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Deutsche Mark-dollar volatility : intraday activity patterns, macroeconomic announcements, and longer run dependencies
Andersen, Torben; Bollerslev, Tim - In: Foreign exchange markets, (pp. 133-179). 2005
Persistent link: https://www.econbiz.de/10003290893
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A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: The American economic review 95 (2005) 2, pp. 398-404
Persistent link: https://www.econbiz.de/10003214098
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Roughing it up : including jump components in the measurement, modeling and forecasting of return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2005
Persistent link: https://www.econbiz.de/10003217674
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Parametric and nonparametric volatility measurement
Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2002
Persistent link: https://www.econbiz.de/10003229526
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Real-time price discovery in stock, bond and foreign exchange markets
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2004 - rev
Persistent link: https://www.econbiz.de/10003229579
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Real-time price discovery in stock, bond and foreign exchange markets
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2005
Persistent link: https://www.econbiz.de/10002815851
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Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 1, pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
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Practical volatility and correlation modeling for financial market risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
Persistent link: https://www.econbiz.de/10002569521
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A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2005
Persistent link: https://www.econbiz.de/10002634153
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Practical volatility and correlation modeling for financial market risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002636035