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~institution:"Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)"
~institution:"Econometric Society"
~institution:"Edward Elgar Publishing"
~person:"Andersen, Torben G."
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Continuous-time models
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EMM inference
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Andersen, Torben G.
Jacobs, Kris
15
Boyer, Marcel
11
Christoffersen, Peter
9
Ghysels, Eric
8
Lanoie, Paul
7
Robinson, Colin
6
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
Econometric Society
Edward Elgar Publishing
School of Economics and Management, University of Aarhus
8
National Bureau of Economic Research (NBER)
6
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Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature
Lund, Jesper
;
Andersen, Torben G.
;
Benzoni, Luca
-
Econometric Society
-
2004
tractable for asset
pricing
applications. We extend classical specifications within and outside of the affine class to multi … dynamics that explain the inadequate performance of nested models. Finally, we explore the bond
pricing
implications and …
Persistent link: https://www.econbiz.de/10005063579
Saved in:
2
Analytic Evaluation of Volatility Forecasts
Andersen, Torben G.
;
Bollerslev, Tim
;
Meddahi, Nour
-
Centre Interuniversitaire de Recherche en Analyse des …
-
2002
the (latent) integrated volatility of primary import from a
pricing
perspective based on simple reduced form time series …
Persistent link: https://www.econbiz.de/10005100878
Saved in:
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