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~person:"Andersen, Torben"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
~type_genre:"Bibliografie enthalten"
~type_genre:"Bibliography included"
~type_genre:"Konferenzschrift"
~type_genre:"Statistik"
~type_genre:"Übersichtsarbeit"
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Volatility
Volatilität
27
Theorie
19
Theory
19
Capital income
12
Kapitaleinkommen
12
Time series analysis
11
USA
11
United States
11
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Article in journal
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Bibliografie enthalten
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Andersen, Torben
McAleer, Michael
34
Bollerslev, Tim
30
Gupta, Rangan
26
Kumar, Dilip
26
Todorov, Viktor
26
Escobar, Marcos
23
Zhang, Jin E.
23
Carr, Peter
22
Cui, Zhenyu
22
Tauchen, George Eugene
22
Fabozzi, Frank J.
20
Wang, Yudong
20
Benth, Fred Espen
19
Chiarella, Carl
19
Asai, Manabu
18
Mensi, Walid
18
Renault, Eric
18
Aït-Sahalia, Yacine
17
Christoffersen, Peter F.
17
Ghysels, Eric
17
Hammoudeh, Shawkat
17
Li, Jia
17
Tiwari, Aviral Kumar
17
Fouque, Jean-Pierre
16
Maheswaran, S.
16
Wang, Xingchun
16
Caporin, Massimiliano
15
Elliott, Robert J.
15
Herwartz, Helmut
15
Kang, Sang Hoon
15
Madan, Dilip B.
15
Renò, Roberto
15
Takahashi, Akihiko
15
Bali, Turan G.
14
Bouri, Elie
14
Härdle, Wolfgang
14
Wu, Liuren
14
Clements, Adam
13
Hafner, Christian M.
13
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Journal of econometrics
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
The journal of finance : the journal of the American Finance Association
3
International economic review
2
Journal of financial economics
2
Handbook of economic forecasting ; Vol. 1
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
NBER reporter online
1
Special section on small-sample properties of generalized method of moments (GMM)
1
Symposium on forecasting and empirical methods in macroeconomics and finance
1
The review of economics and statistics
1
The review of financial studies
1
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ECONIS (ZBW)
27
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27
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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
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:
6
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:
7
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:
8
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
83
(
2015
)
3
,
pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591
Saved in:
9
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:
10
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:
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