands Society for Statistics and Operations Research
1
Symposium on forecasting and empirical methods in macroeconomics and finance
1
The American economic review
1
The journal of finance : the journal of the American Finance Association
1
Working papers / Federal Reserve Bank of Chicago
1
Working papers / Financial Institutions Center
1
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1
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:
2
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
3
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:
4
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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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