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Bollerslev, Tim
14
Andersen, Torben G.
10
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9
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3
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3
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2
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Working paper / National Bureau of Economic Research, Inc
Journal of econometrics
63
CREATES Research Papers
26
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25
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22
NBER Working Paper
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NBER working paper series
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Memo / Økonomisk Institut, Aarhus Universitet
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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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2
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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3
FINANCIAL RISK MEASUREMENT FOR FINANCIAL RISK MANAGEMENT
Andersen, Torben G
;
Bollerslev, Tim
;
Christoffersen, Peter F
-
2012
Persistent link: https://www.econbiz.de/10009987944
Saved in:
4
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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5
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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6
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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7
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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8
VOLATILITY FORECASTING
Andersen, Torben G.
;
Bollerslev, Tim
;
Christoffersen, …
-
2005
Persistent link: https://www.econbiz.de/10006960219
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9
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
Saved in:
10
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
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