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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

Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns

Andersen, Torben; Bollerslev, Tim - 1996

Persistent link: https://www.econbiz.de/10000603372

Answering the skeptics : yes, standard volatility models do provide accurate forecasts

Andersen, Torben - In: International economic review 39 (1998) 4, pp. 885-905

Persistent link: https://www.econbiz.de/10001338809

The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584

Persistent link: https://www.econbiz.de/10011480313

Realized return volatility, asset pricing, and risk management

Andersen, Torben; Bollerslev, Tim - In: NBER reporter online (2006/2007) 3, pp. 7-10

Persistent link: https://www.econbiz.de/10011366975

Forecasting the U.S. stock volatility : an aligned jump index from G7 stock markets

Ma, Feng; Wahab, M. I. M.; Zhang, Yaojie - In: Pacific-Basin finance journal 54 (2019), pp. 132-146

Persistent link: https://www.econbiz.de/10012133635

Tail risk and the return-volatility relation

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 46 (2018), pp. 16-29

Persistent link: https://www.econbiz.de/10011983542

Forecasting the realized volatility : the role of jumps

Liu, Zhichao; Ma, Feng; Wang, Xunxiao; Xia, Zean - In: Applied economics letters 23 (2016) 10/12, pp. 736-739

Persistent link: https://www.econbiz.de/10011628475

Volatility, information feedback and market microstructure noise : a tale of two regimes

Andersen, Torben; Cebiroglu, Gökhan; Hautsch, Nikolaus - 2017 - This version: February 6, 2017

We extend the classical "martingale-plus-noise" model for high-frequency prices by an error correction mechanism originating from prevailing mispricing. The speed of price reversal is a natural measure for informational efficiency. The strength of the price reversal relative to the...

Persistent link: https://www.econbiz.de/10011613905

Forecasting the realized volatility in the Chinese stock market : further evidence

Pu, Wang; Chen, Yixiang; Ma, Feng - In: Applied economics 48 (2016) 31/33, pp. 3116-3130

Persistent link: https://www.econbiz.de/10011616957