Narrow search
Showing 1 - 10 of 19
Cover Image
Realized volatility and multipower variation
Andersen, Torben; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003892558
Cover Image
Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2009
"LIC "-//W3C//DTD HTML 4.01 Transitional//EN" "http://www.w3.org/TR/html4/loose.dtd"Jump-Robust Volatility Estimation using Nearest Neighbor Truncation var djConfig = { parseOnLoad: true, isDebug: false };NATIONAL BUREAU OF ECONOMIC RESEARCH HOME PAGE Jump-Robust Volatility Estimation using...
Persistent link: https://www.econbiz.de/10003898519
Cover Image
Stochastic volatility
Andersen, Torben; Benzoni, Luca - 2010
Persistent link: https://www.econbiz.de/10003937010
Cover Image
Financial risk measurement for financial risk management
Andersen, Torben (contributor) - 2011
Persistent link: https://www.econbiz.de/10009377371
Cover Image
A functional filtering and neighborhood truncation approach to integrated quarticity estimation
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2011
Persistent link: https://www.econbiz.de/10009152330
Cover Image
Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012
Persistent link: https://www.econbiz.de/10009524097
Cover Image
The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - 2013
Persistent link: https://www.econbiz.de/10010226774
Cover Image
Assessing measures of order flow toxicity via perfect trade classification
Andersen, Torben; Bondarenko, Oleg - 2013
Persistent link: https://www.econbiz.de/10010226859
Cover Image
Reflecting on the VPN dispute
Andersen, Torben; Bondarenko, Oleg - 2013
Persistent link: https://www.econbiz.de/10010226863
Cover Image
VPIN and the flash crash
Andersen, Torben; Bondarenko, Oleg - 2011
Persistent link: https://www.econbiz.de/10009385068