NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Torben G. Andersen

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Working Papers

May 2012Financial Risk Measurement for Financial Risk Management
with Tim Bollerslev, Peter F. Christoffersen, Francis X. Diebold: w18084
Parametric Inference and Dynamic State Recovery from Option Panels
with Nicola Fusari, Viktor Todorov: w18046
June 2011A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
with Dobrislav Dobrev, Ernst Schaumburg: w17152
November 2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
with Dobrislav Dobrev, Ernst Schaumburg: w15533
September 2007Construction and Interpretation of Model-Free Implied Volatility
with Oleg Bondarenko: w13449
March 2007Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models
with Luca Benzoni: w12962
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
with Tim Bollerslev, Dobrislav Dobrev: w12963
November 2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
with Tim Bollerslev, Francis X. Diebold: w11775
May 2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
with Tim Bollerslev, Francis X. Diebold, Clara Vega: w11312
March 2005Volatility Forecasting
with Tim Bollerslev, Peter F. Christoffersen, Francis X. Diebold: w11188
February 2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
with Tim Bollerslev, Francis X. Diebold, Jin (Ginger) Wu: w11134
January 2005Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Tim Bollerslev, Peter F. Christoffersen, Francis X. Diebold: w11069
August 2002Parametric and Nonparametric Volatility Measurement
with Tim Bollerslev, Francis X. Diebold: t0279
May 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
with Tim Bollerslev, Francis X. Diebold, Clara Vega: w8959
October 2001An Empirical Investigation of Continuous-Time Equity Return Models
with Luca Benzoni, Jesper Lund: w8510
March 2001Modeling and Forecasting Realized Volatility
with Tim Bollerslev, Francis X. Diebold, Paul Labys: w8160
October 2000The Distribution of Stock Return Volatility
with Tim Bollerslev, Francis X. Diebold, Heiko Ebens: w7933
January 2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
with Tim Bollerslev, Francis X. Diebold, Paul Labys: w7488
February 1999The Distribution of Exchange Rate Volatility
with Tim Bollerslev, Francis X. Diebold, Paul Labys: w6961
July 1998Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment
with Tim Bollerslev, Ashish Das: w6666
April 1997Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
with Tim Bollerslev: w6023
October 1996DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
with Tim Bollerslev: w5783
September 1996Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
with Tim Bollerslev: w5752

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