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

Andersen, Torben; Bollerslev, Tim - 1997

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

Realized volatility

Andersen, Torben (contributor); Benzoni, Luca (contributor) - 2008

Persistent link: https://www.econbiz.de/10003786282

Realized volatility

Andersen, Torben; Benzoni, Luca - In: Handbook of financial time series, (pp. 555-575). 2009

Persistent link: https://www.econbiz.de/10003834180

Duration-based volatility estimation

Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2009

Persistent link: https://www.econbiz.de/10003854415

Realized volatility and multipower variation

Andersen, Torben; Todorov, Viktor - 2009

Persistent link: https://www.econbiz.de/10003892558

Jump-robust volatility estimation using nearest neighbor truncation

Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2009

"LIC "-//W3C//DTD HTML 4.01 Transitional//EN" "http://www.w3.org/TR/html4/loose.dtd"Jump-Robust Volatility Estimation using Nearest Neighbor Truncation var djConfig = { parseOnLoad: true, isDebug: false };NATIONAL BUREAU OF ECONOMIC RESEARCH HOME PAGE Jump-Robust Volatility Estimation using...

Persistent link: https://www.econbiz.de/10003898519

Jump-robust volatility estimation using nearest neighbor truncation

Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2009

Persistent link: https://www.econbiz.de/10003909988

Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

Andersen, Torben; Bollerslev, Tim; Frederiksen, Per; … - In: Journal of applied econometrics 25 (2010) 2, pp. 233-261

Persistent link: https://www.econbiz.de/10008667607

Handbook of financial time series

Andersen, Torben (ed.); Davis, Richard A. (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003494231

Jump-robust volatility estimation using nearest neighbor truncation

Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2010

We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...

Persistent link: https://www.econbiz.de/10008657195