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Financial risk measurement for financial risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2013
Persistent link: https://www.econbiz.de/10009696029
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Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of econometrics 169 (2012) 1, pp. 75-93
Persistent link: https://www.econbiz.de/10009666722
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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - 2013
Persistent link: https://www.econbiz.de/10010226774
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Assessing measures of order flow toxicity via perfect trade classification
Andersen, Torben; Bondarenko, Oleg - 2013
Persistent link: https://www.econbiz.de/10010226859
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Reflecting on the VPN dispute
Andersen, Torben; Bondarenko, Oleg - 2013
Persistent link: https://www.econbiz.de/10010226863
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012
Persistent link: https://www.econbiz.de/10010202343
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A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - In: Econometric theory 30 (2014) 1, pp. 3-59
Persistent link: https://www.econbiz.de/10010399788
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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
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VPIN and the Flash Crash : a rejoinder
Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 47-52
Persistent link: https://www.econbiz.de/10010436247
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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