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Torben G. Andersen : Citation Profile


Are you Torben G. Andersen?

National Bureau of Economic Research (NBER) (50% share)
Northwestern University (39% share)
Aarhus Universitet (11% share)

33

H index

46

i10 index

7366

Citations

RESEARCH PRODUCTION:

49

Articles

88

Papers

3

Chapters

RESEARCH ACTIVITY:

   23 years (1994 - 2017). See details.
   Cites by year: 320
   Journals where Torben G. Andersen has often published
   Relations with other researchers
   Recent citing documents: 293.    Total self citations: 77 (1.03 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pan210
   Updated: 2018-02-17    RAS profile: 2018-01-11    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Torben G. Andersen.

Is cited by:

Shephard, Neil (132)

Bollerslev, Tim (111)

Degiannakis, Stavros (103)

McAleer, Michael (99)

Barndorff-Nielsen, Ole (96)

Sévi, Benoît (90)

Diebold, Francis (89)

Patton, Andrew (88)

Laurent, Sébastien (83)

Christoffersen, Peter (77)

Medeiros, Marcelo (68)

Cites to:

Bollerslev, Tim (224)

Diebold, Francis (117)

Shephard, Neil (66)

Tauchen, George (54)

Engle, Robert (52)

Meddahi, Nour (49)

Gallant, A. (43)

Barndorff-Nielsen, Ole (43)

Schwert, G. (40)

Renault, Eric (35)

Christoffersen, Peter (33)

Main data


Where Torben G. Andersen has published?


Journals with more than one article published# docs
Journal of Business & Economic Statistics9
Journal of Econometrics8
Journal of Finance7
Econometric Theory3
Journal of Empirical Finance2
International Economic Review2
Econometrica2
Journal of Financial Markets2
American Economic Review2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
CFS Working Paper Series / Center for Financial Studies (CFS)7
Working Paper Series / Federal Reserve Bank of Chicago3
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Torben G. Andersen (2018 and 2017)


YearTitle of citing document
2017Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-10.

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2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea . In: CREATES Research Papers. RePEc:aah:create:2017-15.

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2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano . In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2017Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa. (2017). Saidi, Atanda Mustapha . In: Working Paper Series. RePEc:adb:adbwps:2390.

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2017Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market. (2017). Mohibul, MD ; Islam, Anisul M. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:157--172.

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2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2017Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei. In: Papers. RePEc:arx:papers:1602.00731.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1602.05489.

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185.

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2017Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

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2017Optimum thresholding using mean and conditional mean square error. (2017). , ; Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339.

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2017Systematic Noise: Micro-movements in Equity Options Markets. (2017). Wu, Adam . In: Papers. RePEc:arx:papers:1708.06855.

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2017VIX-linked fees for GMWBs via Explicit Solution Simulation Methods. (2017). Kouritzin, Michael A ; MacKay, Anne . In: Papers. RePEc:arx:papers:1708.06886.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2018Testing if the market microstructure noise is a function of the limit order book. (2017). Clinet, Simon ; Potiron, Yoann . In: Papers. RePEc:arx:papers:1709.02502.

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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2017A simple model for forecasting conditional return distributions. (2017). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2017A Neural Stochastic Volatility Model. (2017). Luo, Rui ; Wang, Jun ; Xu, Xiaojun ; Zhang, Weinan. In: Papers. RePEc:arx:papers:1712.00504.

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2017Estimation for high-frequency data under parametric market microstructure noise. (2017). Clinet, Simon ; Potiron, Yoann . In: Papers. RePEc:arx:papers:1712.01479.

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2017A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2017). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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2017On Long Memory Origins and Forecast Horizons. (2017). Vera-Vald, Eduardo J. In: Papers. RePEc:arx:papers:1712.08057.

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2017Oil Price Volatility and Fiscal Behaviour if Government in Nigeria. (2017). fasanya, Ismail ; Aregbeyen, Omo . In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2017:p:118-134.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models. (2017). Feunou, Bruno ; Okou, Cedric . In: Staff Working Papers. RePEc:bca:bocawp:17-55.

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2017Volatility Risk Premia and Future Commodity Returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:455.

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2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Viola, Alessandra Pasqualina . In: Working Papers Series. RePEc:bcb:wpaper:466.

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2017Oil, equities, and the zero lower bound. (2017). Vigfusson, Robert ; Kwon, Hannah ; Johannsen, Benjamin K ; Datta, Deepa . In: BIS Working Papers. RePEc:bis:biswps:617.

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2017How return and risk experiences shape investor beliefs and preferences. (2017). , Arvid ; Smith, Tom ; Post, Thomas. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:759-788.

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2017Normality of stock returns with event time clocks. (2017). Ling, Xin . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:277-298.

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2017Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Veredas, David ; Matei, Marius ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:1-19.

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2017A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries. (2017). Stengos, Thanasis ; Ozturk, Serda S. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:479-490.

