Torben G. Andersen : Citation Profile

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

42

H index

60

i10 index

14628

Citations

RESEARCH PRODUCTION:

69

Articles

102

Papers

5

Chapters

RESEARCH ACTIVITY:

   32 years (1994 - 2026). See details.
   Cites by year: 457
   Journals where Torben G. Andersen has often published
   Relations with other researchers
   Recent citing documents: 533.    Total self citations: 99 (0.67 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pan210
   Updated: 2026-03-21    RAS profile: 2025-04-24    
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Relations with other researchers

Works with:

Nolte, Ingmar (3)

Hautsch, Nikolaus (2)

Archakov, Ilya (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:

Degiannakis, Stavros (227)

GUPTA, RANGAN (223)

Bollerslev, Tim (184)

Shephard, Neil (142)

Diebold, Francis (119)

Laurent, Sébastien (117)

Patton, Andrew (117)

Baruník, Jozef (111)

Zhang, Yaojie (103)

Medeiros, Marcelo (103)

Sévi, Benoît (98)

Cites to:

Bollerslev, Tim (317)

Diebold, Francis (163)

Shephard, Neil (116)

Tauchen, George (81)

Engle, Robert (70)

Gallant, A. (57)

Meddahi, Nour (50)

Hansen, Peter (45)

Lunde, Asger (45)

Schwert, G. (42)

Campbell, John (41)

Main data

Where Torben G. Andersen has published?

Journals with more than one article published# docs
Journal of Econometrics16
Journal of Business & Economic Statistics9
Journal of Finance6
Econometric Theory5
Quantitative Economics3
Journal of Empirical Finance2
Journal of Time Series Analysis2
American Economic Review2
Econometrica2
Journal of Financial Econometrics2
Journal of Financial Markets2
Journal of Financial Economics2
International Economic Review2
Journal of the American Statistical Association2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc26
CFS Working Paper Series / Center for Financial Studies (CFS)7
Working Paper Series / Federal Reserve Bank of Chicago3
Working Papers / New Economic School (NES)2
Working Papers / University of Macau, Faculty of Business Administration2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Torben G. Andersen (2026 and 2025)

YearTitle of citing document
2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Chavas, Jean-Paul ; Li, Jian. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343544.

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2026A GMM approach to estimate the roughness of stochastic volatility. (2022). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

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2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2024To VaR, or Not to VaR, That is the Question. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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2026High-dimensional estimation of quadratic variation based on penalized realized variance. (2021). Nielsen, Mikkel Slot ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2103.03237.

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2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2026Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024Option pricing in Sandwiched Volterra Volatility model. (2024). Mishura, Yuliya ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2209.10688.

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2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

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2025Latent Factor Analysis in Short Panels. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2024Expected Shortfall LASSO. (2024). Barendse, Sander. In: Papers. RePEc:arx:papers:2307.01033.

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2024An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics. (2024). Cao, YI ; Polukarov, Maria ; Li, Haochen ; Ventre, Carmine. In: Papers. RePEc:arx:papers:2308.14235.

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2024iCOS: Option-Implied COS Method. (2024). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

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2024Data-driven fixed-point tuning for truncated realized variations. (2024). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2311.00905.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2026Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting. (2024). Takahashi, Makoto ; Yamauchi, Yuta ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Papers. RePEc:arx:papers:2401.13179.

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2025Signature volatility models: pricing and hedging with Fourier. (2024). , Louis-Amand ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2402.01820.

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2025On short-time behavior of implied volatility in a market model with indexes. (2025). Nguyen, Thai ; Chau, Huy N. In: Papers. RePEc:arx:papers:2402.16509.

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2025Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Papers. RePEc:arx:papers:2403.00819.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2025RiskLabs: Predicting Financial Risk Using Large Language Model Based on Multi-Sources Data. (2024). Chen, Zhi ; Cao, Yupeng ; Pei, Qingyun ; Kumar, Prashant ; Ndiaye, Papa Momar ; Ausiello, Lorenzo ; Subbalakshmi, K P ; Dimino, Fabrizio. In: Papers. RePEc:arx:papers:2404.07452.

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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087.

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2025Reinforcement Learning for Jump-Diffusions, with Financial Applications. (2025). Yu, Xun ; Gao, Xuefeng ; Li, Lingfei. In: Papers. RePEc:arx:papers:2405.16449.

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2026Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024Probabilistic models and statistics for electronic financial markets in the digital age. (2024). Bibinger, Markus. In: Papers. RePEc:arx:papers:2406.07388.

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2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041.

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2026An unbounded intensity model for point processes. (2024). Christensen, Kim ; Kolokolov, Alexei. In: Papers. RePEc:arx:papers:2408.06519.

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2024Method of Moments Estimation for Affine Stochastic Volatility Models. (2024). Wu, Yan-Feng ; Yang, Xiangyu ; Hu, Jian-Qiang. In: Papers. RePEc:arx:papers:2408.09185.

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2024Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516.

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2025Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days. (2024). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2409.15320.

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2024The Fourier Cosine Method for Discrete Probability Distributions. (2024). Liu, Chengguang ; Fang, Fang ; Shen, Xiaoyu. In: Papers. RePEc:arx:papers:2410.04487.

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2024Dynamic graph neural networks for enhanced volatility prediction in financial markets. (2024). Alochukwu, Alex ; Umeorah, Nneka ; Kumar, Pulikandala Nithish. In: Papers. RePEc:arx:papers:2410.16858.

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2025Graph Signal Processing for Global Stock Market Realized Volatility Forecasting. (2025). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2410.22706.

