Similar Search Results

Coherent model-free implied volatility : a corridor fix for high-frequency VIX

Andersen, Torben; Bondarenko, Oleg; Gonzalez-Perez, Maria T. - 2011

Persistent link: https://www.econbiz.de/10009385071

Construction and interpretation of model-free implied volatility

Andersen, Torben; Bondarenko, Oleg - 2007

Persistent link: https://www.econbiz.de/10003556632

Stochastic volatility

Andersen, Torben; Benzoni, Luca - 2009

Persistent link: https://www.econbiz.de/10003880159

Modeling and forecasting realized volatility

Andersen, Torben (contributor) - 2001

Persistent link: https://www.econbiz.de/10001561837

The distribution of exchange rate volatility

Andersen, Torben (contributor) - 1999

Persistent link: https://www.econbiz.de/10001427024

Correcting the errors : a note on volatility forecast evaluation based on high-frequency data and realized volatilities

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947554

Intraday trading invariancein the E-mini S&P 500 futures market

Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2020

Persistent link: https://www.econbiz.de/10012494219

Volatility

Andersen, Torben - 1992

Persistent link: https://www.econbiz.de/10000914157

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

Andersen, Torben; Bollerslev, Tim - 1997

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

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