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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
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GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
Andersen, Torben G.; Sørensen, Bent E. - In: Journal of econometrics 76 (1997) 1-2, pp. 397-404
Persistent link: https://www.econbiz.de/10006793682
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Efficient method of moments estimation of a stochastic volatility model : a Monte Carlo study
Andersen, Torben; Chung, Hyung-Jin; Sørensen, Bent E. - In: Journal of econometrics 91 (1999) 1, pp. 61-87
Persistent link: https://www.econbiz.de/10001382157
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The demand for risky assets : sample selection and household portfolios
Perraudin, William R. M.; Sørensen, Bent E. - In: Journal of econometrics 97 (2000) 1, pp. 117-144
Persistent link: https://www.econbiz.de/10001487321
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Estimating continuous-time stochastic volatility models of the short-term interest rate
Andersen, Torben G.; Lund, Jesper - In: Journal of econometrics 77 (1997) 2, pp. 343-378
Persistent link: https://www.econbiz.de/10006793394
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Estimating continuous-time stochastic volatility models of the short-term interest rate
Andersen, Torben - In: Journal of econometrics 77 (1997) 2, pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
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Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of econometrics 169 (2012) 1, pp. 75-94
Persistent link: https://www.econbiz.de/10009979014
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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