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~person:"Andersen, Torben"
~subject:"Capital market returns"
~subject:"Financial market"
~subject:"Forecasting model"
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Search: subject_exact:"Volatility"
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Capital market returns
Financial market
Forecasting model
Volatility
98
Volatilität
98
Theorie
45
Theory
45
Capital income
33
Kapitaleinkommen
33
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24
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24
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23
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23
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22
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22
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17
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11
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31
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Andersen, Torben
Gupta, Rangan
117
McAleer, Michael
97
Ma, Feng
81
Bollerslev, Tim
51
Diebold, Francis X.
51
Pierdzioch, Christian
49
Zhang, Yaojie
39
Bekaert, Geert
37
Lux, Thomas
36
Liang, Chao
34
Wang, Yudong
33
Bouri, Elie
31
Wei, Yu
29
Caporin, Massimiliano
28
McMillan, David G.
28
Asai, Manabu
27
Clements, Adam
27
Caporale, Guglielmo Maria
26
Christoffersen, Peter F.
26
Degiannakis, Stavros
25
Medeiros, Marcelo C.
24
Salisu, Afees A.
24
Chang, Chia-Lin
23
Gallo, Giampiero M.
23
Wang, Jiqian
22
Engle, Robert F.
21
Ghysels, Eric
21
Hoerova, Marie
20
Patton, Andrew J.
20
Demirer, Rıza
19
Dijk, Dick van
18
Yılmaz, Kamil
18
Bonato, Matteo
17
Clark, Todd E.
17
Kumar, Dilip
17
Li, Yan
17
Lu, Xinjie
17
Molnár, Peter
17
Chan, Joshua
16
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1
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Working paper / National Bureau of Economic Research, Inc.
5
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4
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3
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3
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2
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2
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1
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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1
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1
Handbook of economic forecasting ; Vol. 1
1
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ECONIS (ZBW)
31
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31
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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
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:
3
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of financial economics
117
(
2015
)
3
,
pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
Saved in:
4
Exploring return dynamics via corridor implied volatility
Andersen, Torben
;
Bondarenko, Oleg
;
Gonzalez-Perez, Maria T.
- In:
The review of financial studies
28
(
2015
)
10
,
pp. 2902-2945
Persistent link: https://www.econbiz.de/10011401368
Saved in:
5
Stochastic volatility : origins and overview
Shephard, Neil G.
;
Andersen, Torben
-
2008
Persistent link: https://www.econbiz.de/10003807435
Saved in:
6
Stoachastic volatility : origins and overview
Shephard, Neil G.
;
Andersen, Torben
-
2008
Persistent link: https://www.econbiz.de/10003818421
Saved in:
7
Reflecting on the VPIN dispute
Andersen, Torben
;
Bondarenko, Oleg
- In:
Journal of financial markets
17
(
2014
),
pp. 53-64
Persistent link: https://www.econbiz.de/10010436245
Saved in:
8
VPIN and the flash crash
Andersen, Torben
;
Bondarenko, Oleg
;
O'Hara, Maureen
- In:
Journal of financial markets
17
(
2014
),
pp. 1-46
Persistent link: https://www.econbiz.de/10010436257
Saved in:
9
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise : theory and testable distributional implication...
Andersen, Torben
;
Bollerslev, Tim
;
Dobrev, Dobrislav
-
2007
"We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and...
Persistent link: https://www.econbiz.de/10003442519
Saved in:
10
Volatility forecasting
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2005
Persistent link: https://www.econbiz.de/10002685057
Saved in:
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