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Some reflections on analysis of high-frequency data
Andersen, Torben - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 146-153
Persistent link: https://www.econbiz.de/10001469560
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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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Forecasting financial market volatility : sample frequency vis-à-vis forecast horizon
Andersen, Torben; Bollerslev, Tim; Lange, Steve - In: Journal of empirical finance 6 (1999) 5, pp. 457-477
Persistent link: https://www.econbiz.de/10001505784
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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 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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Volatility
Andersen, Torben - 1992
Persistent link: https://www.econbiz.de/10000914157
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GMM estimation of a stochastic volatility model : a Monte Carlo study
Andersen, Torben - 1995
Persistent link: https://www.econbiz.de/10000932332
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Deutsche Mark-dollar volatility : intraday activity patterns, macroeconomic announcements and longer run dependencies
Andersen, Torben - In: The journal of finance : the journal of the American … 53 (1998) 1, pp. 219-265
Persistent link: https://www.econbiz.de/10001235487
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[Rezension] Campbell, John Y., ..., The econometrics of financial markets : Princeton Univ. Press, 1997
Andersen, Torben - In: Econometric theory 14 (1998) 5, pp. 671-685
Persistent link: https://www.econbiz.de/10001381153