Martin Thyrsgaard

Northwestern University - Kellogg School of Management

2001 Sheridan Road

Evanston, IL 60208

United States

SCHOLARLY PAPERS

3

DOWNLOADS

540

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Predicting Bond Return Predictability

Number of pages: 117 Posted: 30 Jan 2020 Last Revised: 25 Aug 2021
Aarhus University, CREATES, DFI, Aarhus University, CREATES, DFI, Aarhus University, CREATES and Northwestern University - Kellogg School of Management
Downloads 471 (79,460)

Abstract:

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bond excess returns, forecasting, state-dependencies, multivariate test, equal conditional predictive ability

2.

The Realized Empirical Distribution Function of Stochastic Variance with Application to Goodness-of-Fit Testing

Number of pages: 48 Posted: 24 Jul 2018 Last Revised: 25 Jun 2019
Kim Christensen, Martin Thyrsgaard and Bezirgen Veliyev
Aarhus University - CREATES, Northwestern University - Kellogg School of Management and Aarhus University
Downloads 56 (468,694)

Abstract:

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empirical processes; goodness-of-fit; high-frequency data; microstructure noise; pre-averaging; realized variance; stochastic volatility

3.

Cross-Sectional Dispersion of Risk in Trading Time

NBER Working Paper No. w26329
Number of pages: 52 Posted: 30 Sep 2019 Last Revised: 11 Dec 2021
Torben G. Andersen, Martin Thyrsgaard and Viktor Todorov
Downloads 13 (711,254)

Abstract:

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