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Andersen, Torben
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ECONIS (ZBW)
100
RePEc
1
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1
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
Saved in:
2
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
Saved in:
3
GMM estimation of a stochastic
volatility
model : a Monte Carlo study
Andersen, Torben
-
1995
Persistent link: https://www.econbiz.de/10000932332
Saved in:
4
Volatility
Andersen, Torben
-
1992
Persistent link: https://www.econbiz.de/10000914157
Saved in:
5
Answering the critics : yes, arch models do provide good
volatility
forecasts
Andersen, Torben
;
Bollerslev, Tim
-
1997
Persistent link: https://www.econbiz.de/10000627888
Saved in:
6
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
Saved in:
7
DM-dollar
volatility
: intraday activity patterns, macroeconomic announcements, and longer run dependencies
Andersen, Torben
;
Bollerslev, Tim
-
1996
Persistent link: https://www.econbiz.de/10000609240
Saved in:
8
GMM estimation of a stochastic
volatility
model : a Monte Carlo study
Andersen, Torben
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
3
,
pp. 328-352
Persistent link: https://www.econbiz.de/10001334392
Saved in:
9
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
Saved in:
10
Efficient method of moments estimation of a stochastic
volatility
model : a Monte Carlo study
Andersen, Torben
;
Chung, Hyung-Jin
;
Sørensen, Bent E.
- In:
Journal of econometrics
91
(
1999
)
1
,
pp. 61-87
Persistent link: https://www.econbiz.de/10001382157
Saved in:
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