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)

34

H index

48

i10 index

8737

Citations

RESEARCH PRODUCTION:

50

Articles

93

Papers

3

Chapters

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 364
   Journals where Torben G. Andersen has often published
   Relations with other researchers
   Recent citing documents: 838.    Total self citations: 81 (0.92 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pan210
   Updated: 2019-10-15    RAS profile: 2019-06-20    
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Relations with other researchers

Works with:

Tauchen, George (2)

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 (137)

Degiannakis, Stavros (134)

Bollerslev, Tim (112)

McAleer, Michael (109)

Sévi, Benoît (96)

Barndorff-Nielsen, Ole (96)

Diebold, Francis (89)

Patton, Andrew (88)

Laurent, Sébastien (87)

Christoffersen, Peter (81)

Santucci de Magistris, Paolo (78)

Cites to:

Bollerslev, Tim (229)

Diebold, Francis (117)

Shephard, Neil (75)

Tauchen, George (56)

Engle, Robert (52)

Meddahi, Nour (49)

Gallant, A. (43)

Barndorff-Nielsen, Ole (43)

Renault, Eric (35)

Schwert, G. (34)

Christoffersen, Peter (34)

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
American Economic Review2
Econometrica2
Journal of Empirical Finance2
International Economic Review2
Journal of Financial Economics2
Journal of Financial Markets2

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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2017Inference from the futures: ranking the noise cancelling accuracy of realized measures. (2017). Mirone, Giorgio . In: CREATES Research Papers. RePEc:aah:create:2017-24.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel . 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). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. 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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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19.

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2018The drift burst hypothesis. (2018). Reno, Roberto ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-21.

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2018Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). de Magistris, Paolo Santucci ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

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2019Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility. (2019). Fantazzini, Dean ; Bazhenov, T. In: Russian Journal of Industrial Economics. RePEc:ach:journl:y:2019:id:724.

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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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2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19.

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2017Surprise and Dispersion: Informational Impact of USDA Announcements. (2017). Frijns, Bart ; Tourani-Rad, Alireza ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259208.

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2017Heterogeneity and Clustering of Defaults. (2017). Turner, Matthew ; Terovitis, Spyridon ; Galanis, Girogos ; Karlis, Alexandros . In: Economic Research Papers. RePEc:ags:uwarer:270011.

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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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2018Modeling the Volatility and Forecasting the Stock Price of the German Stock Index (DAX30). (2018). Nguyen, Tristan ; Mai, Thi Thanh. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2018:p:72-92.

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2018Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). 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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2018Local Parametric Estimation in High Frequency Data. (2018). 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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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). 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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2018VIX-linked fees for GMWBs via Explicit Solution Simulation Methods. (2018). 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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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2018A Neural Stochastic Volatility Model. (2018). 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). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). 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-Valdés, J. In: Papers. RePEc:arx:papers:1712.08057.

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2018Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation. (2018). Mendonca, Keegan ; Zuev, Konstantin M ; Pantelous, Athanasios A ; Kontosakos, Vasileios E. In: Papers. RePEc:arx:papers:1803.03364.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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2018Theoretical and empirical analysis of trading activity. (2018). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1803.04892.

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2018Universal features of price formation in financial markets: perspectives from Deep Learning. (2018). Sirignano, Justin ; Cont, Rama. In: Papers. RePEc:arx:papers:1803.06917.

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2018Exploring the predictability of range-based volatility estimators using RNNs. (2018). Petneh, G'Abor. In: Papers. RePEc:arx:papers:1803.07152.

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2018Econophysics Beyond General Equilibrium: the Business Cycle Model. (2018). Olkhov, Victor. In: Papers. RePEc:arx:papers:1804.04721.

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2019Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2018Effects of a Price limit Change on Market Stability at the Intraday Horizon in the Korean Stock Market. (2018). Kim, Wonse ; Jun, Sung Jae. In: Papers. RePEc:arx:papers:1805.04728.

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2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653.

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2018A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422.

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2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). Baruník, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823.

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2019Tail probabilities for short-term returns on stocks. (2018). Rasmussen, Henrik O ; Wilmott, Paul. In: Papers. RePEc:arx:papers:1809.08416.

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2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2018). Yamauchi, Yuta ; Omori, Yasuhiro. In: Papers. RePEc:arx:papers:1809.09928.

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2018Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Kanniainen, Juho ; Magris, Martin. In: Papers. RePEc:arx:papers:1810.12200.

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2018Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series. (2018). Zhang, Qiang ; Liu, Yuanyuan ; Yang, Yaodong ; Luo, Rui. In: Papers. RePEc:arx:papers:1811.03711.

