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~type_genre:"Konferenzschrift"
~type_genre:"Aufsatz in Zeitschrift"
~person:"Andersen, Torben"
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A descriptive study of high-frequency trade and quote option data
Andersen, Torben
;
Archakov, Ilya
;
Grund, Leon
;
Hautsch, …
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 128-177
Persistent link: https://www.econbiz.de/10012504324
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
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