Martin Thyrsgaard

Northwestern University - Kellogg School of Management

2001 Sheridan Road

Evanston, IL 60208

United States

SCHOLARLY PAPERS

3

DOWNLOADS

1,049

SSRN CITATIONS

5

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Predicting Bond Return Predictability

Accepted for publication in Management Science
Number of pages: 114 Posted: 30 Jan 2020 Last Revised: 06 May 2022
Aarhus University, CREATES, DFI, Aarhus University, DFI, Aarhus University, CREATES and Northwestern University - Kellogg School of Management
Downloads 950 (45,714)
Citation 4

Abstract:

Loading...

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 79 (561,500)

Abstract:

Loading...

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 Jun 2023
Torben G. Andersen, Martin Thyrsgaard and Viktor Todorov
Downloads 20 (944,526)

Abstract:

Loading...