Browsing All of EconStor by Author Andersen, Torben G.


Showing results 1 to 12 of 12
Year of PublicationTitleAuthor(s)
2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return VolatilityAndersen, Torben G.; Bollerslev, Tim; Francis X. Diebold,
2004Real-time price discovery in stock, bond and foreign exchange marketsAndersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Vega, Clara
2004Realized beta: Persistence and predictabilityAndersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Jin
2005Volatility forecastingAndersen, Torben G.; Bollerslev, Tim; Christoffersen, Peter F.; Diebold, Francis X.
2005A framework for exploring the macroeconomic determinants of systematic riskAndersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Jin
2005Practical volatility and correlation modeling for financial market risk managementAndersen, Torben G.; Bollerslev, Tim; Christoffersen, Peter F.; Diebold, Francis X.
2006Realized return volatility, asset pricing, and risk managementAndersen, Torben G.; Bollerslev, Tim
2008Continuous-time models, realized volatilities, and testable distributional implications for daily stock returnsAndersen, Torben G.; Bollerslev, Tim; Frederiksen, Per; Nielsen, Morten Ørregaard
2008Realized volatilityAndersen, Torben G.; Benzoni, Luca
2009Stochastic volatilityAndersen, Torben G.; Benzoni, Luca
2010Jump-robust volatility estimation using nearest neighbor truncationAndersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst
2017Volatility, information feedback and market microstructure noise: A tale of two regimesAndersen, Torben G.; Cebiroglu, Gökhan; Hautsch, Nikolaus