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Bollerslev, Tim
65
Andersen, Torben G.
45
Nielsen, Morten Ørregaard
22
Diebold, Francis X.
18
Baillie, Richard T.
6
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Journal of econometrics
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Working paper / National Bureau of Economic Research, Inc
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
The journal of finance : the journal of the American Finance Association
8
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
Econometric theory
5
Journal of international money and finance
3
The review of economics and statistics
3
Economics letters
2
International economic review
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Journal of empirical finance
2
Journal of financial economics
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Journal of international economics
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2
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European financial management : the journal of the European Financial Management Association
1
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1
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Risk : managing risk in the world's financial markets
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The 2005 Invited Address - Comment - Realized Variance and Market Microstructure Noise
Andersen, Torben G.
;
Bollerslev, Tim
;
Frederiksen, Per …
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
2
,
pp. 173-178
Persistent link: https://www.econbiz.de/10008222690
Saved in:
2
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation
Nielsen, Morten Ørregaard
;
Frederiksen, Per
- In:
Journal of empirical finance
15
(
2008
)
2
,
pp. 265-286
Persistent link: https://www.econbiz.de/10007908280
Saved in:
3
Local polynomial Whittle estimation of perturbed fractional processes
Frederiksen, Per
;
Nielsen, Frank S.
;
Nielsen, Morten …
- In:
Journal of econometrics
167
(
2012
)
2
,
pp. 426-448
Persistent link: https://www.econbiz.de/10009833979
Saved in:
4
Fully modified narrow‐band least squares estimation of weak fractional cointegration
Nielsen, Morten Ørregaard
;
Frederiksen, Per
- In:
The econometrics journal
14
(
2011
)
1
,
pp. 77-121
Persistent link: https://www.econbiz.de/10008845134
Saved in:
5
Applications and Case Studies - The Distribution of Realized Exchange Rate Volatility
Andersen, Torben G.
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
- In:
Journal of the American Statistical Association : JASA
96
(
2001
)
453
,
pp. 42-55
Persistent link: https://www.econbiz.de/10006621332
Saved in:
6
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
Andersen, Torben G.
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
1
,
pp. 279-296
Persistent link: https://www.econbiz.de/10006749160
Saved in:
7
The distribution of realized stock return volatility
Andersen, Torben G.
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
- In:
Journal of financial economics
61
(
2001
)
1
,
pp. 43-76
Persistent link: https://www.econbiz.de/10006512570
Saved in:
8
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Andersen, Torben G.
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
- In:
The American economic review
93
(
2003
)
1
,
pp. 38-62
Persistent link: https://www.econbiz.de/10006822737
Saved in:
9
SHORTER PAPERS - Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns
Andersen, Torben G.
;
Bollerslev, Tim
;
Das, Ashish
- In:
The journal of finance : the journal of the American …
56
(
2001
)
1
,
pp. 305-328
Persistent link: https://www.econbiz.de/10006565898
Saved in:
10
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
andersen, torben g.
;
bollerslev, tim
;
meddahi, nour
- In:
International economic review
45
(
2004
)
4
,
pp. 1079-1110
Persistent link: https://www.econbiz.de/10006020291
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