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2017A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

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2017Drift in Transaction-Level Asset Price Models. (2017). Perron, Pierre ; Soulier, Philippe ; Hurvich, Clifford ; Cao, Wen ; Zorita, Eduardo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:769-790.

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2017Borderline: judging the adequacy of return distribution estimation techniques in initial margin models. (2017). Murphy, David ; Houllier, Melanie . In: Bank of England working papers. RePEc:boe:boeewp:0673.

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2017The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets. (2017). Noss, Joseph ; Crowley-Reidy, Liam ; Linton, Oliver ; Tobek, Ondrej ; Pedace, Lucas. In: Bank of England working papers. RePEc:boe:boeewp:0687.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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2017Balance comercial y volatilidad del tipo de cambio nominal: Un estudio de series de tiempo para Colombia. (2017). Clavijo, Pedro Hugo . In: REVISTA ECONOMÍA & REGIÓN. RePEc:col:000411:015716.

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2017The impact of ECBs conventional and unconventional monetary policies on European banking indexes returns.. (2017). Perdichizzi, Salvatore . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def059.

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2017Trends in distributional characteristics : Existence of global warming. (2017). Gonzalo, Jesus ; Gadea, Maria Dolores . In: UC3M Working papers. Economics. RePEc:cte:werepe:24121.

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2017Global Risk Aversion Spillover Dynamics and Investors Attention Allocation. (2017). Ceylan, Ozcan . In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:ceylan.

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2017FUTURES-BASED MEASURES OF MONETARY POLICY AND JUMP RISK. (2017). Inekwe, John ; Nkwoma, Inekwe John . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:02:p:384-405_00.

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2017Entropy-based implied moments. (2017). Xiao, Xiao ; Zhou, Chen . In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Ciarreta, Aitor ; Muniainy, Peru . In: ISER Discussion Paper. RePEc:dpr:wpaper:0991.

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2017On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis. (2017). JAWADI, Fredj ; ben ameur, hachmi ; Cheffou, Abdoulkarim Idi ; Louhichi, Wael . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-11.

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2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

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2017The effects of intraday news flow on market liquidity, price volatility and trading activity. (2017). Karam, Arz. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00384.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2017A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets. (2017). Carchano, Oscar ; Pardo, Angel ; Lucia, Julio . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-53.

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2017Effect of Economic Announcements on FX Fluctuations: Testing a Unified Approach for Prediction. (2017). Tianqiong, Wang ; Saddique, Shamila ; Yang, Shu . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-83.

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2017Global Macroeconomic Announcements and Foreign Exchange Implied Volatility. (2017). Ishfaq, Muhammad ; Raza, Syed Mehmood ; Bi, Zhang. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-14.

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2017Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161.

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2017Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. (2017). Leung, Henry ; Schroeder, Florian ; Schiereck, Dirk . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:169-180.

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2017Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets. (2017). Kilic, Erdem. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:51-67.

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2017The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis. (2017). Todorova, Neda. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:221-230.

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2017Taxing financial transactions in fundamentally heterogeneous markets. (2017). Molinari, Massimo ; Gaffeo, Edoardo. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:322-333.

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2017Forecasting the oil futures price volatility: A new approach. (2017). Ma, Feng ; Chen, Wang ; Huang, Dengshi ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566.

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2017Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation. (2017). Li, Leon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:116-135.

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2017Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Chang, Ya-Ting ; Hsu, Chih-Chiang ; Gau, Yin-Feng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2017The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises. (2017). GUPTA, RANGAN ; Cakan, Esin ; Marfatia, Hardik A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:640-653.

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2017The asymmetric volatility in the gold market revisited. (2017). Todorova, Neda. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:138-141.

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2017On estimating market microstructure noise variance. (2017). Dong, Yingjie ; Tse, Yiu-Kuen. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:59-62.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2017Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

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2017Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:20-41.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2017Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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2017Testing for non-correlation between price and volatility jumps. (2017). Jacod, Jean ; Muller, Gernot ; Kluppelberg, Claudia . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:284-297.

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2017A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation. (2017). Hounyo, Ulrich ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:10-28.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2017Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:79-103.

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2017On high frequency estimation of the frictionless price: The use of observed liquidity variables. (2017). Chaker, Selma . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:127-143.

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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows. (2017). Le Fol, Gaelle ; darolles, serge ; Mero, Gulten. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:367-383.

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2017Mixed-scale jump regressions with bootstrap inference. (2017). Chen, Rui ; Li, Jia ; Todorov, Viktor ; Tauchen, George. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:417-432.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Dungey, Mardi ; Yang, Xiye ; Matei, Marius ; Erdemlioglu, Deniz . In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2017Nonlinear manifold learning for early warnings in financial markets. (2017). Peng, YI ; Huang, Yan ; Kou, Gang. In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:2:p:692-702.

