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Coherent model-free implied volatility : a corridor fix for high-frequency VIX
Andersen, Torben; Bondarenko, Oleg; Gonzalez-Perez, Maria T. - 2011
Persistent link: https://www.econbiz.de/10009385071
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Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003 - This version: September 2003
A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …
Persistent link: https://www.econbiz.de/10009764770
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A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2013
Persistent link: https://www.econbiz.de/10009735127
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An empirical investigation of continuous-time equity return models
Andersen, Torben; Benzoni, Luca; Lund, Jesper - 2001
Persistent link: https://www.econbiz.de/10001615265
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Some like it smooth, and some like it rough : untanging continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003
Persistent link: https://www.econbiz.de/10001846702
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The distribution of stock return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001476423
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Do Short Selling Restrictions Destabilize Stock Returns? Lessons from Taiwan
Bohl, Martin T. - 2011
Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …
Persistent link: https://www.econbiz.de/10013125910
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Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan
Bohl, Martin T. - 2011
Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …
Persistent link: https://www.econbiz.de/10013126007
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Short-term market risks implied by weekly options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2018
Persistent link: https://www.econbiz.de/10011797670
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Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk
Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682
We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...
Persistent link: https://www.econbiz.de/10012598456