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~isPartOf:"The journal of finance : the journal of the American Finance Association"
~person:"Allen, David E."
~person:"Andersen, Torben"
~person:"Christiansen, Charlotte"
~person:"Dijk, Dick van"
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Estimation theory"
~subject:"Japan"
~subject:"Measurement"
~subject:"Monte-Carlo-Simulation"
~subject:"Theorie"
~subject:"United States"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammelwerk"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
Börsenkurs
Estimation theory
Japan
Measurement
Monte-Carlo-Simulation
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United States
Volatility
6
Volatilität
6
USA
5
Ankündigungseffekt
3
Announcement effect
3
1992-1993
2
Deutsche Mark
2
Devisenmarkt
2
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2
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2
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Nichtparametrische Schätzung
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Aufsatz in Zeitschrift
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Allen, David E.
Andersen, Torben
Christiansen, Charlotte
Dijk, Dick van
Medeiros, Marcelo C.
Bollerslev, Tim
3
Eraker, Bjørn
3
Fleming, Jeff
3
Subrahmanyam, Avanidhar
3
Whaley, Robert E.
3
Ang, Andrew
2
Bali, Turan G.
2
Benzoni, Luca
2
Cakici, Nusret
2
Campbell, John Y.
2
Dumas, Bernard
2
Kirby, Chris
2
Li, Haitao
2
Muir, Tyler
2
Ostdiek, Barbara
2
Pan, Jun
2
Poteshman, Allen M.
2
Stambaugh, Robert F.
2
Titman, Sheridan
2
Wu, Liuren
2
Ackermann, Carl
1
Adam, Klaus
1
Adrian, Tobias
1
Alizadeh, Sassan
1
An, Byeong-Je
1
Antweiler, Werner
1
Ané, Thierry
1
Bailey, Warren
1
Bakshi, Gurdip S.
1
Ball, Clifford A.
1
Banerjee, Snehal
1
Bansal, Ravi
1
Barraclough, Kathryn
1
Bartram, Söhnke M.
1
Başak, Suleyman
1
Bekaert, Geert
1
Bergman, Yaacov Z.
1
Bittlingmayer, George
1
Boguth, Oliver
1
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The journal of finance : the journal of the American Finance Association
Discussion paper / Tinbergen Institute
18
Working paper / National Bureau of Economic Research, Inc.
14
CREATES research paper
12
Journal of econometrics
11
Econometric Institute research papers
7
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
7
School of Accounting, Finance and Economics & FEMARC working paper series
6
Working paper
6
Journal of banking & finance
5
Journal of empirical finance
5
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
5
Working papers / Financial Institutions Center
5
Journal of financial markets
4
CFS working paper series
3
Discussion paper series
3
Financial Institutions Center
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of risk and financial management : JRFM
3
The North American journal of economics and finance : a journal of financial economics studies
3
Applied economics
2
ERIM report series research in management
2
Econometric reviews
2
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Global COE Hi-Stat discussion paper series
2
International economic review
2
International journal of forecasting
2
Journal of applied econometrics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of international financial markets, institutions & money
2
The review of economics and statistics
2
Tinbergen Institute Discussion Paper
2
Working papers / Federal Reserve Bank of Chicago
2
American Economic Review papers and proceedings
1
Applied financial economics
1
BIS working papers
1
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
1
CEFIR and NES working papers
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
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ECONIS (ZBW)
6
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1
Short-term market risks implied by weekly options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
The journal of finance : the journal of the American …
72
(
2017
)
3
,
pp. 1335-1386
Persistent link: https://www.econbiz.de/10011738723
Saved in:
2
Do bonds span
volatility
risk in the US treasury market? : a specification test for affine term structure models
Andersen, Torben
;
Benzoni, Luca
- In:
The journal of finance : the journal of the American …
65
(
2010
)
2
,
pp. 603-653
Persistent link: https://www.econbiz.de/10003962242
Saved in:
3
An empirical investigation of continuous-time equity return models
Andersen, Torben
;
Benzoni, Luca
;
Lund, Jesper
- In:
The journal of finance : the journal of the American …
57
(
2002
)
3
,
pp. 1239-1284
Persistent link: https://www.econbiz.de/10001684993
Saved in:
4
Variance-ratio statistics and high-frequency data : testing for changes in intraday
volatility
patterns
Andersen, Torben
;
Bollerslev, Tim
;
Das, Ashish
- In:
The journal of finance : the journal of the American …
56
(
2001
)
1
,
pp. 305-327
Persistent link: https://www.econbiz.de/10001575072
Saved in:
5
Deutsche Mark-dollar
volatility
: intraday activity patterns, macroeconomic announcements and longer run dependencies
Andersen, Torben
- In:
The journal of finance : the journal of the American …
53
(
1998
)
1
,
pp. 219-265
Persistent link: https://www.econbiz.de/10001235487
Saved in:
6
Heterogeneous information arrivals and return
volatility
dynamics : uncovering the long-run in high frequency returns
Andersen, Torben
- In:
The journal of finance : the journal of the American …
52
(
1997
)
3
,
pp. 975-1005
Persistent link: https://www.econbiz.de/10001225624
Saved in:
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