Narrow search
Showing 1 - 5 of 5
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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