Browsing All of EconStor by Author Andersen, Torben G.
Showing results 1 to 12 of 12
Year of Publication | Title | Author(s) |
2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility | Andersen, Torben G.; Bollerslev, Tim; Francis X. Diebold, |
2004 | Real-time price discovery in stock, bond and foreign exchange markets | Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Vega, Clara |
2004 | Realized beta: Persistence and predictability | Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Jin |
2005 | Volatility forecasting | Andersen, Torben G.; Bollerslev, Tim; Christoffersen, Peter F.; Diebold, Francis X. |
2005 | A framework for exploring the macroeconomic determinants of systematic risk | Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Jin |
2005 | Practical volatility and correlation modeling for financial market risk management | Andersen, Torben G.; Bollerslev, Tim; Christoffersen, Peter F.; Diebold, Francis X. |
2006 | Realized return volatility, asset pricing, and risk management | Andersen, Torben G.; Bollerslev, Tim |
2008 | Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns | Andersen, Torben G.; Bollerslev, Tim; Frederiksen, Per; Nielsen, Morten Ørregaard |
2008 | Realized volatility | Andersen, Torben G.; Benzoni, Luca |
2009 | Stochastic volatility | Andersen, Torben G.; Benzoni, Luca |
2010 | Jump-robust volatility estimation using nearest neighbor truncation | Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst |
2017 | Volatility, information feedback and market microstructure noise: A tale of two regimes | Andersen, Torben G.; Cebiroglu, Gökhan; Hautsch, Nikolaus |