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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888
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Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben; Bollerslev, Tim - 1996
Persistent link: https://www.econbiz.de/10000603372
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The distribution of stock return volatility
Andersen, Torben (contributor) - 2000
Persistent link: https://www.econbiz.de/10001519326
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Modeling and forecasting realized volatility
Andersen, Torben (contributor) - 2001
Persistent link: https://www.econbiz.de/10001561837
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Expected returns, yield spreads, and asset pricing tests
Campbello, Murillo; Chen, Long; Zhang, Lu - 2005
Persistent link: https://www.econbiz.de/10002823463
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Financial market shocks and the macroeconomy
Subrahmanyam, Avanidhar; Titman, Sheridan - 2013
Persistent link: https://www.econbiz.de/10010187032
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The stock market and aggregate employment
Chen, Long; Zhang, Lu - 2009
Persistent link: https://www.econbiz.de/10003875812
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Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001440693
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Roughing it up : including jump components in the measurement, modeling and forecasting of return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2005
Persistent link: https://www.econbiz.de/10003217674