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Volatility Measurement with Po...
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Andersen, Torben
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Econometric theory
Journal of econometrics
58
Memo / Økonomisk Institut, Aarhus Universitet
40
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29
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Spatial dependence in option observation errors
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Econometric theory
37
(
2021
)
2
,
pp. 205-247
Persistent link: https://www.econbiz.de/10012505388
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2
Inference for option panels in pure-jump settings
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Econometric theory
35
(
2019
)
5
,
pp. 901-942
Persistent link: https://www.econbiz.de/10012146164
Saved in:
3
[Rezension] Campbell, John Y., ..., The econometrics of financial markets : Princeton Univ. Press, 1997
Andersen, Torben
- In:
Econometric theory
14
(
1998
)
5
,
pp. 671-685
Persistent link: https://www.econbiz.de/10001381153
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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5
Consistent local spectrum inference for predictive return regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Econometric theory
38
(
2022
)
6
,
pp. 1253-1307
Persistent link: https://www.econbiz.de/10013539347
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6
Realized volatility when sampling times are possibly endogenous
Li, Yingying
;
Mykland, Per A.
;
Renault, Eric
;
Zhang, Lan
; …
- In:
Econometric theory
30
(
2014
)
3
,
pp. 580-605
Persistent link: https://www.econbiz.de/10010500887
Saved in:
7
Testing for anticipated changes in spot volatility at event times
Todorov, Viktor
;
Zhang, Yang
- In:
Econometric theory
41
(
2025
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10015374587
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8
Estimating the volatility occupation time via regularized Laplace inversion
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometric theory
32
(
2016
)
5
,
pp. 1253-1288
Persistent link: https://www.econbiz.de/10011661745
Saved in:
9
BOOK REVIEWS - Simulation-Based Econometric Methods by Christian Gouriéroux and Alain Monfort
Andersen, Torben G.
- In:
Econometric theory
16
(
2000
)
1
,
pp. 131-138
Persistent link: https://www.econbiz.de/10006984539
Saved in:
10
BOOK REVIEW - The Econometrics of Financial Markets
Andersen, Torben G.
;
Campbell, John Y.
;
Lo, Andrew W.
; …
- In:
Econometric theory
14
(
1998
)
5
,
pp. 671-686
Persistent link: https://www.econbiz.de/10006991442
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