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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

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

Realized volatility and multipower variation

Andersen, Torben; Todorov, Viktor - 2009

Persistent link: https://www.econbiz.de/10003892558

The fine structure of equity-index option dynamics

Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546

Persistent link: https://www.econbiz.de/10011499756

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

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

Andersen, Torben - 1992

Persistent link: https://www.econbiz.de/10000914157

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

Estimating continuous-time stochastic volatility models of the short-term interest rate

Andersen, Torben - In: Journal of econometrics 77 (1997) 2, pp. 343-377

Persistent link: https://www.econbiz.de/10001212838

Answering the critics : yes, arch models do provide good volatility forecasts

Andersen, Torben; Bollerslev, Tim - 1997

Persistent link: https://www.econbiz.de/10000627888

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