Narrow search
Showing 1 - 10 of 12
Cover Image
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
Cover Image
Correcting the errors : a note on volatility forecast evaluation based on high-frequency data and realized volatilities
Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947554
Cover Image
Stochastic volatility : origins and overview
Shephard, Neil G.; Andersen, Torben - 2008
Persistent link: https://www.econbiz.de/10003807435
Cover Image
Stoachastic volatility : origins and overview
Shephard, Neil G.; Andersen, Torben - 2008
Persistent link: https://www.econbiz.de/10003818421
Cover Image
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
intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional … alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through …
Persistent link: https://www.econbiz.de/10003442519
Cover Image
A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2013
Persistent link: https://www.econbiz.de/10009735127
Cover Image
An empirical investigation of continuous-time equity return models
Andersen, Torben; Benzoni, Luca; Lund, Jesper - 2001
Persistent link: https://www.econbiz.de/10001615265
Cover Image
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
Cover Image
The distribution of stock return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001476423
Cover Image
Short-term market risks implied by weekly options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2018
Persistent link: https://www.econbiz.de/10011797670