Browsen in EconStor gesamt nach Autorinnen & Autoren Andersen, Torben G.

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