Torben G. Andersen
Identifiers
- Open LibraryOL1453915A
Top Subjects
- Rate of return -- Econometric models (2)
- Econometrics (2)
- Assets (Accounting) -- Prices -- Forecasting (2)
- Economic forecasting (2)
- Dollar, American (1)
- Foreign exchange market (1)
- Foreign exchange rates (1)
Books by Torben G. Andersen
Total count: 12
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DM-dollar volatilityintraday activity patterns, macroeconomic announcements, and longer run dependenciesNational Bureau of Economic Research1996-01-01
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Heterogeneous information arrivals and return volatility dynamicsuncovering the long-run in high frequency returnsNational Bureau of Economic Research1996-01-01
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Answering the criticsyes, ARCH models do provide good volatility forecastsNational Bureau of Economic Research1997-01-01
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Testing for market microstructure effects in intraday volatilitya reassessment of the Tokyo FX experimentNational Bureau of Economic Research1998-01-01
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An empirical investigation of continuous-time equity return modelsNational Bureau of Economic Research2001-01-01
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Roughing it upincluding jump components in the measurement, modeling, and forecasting of return volatilityNational Bureau of Economic Research2005-01-01
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Real-time price discovery in global stock, bond and foreign exchange marketsFederal Reserve Board2006-01-01
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Do bonds span volatility risk in the U.S. treasury market?a specification test for affine term structure modelsFederal Reserve Bank of Chicago2006-01-01
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Construction and interpretation of model-free implied volatilityNational Bureau of Economic Research2007-01-01
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No-arbitrage semi-Martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noisetheory and testable distributional implicationsNational Bureau of Economic Research2007-01-01
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Jump-robust volatility estimation using nearest neighbor truncationNational Bureau of Economic Research2009-01-01
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VolatilityElgar Publishing Limited, Edward2018-01-01