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~isPartOf:"CEFIR and NES working papers"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~person:"Andersen, Torben"
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Andersen, Torben
Watson, Mark W.
12
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10
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7
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5
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CEFIR and NES working papers
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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ECONIS (ZBW)
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Intraday trading invariance in the E-mini S&P 500 futures market
Andersen, Torben
;
Bondarenko, Oleg
;
Kyle, Albert S.
; …
-
2016
Persistent link: https://www.econbiz.de/10011633490
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2
Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2009
Persistent link: https://www.econbiz.de/10003909988
Saved in:
3
Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben
;
Bollerslev, Tim
-
1997
Persistent link: https://www.econbiz.de/10000627888
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