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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~person:"Andersen, Torben"
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Andersen, Torben
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2009
Persistent link: https://www.econbiz.de/10003909988
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2
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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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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