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Power and bipower variation with stochastic volatility and jumps : discussion
Andersen, Torben; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 37-48
Persistent link: https://www.econbiz.de/10002575826
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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
Persistent link: https://www.econbiz.de/10001469560
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Testing for market microstructure effects in intraday volatility : a reassessment of the Tokyo FX experiment
Anderson, Torben G.; Bollerslev, Tim; Das, Ashish - 1998
Persistent link: https://www.econbiz.de/10000673940
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Micro effects of macro announcements : real-time price discovery in foreign exchange
Anderson, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002019989
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Modeling and forecasting realized volatility
Anderson, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002020013
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Realized volatility
Andersen, Torben (contributor); Benzoni, Luca (contributor) - 2008
Persistent link: https://www.econbiz.de/10003786282
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Stochastic volatility: origins and overview
Shephard, Neil G.; Andersen, Torben - In: Handbook of financial time series, (pp. 233-254). 2009
Persistent link: https://www.econbiz.de/10003833953
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Realized volatility
Andersen, Torben; Benzoni, Luca - In: Handbook of financial time series, (pp. 555-575). 2009
Persistent link: https://www.econbiz.de/10003834180
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Stochastic volatility : origins and overview
Shephard, Neil G.; Andersen, Torben - 2008
Persistent link: https://www.econbiz.de/10003807435
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Stoachastic volatility : origins and overview
Shephard, Neil G.; Andersen, Torben - 2008
Persistent link: https://www.econbiz.de/10003818421