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Volatility

Andersen, Torben - 1992

Persistent link: https://www.econbiz.de/10000914157

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

DM-dollar volatility : intraday activity patterns, macroeconomic announcements, and longer run dependencies

Andersen, Torben; Bollerslev, Tim - 1996

Persistent link: https://www.econbiz.de/10000609240

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