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The distribution of stock return volatility
Andersen, Torben (contributor) - 2000
Persistent link: https://www.econbiz.de/10001519326
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Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001440693
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The distribution of exchange rate volatility
Andersen, Torben (contributor) - 1999
Persistent link: https://www.econbiz.de/10001427024
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The distribution of stock return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001476423
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Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001477784
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Answering the skeptics : yes, standard volatility models do provide accurate forecasts
Andersen, Torben - In: International economic review 39 (1998) 4, pp. 885-905
Persistent link: https://www.econbiz.de/10001338809
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The distribution of realized stock return volatility
Andersen, Torben (contributor) - In: Journal of financial economics 61 (2001) 1, pp. 43-76
Persistent link: https://www.econbiz.de/10001592215
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An empirical investigation of continuous-time equity return models
Andersen, Torben; Benzoni, Luca; Lund, Jesper - 2001
Persistent link: https://www.econbiz.de/10001615265
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Modeling and forecasting realized volatility
Andersen, Torben (contributor) - 2001
Persistent link: https://www.econbiz.de/10001561837
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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888