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Micro effects of macro announcements : real-time price discovery in foreign exchange?
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001685955
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Parametric and nonparametric volatility measurement
Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001685965
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Parametric and nonparametric volatility measurement
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2002
Persistent link: https://www.econbiz.de/10001689115
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Micro effects of macro announcements : real-time price discovery in foreign exchange
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2002
Persistent link: https://www.econbiz.de/10001671281
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A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2005
Persistent link: https://www.econbiz.de/10002634153
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A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2005
Persistent link: https://www.econbiz.de/10002636085
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Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001899970
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Some like it smooth, and some like it rough : untanging continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003
Persistent link: https://www.econbiz.de/10001846702
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Modeling and Forecasting Realized Volatility
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 579-626
Persistent link: https://www.econbiz.de/10006763307
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ROUGHING IT UP: INCLUDING JUMP COMPONENTS IN THE MEASUREMENT, MODELING AND FORECASTING OF RETURN VOLATILITY
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. - 2005
Persistent link: https://www.econbiz.de/10006956900