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Andersen, Torben G.
45
Bollerslev, Tim
31
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18
Hautsch, Nikolaus
15
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7
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6
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4
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4
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3
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3
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3
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Working paper / National Bureau of Economic Research, Inc
18
Journal of econometrics
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
The journal of finance : the journal of the American Finance Association
5
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3
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Economic inquiry : journal of the Western Economic Association International
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Risk : managing risk in the world's financial markets
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Comment - Bayesian Analysis of Stochastic Volatility Models
Anderson, Torben G.
- In:
Journal of business & economic statistics : JBES ; a …
12
(
1994
)
4
,
pp. 389-392
Persistent link: https://www.econbiz.de/10008224424
Saved in:
2
MODELING AND FORECASTING REALIZED VOLATILITY
Anderson, Torben G.
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2001
Persistent link: https://www.econbiz.de/10006979968
Saved in:
3
THE DISTRIBUTION OF EXCHANGE RATE VOLATILITY
Anderson, Torben G.
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
1999
Persistent link: https://www.econbiz.de/10006989632
Saved in:
4
TESTING FOR MARKET MICROSTRUCTURE EFFECTS IN INTRADAY VOLATILITY: A REASSESSMENT OF THE TOKYO FX EXPERIMENT
Anderson, Torben G.
;
Bollerslev, Tim
;
Das, Ashish
-
1998
Persistent link: https://www.econbiz.de/10006992295
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
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
Saved in:
10
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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