Torben G. Andersen
Books
- Answering the critics
- Heterogeneous information arrivals and return volatility dynamics
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise
- Volatility forecasting
- Jump-robust volatility estimation using nearest neighbor truncation
- Practical volatility and correlation modeling for financial market risk management
- Construction and interpretation of model-free implied volatility
- Real-time price discovery in stock, bond, and foreign exchange markets
- Foreign currency translation of multiperiod monetary investments and liabilities under uncertainty
- Real-time price discovery in global stock, bond and foreign exchange markets
- Practical volatility and correlation modeling for financial market risk management
- Volatility forecasting
- DM-dollar volatility
- Roughing it up
- A framework for exploring the macroeconomic determinants of systematic risk
- Jump-robust volatility estimation using nearest neighbor truncation
- Real-time price discovery in stock, bond and foreign exchange markets
- An empirical investigation of continuous-time equity return models
- Do bonds span volatility risk in the U.S. treasury market?
- Testing for market microstructure effects in intraday volatility
- Volatility
Author data: Open Library