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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

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

Equity market volatility and expected risk premium

Chen, Long (contributor); Guo, Hui (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003739618

Expected returns, yield spreads, and asset pricing tests

Campello, Murillo; Chen, Long; Zhang, Lu - In: The review of financial studies 21 (2008) 3, pp. 1297-1338

Persistent link: https://www.econbiz.de/10003742247

Realized volatility

Andersen, Torben (contributor); Benzoni, Luca (contributor) - 2008

Persistent link: https://www.econbiz.de/10003786282

Realized volatility

Andersen, Torben; Benzoni, Luca - In: Handbook of financial time series, (pp. 555-575). 2009

Persistent link: https://www.econbiz.de/10003834180

Realized volatility and multipower variation

Andersen, Torben; Todorov, Viktor - 2009

Persistent link: https://www.econbiz.de/10003892558

No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise : theory and testable distributional implication...

Andersen, Torben; Bollerslev, Tim; Dobrev, Dobrislav - 2007

"We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and...

Persistent link: https://www.econbiz.de/10003442519

No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise : theory and testable distributional implications

Andersen, Torben; Bollerslev, Tim; Dobrev, Dobrislav - In: Journal of econometrics 138 (2007) 1, pp. 125-180

Persistent link: https://www.econbiz.de/10003451756

Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

Andersen, Torben; Bollerslev, Tim; Frederiksen, Per; … - In: Journal of applied econometrics 25 (2010) 2, pp. 233-261

Persistent link: https://www.econbiz.de/10008667607

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