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Some reflections on analysis of high-frequency data

Andersen, Torben - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 146-153

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

Andersen, Torben; Bollerslev, Tim - 1997

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Realized volatility

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

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Realized volatility

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

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Duration-based volatility estimation

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

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Realized volatility and multipower variation

Andersen, Torben; Todorov, Viktor - 2009

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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...

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Jump-robust volatility estimation using nearest neighbor truncation

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

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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

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Handbook of financial time series

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

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