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~language:"eng"
~person:"Andersen, Torben"
~person:"Hamori, Shigeyuki"
~subject:"Time series analysis"
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Bibliografie"
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Time series analysis
Volatilität
Volatility
69
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49
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49
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45
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40
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40
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39
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39
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Andersen, Torben
Hamori, Shigeyuki
Gupta, Rangan
209
Gil-Alaña, Luis A.
187
Bahmani-Oskooee, Mohsen
97
Tiwari, Aviral Kumar
95
McAleer, Michael
92
Phillips, Peter C. B.
92
Caporale, Guglielmo Maria
91
Bouri, Elie
89
Ma, Feng
89
Franses, Philip Hans
82
Hammoudeh, Shawkat
70
Taylor, Robert
64
Wohar, Mark E.
64
McMillan, David G.
63
Bollerslev, Tim
56
Kang, Sang Hoon
56
Leybourne, Stephen James
55
Moosa, Imad A.
54
Koopman, Siem Jan
50
Mensi, Walid
50
Serletis, Apostolos
50
Wang, Yudong
50
Balcilar, Mehmet
49
Perron, Pierre
47
Xuan Vinh Vo
47
Teräsvirta, Timo
46
Ghysels, Eric
45
Harvey, Andrew C.
45
Kumar, Dilip
45
Chang, Tsangyao
44
Pierdzioch, Christian
44
Apergēs, Nikolaos
43
Engle, Robert F.
42
Narayan, Paresh Kumar
42
Salisu, Afees A.
41
Zhang, Yaojie
40
Hegerty, Scott W.
39
Corbet, Shaen
38
Demirer, Rıza
38
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Journal of econometrics
12
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
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of international financial markets, institutions & money
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NBER reporter online
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Quantitative economics : QE ; journal of the Econometric Society
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Review of finance : journal of the European Finance Association
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Special section on small-sample properties of generalized method of moments (GMM)
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ECONIS (ZBW)
73
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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
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
Volatility spillover and investment strategies among sustainability-related financial indexes : evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula appro...
Zhang, Wenting
;
He, Xie
;
Hamori, Shigeyuki
- In:
International review of financial analysis
83
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013454962
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
Continuous wavelet analysis of Chinese renminbi : co-movement and lead-lag relationship between onshore and offshore exchange rates
Xu, Lei
;
Hamori, Shigeyuki
;
Kinkyō, Takuji
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012821307
Saved in:
8
Crude oil market and stock markets during the COVID-19 pandemic : evidence from the US, Japan, and Germany
Zhang, Wenting
;
Hamori, Shigeyuki
- In:
International review of financial analysis
74
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012803936
Saved in:
9
A descriptive study of high-frequency trade and quote option data
Andersen, Torben
;
Archakov, Ilya
;
Grund, Leon
;
Hautsch, …
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 128-177
Persistent link: https://www.econbiz.de/10012504324
Saved in:
10
Is volatility spillover enough for investor decisions? : a new viewpoint from higher moments
He, Xie
;
Hamori, Shigeyuki
- In:
Journal of international money and finance
116
(
2021
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013206923
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