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~isPartOf:"Journal of econometrics"
~subject:"Prognoseverfahren"
~subject:"Share price"
~subject:"Time series analysis"
~subject:"USA"
~type:"article"
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Search: "Andersen, Torben G."
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Prognoseverfahren
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USA
Volatility
12
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Schätztheorie
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Andersen, Torben
9
Todorov, Viktor
3
Varneskov, Rasmus Tangsgaard
2
Bollerslev, Tim
1
Dobrev, Dobrislav
1
Li, Yingying
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Lund, Jesper
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Meddahi, Nour
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Riva, Raul
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Schaumburg, Ernst
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Taylor, Robert
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Journal of econometrics
The journal of finance : the journal of the American Finance Association
5
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Foreign exchange markets
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International economic review
2
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2
Econometric analysis of financial and economic time series ; part B
1
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Handbook of economic forecasting ; 1
1
Handbook of economic forecasting ; Vol. 1
1
Handbook of financial time series
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Journal of applied econometrics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of financial econometrics
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Journal of financial economics
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Journal of international economics
1
Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society
1
NBER reporter online
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Quantitative economics : QE ; journal of the Econometric 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)
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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
Predictive modeling of financial data : editorial
Andersen, Torben
;
Taylor, Robert
;
Timmermann, Allan
; …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-4
Persistent link: https://www.econbiz.de/10014471792
Saved in:
3
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:
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
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
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
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:
8
Realized volatility forecasting and market microstructure noise
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
Saved in:
9
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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