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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - 1998

Persistent link: https://www.econbiz.de/10000998139

Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998

Persistent link: https://www.econbiz.de/10000682409

Answering the critics : yes, arch models do provide good volatility forecasts

Andersen, Torben; Bollerslev, Tim - 1997

Persistent link: https://www.econbiz.de/10000627888

Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns

Andersen, Torben; Bollerslev, Tim - 1996

Persistent link: https://www.econbiz.de/10000603372

Answering the skeptics : yes, standard volatility models do provide accurate forecasts

Andersen, Torben - In: International economic review 39 (1998) 4, pp. 885-905

Persistent link: https://www.econbiz.de/10001338809

Evaluating density forecasts with applications to financial risk management

Diebold, Francis X. - In: International economic review 39 (1998) 4, pp. 863-883

Persistent link: https://www.econbiz.de/10001338810

The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584

Persistent link: https://www.econbiz.de/10011480313

Realized return volatility, asset pricing, and risk management

Andersen, Torben; Bollerslev, Tim - In: NBER reporter online (2006/2007) 3, pp. 7-10

Persistent link: https://www.econbiz.de/10011366975

Volatility, information feedback and market microstructure noise : a tale of two regimes

Andersen, Torben; Cebiroglu, Gökhan; Hautsch, Nikolaus - 2017 - This version: February 6, 2017

We extend the classical "martingale-plus-noise" model for high-frequency prices by an error correction mechanism originating from prevailing mispricing. The speed of price reversal is a natural measure for informational efficiency. The strength of the price reversal relative to the...

Persistent link: https://www.econbiz.de/10011613905

The pricing of tail risk and the equity premium : evidence from international option markets

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2018

Persistent link: https://www.econbiz.de/10011797485

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