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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

Time-varying periodicity in intraday volatility

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - 2018

Persistent link: https://www.econbiz.de/10011797522

Short-term market risks implied by weekly options

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

Persistent link: https://www.econbiz.de/10011797670

Exploring return dynamics via corridor implied volatility

Andersen, Torben; Bondarenko, Oleg; Gonzalez-Perez, Maria T. - In: The review of financial studies 28 (2015) 10, pp. 2902-2945

Persistent link: https://www.econbiz.de/10011401368

Reflecting on the VPIN dispute

Andersen, Torben; Bondarenko, Oleg - In: Journal of financial markets 17 (2014), pp. 53-64

Persistent link: https://www.econbiz.de/10010436245

VPIN and the flash crash

Andersen, Torben; Bondarenko, Oleg; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 1-46

Persistent link: https://www.econbiz.de/10010436257

Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001899970

The distribution of realized stock return volatility

Andersen, Torben (contributor) - In: Journal of financial economics 61 (2001) 1, pp. 43-76

Persistent link: https://www.econbiz.de/10001592215

Exchange rate returns standardized by realized volatility are (nearly) Gaussian

Andersen, Torben (contributor) - In: Multinational finance journal : MF ; quarterly … 4 (2000) 3/4, pp. 159-179

Persistent link: https://www.econbiz.de/10001636380