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~person:"Andersen, Torben"
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Andersen, Torben
Gil-Alaña, Luis A.
338
Caporale, Guglielmo Maria
260
Phillips, Peter C. B.
237
Franses, Philip Hans
215
Koopman, Siem Jan
215
McAleer, Michael
139
Gao, Jiti
134
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122
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113
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111
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107
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103
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93
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91
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88
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85
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83
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82
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82
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81
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80
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79
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77
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77
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73
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73
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73
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71
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71
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70
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68
Maravall Herrero, Agustín
68
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67
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ECONIS (ZBW)
31
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21
Realized volatility
Andersen, Torben
;
Benzoni, Luca
- In:
Handbook of financial time series
,
(pp. 555-575)
.
2009
Persistent link: https://www.econbiz.de/10003834180
Saved in:
22
Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2009
Persistent link: https://www.econbiz.de/10003909988
Saved in:
23
Handbook of financial time series
Andersen, Torben
(
ed.
);
Davis, Richard A.
(
contributor
); …
-
2009
Persistent link: https://www.econbiz.de/10003494231
Saved in:
24
Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
1
,
pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
Saved in:
25
Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben
(
contributor
);
Bollerslev, Tim
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001899970
Saved in:
26
Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben
(
contributor
)
- In:
Multinational finance journal : MF ; quarterly …
4
(
2000
)
3/4
,
pp. 159-179
Persistent link: https://www.econbiz.de/10001636380
Saved in:
27
Some reflections on analysis of high-frequency data
Andersen, Torben
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
2
,
pp. 146-153
Persistent link: https://www.econbiz.de/10001469560
Saved in:
28
Answering the skeptics : yes, standard volatility models do provide accurate forecasts
Andersen, Torben
- In:
International economic review
39
(
1998
)
4
,
pp. 885-905
Persistent link: https://www.econbiz.de/10001338809
Saved in:
29
Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben
;
Bollerslev, Tim
-
1997
Persistent link: https://www.econbiz.de/10000627888
Saved in:
30
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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