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PARAMETRIC INFERENCE AND DYNAMIC STATE RECOVERY FROM OPTION PANELS
Andersen, Torben G; Fusari, Nicola; Todorov, Viktor - 2012
Persistent link: https://www.econbiz.de/10009983277
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NO-ARBITRAGE SEMI-MARTINGALE RESTRICTIONS FOR CONTINUOUS-TIME VOLATILITY MODELS SUBJECT TO LEVERAGE EFFECTS, JUMPS AND I.I.D. NOISE: THEORY AND TESTABLE DISTRIBUTIONAL IMPLICATIONS
Andersen, Torben G.; Bollerslev, Tim; Dobrev, Dobrislav - 2007
Persistent link: https://www.econbiz.de/10007724691
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FINANCIAL RISK MEASUREMENT FOR FINANCIAL RISK MANAGEMENT
Andersen, Torben G; Bollerslev, Tim; Christoffersen, Peter F - 2012
Persistent link: https://www.econbiz.de/10009987944
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THE DISTRIBUTION OF EXCHANGE RATE VOLATILITY
Anderson, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 1999
Persistent link: https://www.econbiz.de/10006989632
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TESTING FOR MARKET MICROSTRUCTURE EFFECTS IN INTRADAY VOLATILITY: A REASSESSMENT OF THE TOKYO FX EXPERIMENT
Anderson, Torben G.; Bollerslev, Tim; Das, Ashish - 1998
Persistent link: https://www.econbiz.de/10006992295
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DM-DOLLAR VOLATILITY: INTRADAY ACTIVITY PATTERNS, MACROECONOMIC ANNOUNCEMENTS, AND LONGER RUN DEPENDENCIES
Andersen, Torben G.; Bollerslev, Tim - 1996
Persistent link: https://www.econbiz.de/10007003292
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HETEROGENEOUS INFORMATION ARRIVALS AND RETURN VOLATILITY DYNAMICS: UNCOVERING THE LONG-RUN IN HIGH FREQUENCY RETURNS
Andersen, Torben G.; Bollerslev, Tim - 1996
Persistent link: https://www.econbiz.de/10007003639
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VOLATILITY FORECASTING
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2005
Persistent link: https://www.econbiz.de/10006960219
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A FRAMEWORK FOR EXPLORING THE MACROECONOMIC DETERMINANTS OF SYSTEMATIC RISK
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2005
Persistent link: https://www.econbiz.de/10006960533
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MICRO EFFECTS OF MACRO ANNOUNCEMENTS: REAL-TIME PRICE DISCOVERY IN FOREIGN EXCHANGE
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2002
Persistent link: https://www.econbiz.de/10006974033