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Realized volatility forecasting and market microstructure noise
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-235
Persistent link: https://www.econbiz.de/10008770542
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Andersen, Torben G.; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-190
Persistent link: https://www.econbiz.de/10008770545
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No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
Andersen, Torben G.; Bollerslev, Tim; Dobrev, Dobrislav - In: Journal of econometrics 138 (2007) 1, pp. 125-180
Persistent link: https://www.econbiz.de/10007615316
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Realized volatility forecasting and market microstructure noise
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Andersen, Torben; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-189
Persistent link: https://www.econbiz.de/10009242526
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No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise : theory and testable distributional implications
Andersen, Torben; Bollerslev, Tim; Dobrev, Dobrislav - In: Journal of econometrics 138 (2007) 1, pp. 125-180
Persistent link: https://www.econbiz.de/10003451756
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Generalized autoregressive conditional heteroskedasticity
Bollerslev, Tim - In: Journal of econometrics 3 (1986), pp. 307-327
Persistent link: https://www.econbiz.de/10001036197
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Financial econometrics: past developments and future challenges
Bollerslev, Tim - In: Journal of econometrics 100 (2001) 1, pp. 41-51
Persistent link: https://www.econbiz.de/10001546139
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Option valuation with conditional skewness
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - In: Journal of econometrics 131 (2006) 1/2, pp. 253-284
Persistent link: https://www.econbiz.de/10003298580
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Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
Andersen, Torben G.; Chung, Hyung-Jin; Sørensen, Bent E. - In: Journal of econometrics 91 (1999) 1, pp. 61-88
Persistent link: https://www.econbiz.de/10006785953