Narrow search
Showing 1 - 10 of 80
Cover Image
Intraday cross-sectional distributions of systematic risk
Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Cover Image
Realized Volatility and Multipower Variation
Andersen, Torben; Todorov, Viktor - 2009
This paper reviews basic notions of return variation in the context of a continuous-time arbitrage-free asset pricing model and discusses some of their applications. We first define return variation in the infeasible continuous-sampling case. Then we introduce realized measures obtained from...
Persistent link: https://www.econbiz.de/10014202215
Cover Image
Realized volatility and multipower variation
Andersen, Torben; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003892558
Cover Image
The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2014
Persistent link: https://www.econbiz.de/10010442402
Cover Image
The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
Cover Image
The pricing of tail risk and the equity premium : evidence from international option markets
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2018
Persistent link: https://www.econbiz.de/10011797485
Cover Image
The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2018
Persistent link: https://www.econbiz.de/10011797609
Cover Image
Tail risk and return predictability for the Japanese equity market
Andersen, Torben; Todorov, Viktor; Ubukata, Masato - In: Journal of econometrics 222 (2021) 1,2, pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
Cover Image
The pricing of tail risk and the equity premium : evidence from international option markets
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 662-678
Persistent link: https://www.econbiz.de/10012262503
Cover Image
Volatility measurement with pockets of extreme return persistence
Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27
Persistent link: https://www.econbiz.de/10014471793