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2018How does stock market volatility react to oil shocks?. (2018). Manera, Matteo ; Bastianin, Andrea. In: Papers. RePEc:arx:papers:1811.03820.

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2018A new time-varying model for forecasting long-memory series. (2018). Bisaglia, Luisa ; Grigoletto, Matteo. In: Papers. RePEc:arx:papers:1812.07295.

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2018Multimodal deep learning for short-term stock volatility prediction. (2018). Sardelich, Marcelo ; Manandhar, Suresh. In: Papers. RePEc:arx:papers:1812.10479.

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2019Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory. (2019). Yang, Ben-Zhang ; Huang, Nan-Jing ; He, Xinjiang. In: Papers. RePEc:arx:papers:1901.00345.

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2019Dynamic Tail Inference with Log-Laplace Volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

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2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Kanniainen, Juho ; Yue, YE. In: Papers. RePEc:arx:papers:1901.02691.

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2019Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor. In: Papers. RePEc:arx:papers:1901.05024.

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2019Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2019Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market. (2019). Scalas, Enrico ; Kaizoji, Taisei ; Eom, Cheoljun. In: Papers. RePEc:arx:papers:1904.02567.

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2019Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos. In: Papers. RePEc:arx:papers:1904.05312.

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2019Feature Engineering for Mid-Price Prediction Forecasting with Deep Learning. (2019). Gabbouj, Moncef ; Kanniainen, Juho ; Mirone, Giorgio ; Ntakaris, Adamantios ; Iosifidis, Alexandros. In: Papers. RePEc:arx:papers:1904.05384.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2019Option Pricing via Multi-path Autoregressive Monte Carlo Approach. (2019). Chung, Wei-Ho ; Chen, Wei-Cheng. In: Papers. RePEc:arx:papers:1906.06483.

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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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2019A Vine-copula extension for the HAR model. (2019). Magris, Martin. In: Papers. RePEc:arx:papers:1907.08522.

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2019Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility. (2019). Ensor, Katherine B ; Han, YU ; Weylandt, Michael. In: Papers. RePEc:arx:papers:1907.10152.

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2019Marked Hawkes process modeling of price dynamics and volatility estimation. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1907.12025.

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2019An instantaneous market volatility estimation. (2019). Bland, Bruce ; Danyliv, Oleh . In: Papers. RePEc:arx:papers:1908.02847.

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2019Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05089.

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2019Performance of tail hedged portfolio with third moment variation swap. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05105.

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2019A lognormal type stochastic volatility model with quadratic drift. (2019). Willems, Sander ; Carr, Peter. In: Papers. RePEc:arx:papers:1908.07417.

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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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2018‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios. (2018). Conrad, Christian ; Glas, Alexander. In: Working Papers. RePEc:awi:wpaper:0655.

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2017The Effect of Central Bank Transparency on Exchange Rate Volatility. (2017). Weber, Christoph S. In: Working Papers. RePEc:bav:wpaper:174_weber.

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2018Measuring the Impact of Monetary Policy Attention on Global Asset Volatility Using Search Data. (2018). Wohlfarth, Paul. In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1803.

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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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2018Non-monetary news in central bank communication. (2018). Cieslak, Anna ; Schrimpf, Andreas. In: BIS Working Papers. RePEc:bis:biswps:761.

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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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2018A state‐price volatility index for the U.S. government bond market. (2018). Pan, Zheyao. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:573-597.

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2019Surprise and dispersion: informational impact of USDA announcements. (2019). Frijns, Bart ; TouraniRad, Alireza ; Indriawan, Ivan ; FernandezPerez, Adrian . In: Agricultural Economics. RePEc:bla:agecon:v:50:y:2019:i:1:p:113-126.

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2018TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. (2018). Kartsaklas, Aris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:226-250.

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2018DO TERRORIST ATTACKS IMPACT EXCHANGE RATE BEHAVIOR? NEW INTERNATIONAL EVIDENCE. (2018). Narayan, Paresh Kumar ; Bach, Dinh Hoang ; Khademalomoom, Siroos. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:1:p:547-561.

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2018DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE. (2018). Darné, Olivier ; Charles, Amlie ; Ferrara, Laurent ; Darne, Olivier. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:745-760.

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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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2019The information content of the implied volatility term structure on future returns. (2019). Yen, Kuangchieh ; Wang, Yawhuei. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:380-406.

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2018The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence. (2018). Wilhelmsson, Anders ; Vilhelmsson, Anders ; Jankensgrd, Hkan. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:1:p:55-79.

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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.
[Full Text][Citation analysis]		paper56
2011A reduced form framework for modeling volatility of speculative prices based on realized variation measures.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56		article
2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper477
2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 477		paper
2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 477		article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper339
2007Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 339		article
2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 339		paper
2007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper78
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