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Modelling the coherence in short-run nominal exchange rates : a multivariate generalized ARCH model
Bollerslev, Tim - In: The review of economics and statistics 72 (1990) 3, pp. 498-505
Persistent link: https://www.econbiz.de/10001093160
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Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben - In: The journal of finance : the journal of the American … 52 (1997) 3, pp. 975-1005
Persistent link: https://www.econbiz.de/10001225624
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Periodic autoregressive conditional heteroscedasticity
Bollerslev, Tim - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 2, pp. 139-160
Persistent link: https://www.econbiz.de/10001203173
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Cointegration, fractional cointegration, and exchange rate dynamics
Baillie, Richard - In: The journal of finance : the journal of the American … 49 (1994) 2, pp. 737-745
Persistent link: https://www.econbiz.de/10001169038
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Deutsche Mark-dollar volatility : intraday activity patterns, macroeconomic announcements and longer run dependencies
Andersen, Torben - In: The journal of finance : the journal of the American … 53 (1998) 1, pp. 219-265
Persistent link: https://www.econbiz.de/10001235487
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Order flow and the bid-ask spread : an empirical probability model of screen-based trading
Bollerslev, Tim - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1471-1491
Persistent link: https://www.econbiz.de/10001222036
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Modeling and forecasting realized volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 579-625
Persistent link: https://www.econbiz.de/10001750369
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Forecasting financial market volatility : sample frequency vis-à-vis forecast horizon
Andersen, Torben; Bollerslev, Tim; Lange, Steve - In: Journal of empirical finance 6 (1999) 5, pp. 457-477
Persistent link: https://www.econbiz.de/10001505784
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Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 1, pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 79 (2011) 6, pp. 1727-1783
Persistent link: https://www.econbiz.de/10009425124