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~subject:"Volatilität"
~person:"Andersen, Torben"
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Volatilität
Volatility
98
Theorie
45
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45
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33
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33
Time series analysis
24
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24
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7
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7
Deutschland
7
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7
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7
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7
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7
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6
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6
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Andersen, Torben
McAleer, Michael
287
Gupta, Rangan
224
Caporale, Guglielmo Maria
168
Bollerslev, Tim
144
Chang, Chia-Lin
110
Diebold, Francis X.
104
Bouri, Elie
102
Pierdzioch, Christian
99
Aizenman, Joshua
92
Spagnolo, Nicola
91
Ma, Feng
89
Bekaert, Geert
78
Bahmani-Oskooee, Mohsen
74
Hammoudeh, Shawkat
73
Engle, Robert F.
72
Koopman, Siem Jan
72
Härdle, Wolfgang
71
Todorov, Viktor
68
McMillan, David G.
67
Caporin, Massimiliano
65
Tiwari, Aviral Kumar
62
Asai, Manabu
61
Chiarella, Carl
61
Kočenda, Evžen
61
Hautsch, Nikolaus
60
Lux, Thomas
59
Gil-Alaña, Luis A.
55
Kang, Sang Hoon
55
Wohar, Mark E.
55
Buch, Claudia M.
54
Corbet, Shaen
54
Lucey, Brian M.
54
Clements, Adam
52
Caballero, Ricardo J.
51
Christoffersen, Peter F.
51
Christiansen, Charlotte
50
Dijk, Dick van
50
Fernández-Villaverde, Jesús
50
Mensi, Walid
50
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15
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12
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6
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6
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5
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
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3
Foreign exchange markets
2
Global COE Hi-Stat discussion paper series
2
Handbook of financial time series
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1
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1
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1
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ECONIS (ZBW)
98
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1
Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben
;
Bondarenko, Oleg
;
Kyle, Albert S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012494219
Saved in:
2
GMM estimation of a stochastic
volatility
model : a Monte Carlo study
Andersen, Torben
-
1995
Persistent link: https://www.econbiz.de/10000932332
Saved in:
3
Volatility
Andersen, Torben
-
1992
Persistent link: https://www.econbiz.de/10000914157
Saved in:
4
Answering the critics : yes, arch models do provide good
volatility
forecasts
Andersen, Torben
;
Bollerslev, Tim
-
1997
Persistent link: https://www.econbiz.de/10000627888
Saved in:
5
Heterogeneous information arrivals and return
volatility
dynamics : uncovering the long-run in high frequency returns
Andersen, Torben
;
Bollerslev, Tim
-
1996
Persistent link: https://www.econbiz.de/10000603372
Saved in:
6
DM-dollar
volatility
: intraday activity patterns, macroeconomic announcements, and longer run dependencies
Andersen, Torben
;
Bollerslev, Tim
-
1996
Persistent link: https://www.econbiz.de/10000609240
Saved in:
7
GMM estimation of a stochastic
volatility
model : a Monte Carlo study
Andersen, Torben
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
3
,
pp. 328-352
Persistent link: https://www.econbiz.de/10001334392
Saved in:
8
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
Saved in:
9
Efficient method of moments estimation of a stochastic
volatility
model : a Monte Carlo study
Andersen, Torben
;
Chung, Hyung-Jin
;
Sørensen, Bent E.
- In:
Journal of econometrics
91
(
1999
)
1
,
pp. 61-87
Persistent link: https://www.econbiz.de/10001382157
Saved in:
10
Heterogeneous information arrivals and return
volatility
dynamics : uncovering the long-run in high frequency returns
Andersen, Torben
- In:
The journal of finance : the journal of the American …
52
(
1997
)
3
,
pp. 975-1005
Persistent link: https://www.econbiz.de/10001225624
Saved in:
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