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DM-dollar volatility : intraday activity patterns, macroeconomic announcements, and longer run dependencies
Andersen, Torben; Bollerslev, Tim - 1996
Persistent link: https://www.econbiz.de/10000609240
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Realized volatility forecasting and market microstructure noise
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-235
Persistent link: https://www.econbiz.de/10008770542
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Andersen, Torben G.; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-190
Persistent link: https://www.econbiz.de/10008770545
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Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 1, pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
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Analytical evaluation of volatility forecasts
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: International economic review 45 (2004) 4, pp. 1079-1110
Persistent link: https://www.econbiz.de/10002427616
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Correcting the errors : a note on volatility forecast evaluation based on high-frequency data and realized volatilities
Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947554
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No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
Andersen, Torben G.; Bollerslev, Tim; Dobrev, Dobrislav - In: Journal of econometrics 138 (2007) 1, pp. 125-180
Persistent link: https://www.econbiz.de/10007615316
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Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben; Bollerslev, Tim; Frederiksen, Per; … - In: Journal of applied econometrics 25 (2010) 2, pp. 233-261
Persistent link: https://www.econbiz.de/10008667607
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Realized volatility forecasting and market microstructure noise
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Andersen, Torben; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-189
Persistent link: https://www.econbiz.de/10009242526