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Andersen, Torben G.
45
Bollerslev, Tim
27
Diebold, Francis X.
16
Hautsch, Nikolaus
15
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4
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3
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3
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Working paper / National Bureau of Economic Research, Inc
15
Journal of econometrics
7
The journal of finance : the journal of the American Finance Association
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of economic dynamics & control
3
Journal of empirical finance
3
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
International economic review
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Journal of banking & finance
2
The American economic review
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Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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
Saved in:
7
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
Andersen, Torben G.
;
Sørensen, Bent E.
- In:
Journal of econometrics
76
(
1997
)
1-2
,
pp. 397-404
Persistent link: https://www.econbiz.de/10006793682
Saved in:
8
Financial Economics, Macroeconomics, and Econometrics: The Interface - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
Andersen, Torben G.
;
Bollereslev, Tim
;
Diebold, Francis X.
- In:
The American economic review
95
(
2005
)
2
,
pp. 398-404
Persistent link: https://www.econbiz.de/10006810654
Saved in:
9
An Empirical Investigation of Continuous-Time Equity Return Models
Andersen, Torben G.
;
Benzoni, Luca
;
Lund, Jesper
- In:
The journal of finance : the journal of the American …
57
(
2002
)
3
,
pp. 1239-1284
Persistent link: https://www.econbiz.de/10006559603
Saved in:
10
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
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