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~person:"Andersen, Torben"
~person:"Diebold, Francis X."
~subject:"Volatilität"
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ECONIS (ZBW)
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1
Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben
;
Bondarenko, Oleg
;
Kyle, Albert S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012494219
Saved in:
2
GMM estimation of a stochastic
volatility
model : a Monte Carlo study
Andersen, Torben
-
1995
Persistent link: https://www.econbiz.de/10000932332
Saved in:
3
Modeling
volatility
dynamics
Diebold, Francis X.
;
López, José A.
-
1995
Persistent link: https://www.econbiz.de/10000945662
Saved in:
4
Volatility
Andersen, Torben
-
1992
Persistent link: https://www.econbiz.de/10000914157
Saved in:
5
Modeling
volatility
dynamics
Diebold, Francis X.
;
García López, José A.
-
1995
Persistent link: https://www.econbiz.de/10000920972
Saved in:
6
Answering the critics : yes, arch models do provide good
volatility
forecasts
Andersen, Torben
;
Bollerslev, Tim
-
1997
Persistent link: https://www.econbiz.de/10000627888
Saved in:
7
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
Saved in:
8
DM-dollar
volatility
: intraday activity patterns, macroeconomic announcements, and longer run dependencies
Andersen, Torben
;
Bollerslev, Tim
-
1996
Persistent link: https://www.econbiz.de/10000609240
Saved in:
9
GMM estimation of a stochastic
volatility
model : a Monte Carlo study
Andersen, Torben
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
3
,
pp. 328-352
Persistent link: https://www.econbiz.de/10001334392
Saved in:
10
Horizon problems and extreme events in financial risk management
Christoffersen, Peter F.
- In:
Economic policy review
4
(
1998
)
3
,
pp. 109-118
Persistent link: https://www.econbiz.de/10001338729
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