Narrow search
Showing 81 - 90 of 1,135
Cover Image
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
Cover Image
Assessing measures of order flow toxicity via perfect trade classification
Andersen, Torben; Bondarenko, Oleg - 2013
Persistent link: https://www.econbiz.de/10010226859
Cover Image
Reflecting on the VPN dispute
Andersen, Torben; Bondarenko, Oleg - 2013
Persistent link: https://www.econbiz.de/10010226863
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
VPIN and the flash crash
Andersen, Torben; Bondarenko, Oleg - 2011
Persistent link: https://www.econbiz.de/10009385068
Cover Image
Coherent model-free implied volatility : a corridor fix for high-frequency VIX
Andersen, Torben; Bondarenko, Oleg; Gonzalez-Perez, Maria T. - 2011
Persistent link: https://www.econbiz.de/10009385071
Cover Image
Financial risk measurement for financial risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2011
Persistent link: https://www.econbiz.de/10009389307