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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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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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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
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Modeling and forecasting realized volatility
Andersen, Torben (contributor) - 2001
Persistent link: https://www.econbiz.de/10001561837
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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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The distribution of exchange rate volatility
Andersen, Torben (contributor) - 1999
Persistent link: https://www.econbiz.de/10001427024
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Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001477784
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Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001440693
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The Distribution of Exchange Rate Volatility
Andersen, Torben - 1999
daily exchange rate volatility and correlation, covering an entire decade. In addition to being model-free, our estimates …-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and …
Persistent link: https://www.econbiz.de/10012471846
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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