Torben G. Andersen

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Do bonds span volatility risk in the U.S. treasury market?: a specification test for affine term structure models

by Torben G. Andersen First published in 2006 — 2 editions

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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

by Torben G. Andersen First published in 2007 — 2 editions

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Answering the critics: yes, ARCH models do provide good volatility forecasts

by Torben G. Andersen First published in 1997 — 1 edition

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Construction and interpretation of model-free implied volatility

by Torben G. Andersen First published in 2007 — 1 edition

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Heterogeneous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns

by Torben G. Andersen First published in 1996 — 1 edition

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Roughing it up: including jump components in the measurement, modeling, and forecasting of return volatility

by Torben G. Andersen First published in 2005 — 1 edition

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Testing for market microstructure effects in intraday volatility: a reassessment of the Tokyo FX experiment

by Torben G. Andersen First published in 1998 — 1 edition

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A framework for exploring the macroeconomic determinants of systematic risk

by Torben G. Andersen First published in 2005 — 1 edition

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Volatility forecasting

by Torben G. Andersen First published in 2005 — 1 edition

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Practical volatility and correlation modeling for financial market risk management

by Torben G. Andersen First published in 2005 — 1 edition

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Real-time price discovery in global stock, bond and foreign exchange markets

by Torben G. Andersen First published in 2006 — 1 edition

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Real-time price discovery in stock, bond, and foreign exchange markets

by Torben G. Andersen First published in 2005 — 1 edition

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Jump-robust volatility estimation using nearest neighbor truncation

by Torben G. Andersen First published in 2009 — 1 edition

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Jump-robust volatility estimation using nearest neighbor truncation

by Torben G. Andersen First published in 2009 — 1 edition

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Practical volatility and correlation modeling for financial market risk management

by Torben G. Andersen First published in 2005 — 1 edition

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Volatility forecasting

by Torben G. Andersen First published in 2005 — 1 edition

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Real-time price discovery in stock, bond and foreign exchange markets

by Torben G. Andersen First published in 2005 — 1 edition

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Volatility

by Torben G. Andersen and Tim Bollerslev First published in 2018 — 1 edition

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DM-dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies

by Torben G. Andersen First published in 1996 — 1 edition

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Foreign currency translation of multiperiod monetary investments and liabilities under uncertainty

by Torben G. Andersen First published in 1987 — 1 edition

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OLID: OL1453915A

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Created April 1, 2008
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September 5, 2008	Edited by RenameBot	fix author name
April 1, 2008	Created by an anonymous user	initial import

Torben G. Andersen

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