Andersen, Torben G. (Torben Gustav)
Andersen, Torben G.
Torben Gustav Andersen economist (National Bureau of Economic Research (NBER); Northwestern University; Aarhus Universitet)
Andersen, Torben
VIAF ID: 35512901 ( Personal )
Permalink: http://viaf.org/viaf/35512901
Preferred Forms
- 100 1 _ ‡a Andersen, Torben
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- 100 1 _ ‡a Andersen, Torben G.
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- 100 1 _ ‡a Andersen, Torben G. ‡q (Torben Gustav)
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- 100 1 _ ‡a Andersen, Torben G. ‡q (Torben Gustav)
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- 100 1 _ ‡a Andersen, Torben G. ‡q (Torben Gustav)
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- 100 0 _ ‡a Torben Gustav Andersen ‡c economist (National Bureau of Economic Research (NBER); Northwestern University; Aarhus Universitet)
4xx's: Alternate Name Forms (12)
5xx's: Related Names (12)
- 510 2 _ ‡a Aarhus Universitet / Institut for Økonomi / Center for Research in Econometric Analysis of Time Series (CREATES)
- 510 2 _ ‡a Aarhus Universitet ‡b Center for Research in Econometric Analysis of Time Series
- 510 2 _ ‡a Aarhus Universitet ‡b Center for Research in Econometric Analysis of Time Series ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a Kellogg School of Management
- 510 2 _ ‡a Kellogg School of Management ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a National Bureau of Economic Research
- 510 2 _ ‡a National Bureau of Economic Research (NBER)
- 510 2 _ ‡a National Bureau of Economic Research ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a Northwestern University / Kellogg Graduate School of Management / Department of Finance
- 510 2 _ ‡a Springer Science+Business Media
- 510 2 _ ‡a Yale University
- 510 2 _ ‡a Yale University ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
Works
Title | Sources |
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Answering the critics : yes, ARCH models do provide good volatility forecasts | |
Construction and interpretation of model-free implied volatility | |
Correcting the errors : a note on volatility forecast evaluation based on high-frequency data and realized volatilities | |
The distribution of stock return volatility | |
DM-dollar volatility : intraday activity patterns, macroeconomic announcements, and longer run dependencies | |
Do bonds span volatility risk in the U.S. treasury market? a specification test for affine term structure models | |
An empirical investigation of continuous-time equity return models | |
A framework for exploring the macroeconomic determinants of systematic risk | |
Handbook of financial time series | |
Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns | |
Jump-robust volatility estimation using nearest neighbor truncation | |
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise theory and testable distributional implications | |
Parametric Inference and Dynamic State Recovery from Option Panels | |
Practical volatility and correlation modeling for financial market risk management | |
Real-time price discovery in stock, bond and foreign exchange markets | |
Realized beta persistence and predictability [[Elektronische Ressource]] | |
Review article: Volatility | |
Roughing it up including jump components in the measurement, modeling, and forecasting of return volatility | |
Testing for market microstructure effects in intraday volatility, c1998: |