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2017From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Recchioni, Maria Cristina ; Tedeschi, Gabriele . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1116-1135.

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2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress. (2017). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:1-19.

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2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

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2017Marked Hawkes process modeling of price dynamics and volatility estimation. (2017). Ki, Byoung ; Lee, Kyungsub . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:174-200.

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2017When no news is good news – The decrease in investor fear after the FOMC announcement. (2017). Frijns, Bart ; Tourani-Rad, Alireza ; Fernandez-Perez, Adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:187-199.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, Peter H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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More than 100 citations found, this list is not complete...

Works by Torben G. Andersen:


YearTitleTypeCited
2007A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures In: CREATES Research Papers.
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2011A reduced form framework for modeling volatility of speculative prices based on realized variation measures.(2011) In: Journal of Econometrics.
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2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
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2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
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2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics.
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2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
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2007Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics.
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2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
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2007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers.
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2010Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns.(2010) In: Journal of Applied Econometrics.
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2008Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns.(2008) In: Working Papers.
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2007Construction and Interpretation of Model-Free Implied Volatility In: CREATES Research Papers.
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2007Construction and Interpretation of Model-Free Implied Volatility.(2007) In: NBER Working Papers.
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2007Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models In: CREATES Research Papers.
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2010Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models.(2010) In: Journal of Finance.
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2006Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models.(2006) In: Working Paper Series.
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2007Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models.(2007) In: NBER Working Papers.
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2009Realized Volatility and Multipower Variation In: CREATES Research Papers.
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2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation In: CREATES Research Papers.
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2012Jump-robust volatility estimation using nearest neighbor truncation.(2012) In: Journal of Econometrics.
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2010Jump-robust volatility estimation using nearest neighbor truncation.(2010) In: Staff Reports.
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2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation.(2009) In: NBER Working Papers.
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2011A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation.(2011) In: NBER Working Papers.
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2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
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2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
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2011Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX In: CREATES Research Papers.
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2011VPIN and the Flash Crash In: CREATES Research Papers.
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2014VPIN and the flash crash.(2014) In: Journal of Financial Markets.
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2011Parametric Inference and Dynamic State Recovery from Option Panels In: CREATES Research Papers.
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2012Parametric Inference and Dynamic State Recovery from Option Panels.(2012) In: NBER Working Papers.
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2015Parametric Inference and Dynamic State Recovery From Option Panels.(2015) In: Econometrica.
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2013Reflecting on the VPIN Dispute In: CREATES Research Papers.
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2013Assessing Measures of Order Flow Toxicity via Perfect Trade Classification In: CREATES Research Papers.
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2014The Risk Premia Embedded in Index Options In: CREATES Research Papers.
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2015The risk premia embedded in index options.(2015) In: Journal of Financial Economics.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers.
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2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
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2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
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2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
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2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
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2000Some Reflections on Analysis of High-Frequency Data. In: Journal of Business & Economic Statistics.
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2006Comment In: Journal of Business & Economic Statistics.
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2007Editorial Announcement In: Journal of Business & Economic Statistics.
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1996 Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility. In: Journal of Finance.
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1997 Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. In: Journal of Finance.
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1996Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns.(1996) In: NBER Working Papers.
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1998Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: Journal of Finance.
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2001Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns In: Journal of Finance.
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2002An Empirical Investigation of Continuous-Time Equity Return Models In: Journal of Finance.
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2001An Empirical Investigation of Continuous-Time Equity Return Models.(2001) In: NBER Working Papers.
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2016Intraday Trading Invariance in the E-mini S&P 500 Futures Market In: Working Papers.
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2002Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers.
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2004ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review.
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2002Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities In: CIRANO Working Papers.
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2002Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities.(2002) In: Cahiers de recherche.
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2002CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES.(2002) In: Cahiers de recherche.
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1998THE ECONOMETRICS OF FINANCIAL MARKETS In: Econometric Theory.
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2000SIMULATION-BASED ECONOMETRIC METHODS In: Econometric Theory.
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2014A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY In: Econometric Theory.
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2013A robust neighborhood truncation approach to estimation of integrated quarticity.(2013) In: International Finance Discussion Papers.
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2003Modeling and Forecasting Realized Volatility In: Econometrica.
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2001Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers.
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2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
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2005Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica.
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2004Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature In: Econometric Society 2004 North American Winter Meetings.
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2007No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications In: Journal of Econometrics.
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2007No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications.(2007) In: NBER Working Papers.
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1997Estimating continuous-time stochastic volatility models of the short-term interest rate In: Journal of Econometrics.
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1999Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian.(1999) In: Center for Financial Institutions Working Papers.
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1997Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts In: NBER Working Papers.
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2000The Distribution of Stock Return Volatility In: NBER Working Papers.
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2000The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers.
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2008Stochastic Volatility: Origins and Overview.(2008) In: OFRC Working Papers Series.
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