Torben G. Andersen · 21 obras en el catálogoObrasVVolatility forecastingVolatility forecastingRReal-time price discovery in stock, bond and foreign exchangReal-time price discovery in stock, bond and foreign exchange marketsPPractical volatility and correlation modeling for financial Practical volatility and correlation modeling for financial market risk managementJJump-robust volatility estimation using nearest neighbor truJump-robust volatility estimation using nearest neighbor truncationJJump-robust volatility estimation using nearest neighbor truJump-robust volatility estimation using nearest neighbor truncationPPractical volatility and correlation modeling for financial Practical volatility and correlation modeling for financial market risk managementAA framework for exploring the macroeconomic determinants of A framework for exploring the macroeconomic determinants of systematic riskVVolatility forecastingVolatility forecastingRReal-time price discovery in stock, bond, and foreign exchanReal-time price discovery in stock, bond, and foreign exchange marketsRReal-time price discovery in global stock, bond and foreign Real-time price discovery in global stock, bond and foreign exchange marketsVVolatilityVolatilityAAn empirical investigation of continuous-time equity return An empirical investigation of continuous-time equity return modelsAAnswering the criticsAnswering the criticsCConstruction and interpretation of model-free implied volatiConstruction and interpretation of model-free implied volatilityDDM-dollar volatilityDM-dollar volatilityDDo bonds span volatility risk in the U.S. treasury market?Do bonds span volatility risk in the U.S. treasury market?FForeign currency translation of multiperiod monetary investmForeign currency translation of multiperiod monetary investments and liabilities under uncertaintyHHeterogeneous information arrivals and return volatility dynHeterogeneous information arrivals and return volatility dynamicsRRoughing it upRoughing it upTTesting for market microstructure effects in intraday volatiTesting for market microstructure effects in intraday volatilityNNo-arbitrage semi-martingale restrictions for continuous-timNo-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise
RReal-time price discovery in stock, bond and foreign exchangReal-time price discovery in stock, bond and foreign exchange markets
PPractical volatility and correlation modeling for financial Practical volatility and correlation modeling for financial market risk management
JJump-robust volatility estimation using nearest neighbor truJump-robust volatility estimation using nearest neighbor truncation
JJump-robust volatility estimation using nearest neighbor truJump-robust volatility estimation using nearest neighbor truncation
PPractical volatility and correlation modeling for financial Practical volatility and correlation modeling for financial market risk management
AA framework for exploring the macroeconomic determinants of A framework for exploring the macroeconomic determinants of systematic risk
RReal-time price discovery in stock, bond, and foreign exchanReal-time price discovery in stock, bond, and foreign exchange markets
RReal-time price discovery in global stock, bond and foreign Real-time price discovery in global stock, bond and foreign exchange markets
AAn empirical investigation of continuous-time equity return An empirical investigation of continuous-time equity return models
CConstruction and interpretation of model-free implied volatiConstruction and interpretation of model-free implied volatility
DDo bonds span volatility risk in the U.S. treasury market?Do bonds span volatility risk in the U.S. treasury market?
FForeign currency translation of multiperiod monetary investmForeign currency translation of multiperiod monetary investments and liabilities under uncertainty
HHeterogeneous information arrivals and return volatility dynHeterogeneous information arrivals and return volatility dynamics
TTesting for market microstructure effects in intraday volatiTesting for market microstructure effects in intraday volatility
NNo-arbitrage semi-martingale restrictions for continuous-timNo-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise