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Stochastic volatility

Andersen, Torben; Benzoni, Luca - 2009

Persistent link: https://www.econbiz.de/10003880159

Construction and interpretation of model-free implied volatility

Andersen, Torben; Bondarenko, Oleg - 2007

Persistent link: https://www.econbiz.de/10003556632

Coherent model-free implied volatility : a corridor fix for high-frequency VIX

Andersen, Torben; Bondarenko, Oleg; Gonzalez-Perez, Maria T. - 2011

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The distribution of exchange rate volatility

Andersen, Torben (contributor) - 1999

Persistent link: https://www.econbiz.de/10001427024

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

The Distribution of Exchange Rate Volatility

Andersen, Torben - 1999

daily exchange rate volatility and correlation, covering an entire decade. In addition to being model-free, our estimates …-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and …

Persistent link: https://www.econbiz.de/10012471846