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2025Moments by Integrating the Moment-Generating Function. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2410.23587.

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2025Liquidity Jump, Liquidity Diffusion, and Crypto Wash Trading. (2025). Zhou, Zhong-Guo ; Deng, QI. In: Papers. RePEc:arx:papers:2411.05803.

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2024What events matter for exchange rate volatility ?. (2024). FREITAS LOPES, HEDIBERT ; Ferreira Batista Martins, Igor. In: Papers. RePEc:arx:papers:2411.16244.

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2024Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli. In: Papers. RePEc:arx:papers:2411.17136.

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2024Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2024Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures. (2024). Zhang, Rouyi ; Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2412.16436.

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2025Risk forecasting using Long Short-Term Memory Mixture Density Networks. (2025). Herrig, Nico. In: Papers. RePEc:arx:papers:2501.01278.

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2025Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490.

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2025Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities. (2025). Chang, Yaming. In: Papers. RePEc:arx:papers:2502.02695.

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2025Adaptive Nesterov Accelerated Distributional Deep Hedging for Efficient Volatility Risk Management. (2025). Lu, Wu-Sheng ; Cai, Lin ; Zhao, Lei. In: Papers. RePEc:arx:papers:2502.17777.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025On the Realized Joint Laplace Transform of Volatilities with Application to Test the Volatility Dependence. (2025). Jiang, YU ; Feng, Xinwei ; Liu, Zhi ; Meng, Zhe. In: Papers. RePEc:arx:papers:2503.02283.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2025Liquidity-adjusted Return and Volatility, and Autoregressive Models. (2025). Deng, QI ; Zhou, Zhong-Guo. In: Papers. RePEc:arx:papers:2503.08693.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2025Impact of the COVID-19 pandemic on the financial market efficiency of price returns, absolute returns, and volatility increment: Evidence from stock and cryptocurrency markets. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2504.18960.

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2025Foundation Time-Series AI Model for Realized Volatility Forecasting. (2025). Magris, Martin ; Pasricha, Puneet ; Goel, Anubha ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:2505.11163.

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2025Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation. (2025). Fabozzi, Frank J ; Rachev, Svetlozar T ; Jha, Ayush ; Shirvani, Abootaleb ; Jaffri, Ali. In: Papers. RePEc:arx:papers:2505.12198.

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2025Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?. (2025). Pollok, Austin. In: Papers. RePEc:arx:papers:2506.07928.

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2025Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets. (2025). Rola, Przemyslaw. In: Papers. RePEc:arx:papers:2507.09734.

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2025Data Synchronization at High Frequencies. (2025). Kong, Xinbing ; Liu, Cheng ; Wu, Bin. In: Papers. RePEc:arx:papers:2507.12220.

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2025A Predictive Framework Integrating Multi-Scale Volatility Components and Time-Varying Quantile Spillovers: Evidence from the Cryptocurrency Market. (2025). Fu, Sicheng ; Zhu, Fangfang ; Liu, Xiangdong. In: Papers. RePEc:arx:papers:2507.22409.

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2025Returns and Order Flow Imbalances: Intraday Dynamics and Macroeconomic News Effects. (2025). Takahashi, Makoto. In: Papers. RePEc:arx:papers:2508.06788.

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2025Prediction of high-frequency futures return directions based on the mean uncertainty classification methods: An application in Chinas future market. (2025). Peng, Ying ; Zhang, Yifan ; Wang, Xin. In: Papers. RePEc:arx:papers:2508.06914.

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2025Mitigating Distribution Shift in Stock Price Data via Return-Volatility Normalization for Accurate Prediction. (2025). Lee, Hyunwoo ; Jeon, Jihyeong ; Kang, U ; Hong, Jaemin. In: Papers. RePEc:arx:papers:2508.20108.

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2025Joint calibration of the volatility surface and variance term structure. (2025). Yoo, Jiwook. In: Papers. RePEc:arx:papers:2509.08096.

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2026Roughness Analysis of Realized Volatility and VIX through Randomized Kolmogorov-Smirnov Distribution. (2025). Bianchi, Sergio ; Angelini, Daniele. In: Papers. RePEc:arx:papers:2509.20015.

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2025Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics. (2025). Casto, Gabriele. In: Papers. RePEc:arx:papers:2509.23533.

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2025Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging. (2025). Bracha, Zofia ; Sakowski, Pawel ; Micha, Jakub. In: Papers. RePEc:arx:papers:2510.09247.

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2025Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation. (2025). Simsek, Yasin. In: Papers. RePEc:arx:papers:2510.12911.

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2025Topology of Currencies: Persistent Homology for FX Co-movements: A Comparative Clustering Study. (2025). Diamantis, Ioannis ; de Favereau, Pattravadee. In: Papers. RePEc:arx:papers:2510.19306.

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2025Fusing Narrative Semantics for Financial Volatility Forecasting. (2025). Zohren, Stefan ; Vryonides, Chris ; Kaiser, Marcus ; Hwang, Yoontae ; Kong, Yaxuan ; Oomen, Roel. In: Papers. RePEc:arx:papers:2510.20699.

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2026On the estimation of leverage effect and volatility of volatility in the presence of jumps. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.00944.

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2025Multifractality and sample size influence on Bitcoin volatility patterns. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2511.03314.

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2025FCOC: A Fractal-Chaotic Co-driven Framework for Financial Volatility Forecasting. (2025). Zeng, Yilong ; Tang, Boyan ; Lee, Raymond ; Wu, Jianghua ; Zhou, Sherry Zhefang ; Ren, Xuanhao. In: Papers. RePEc:arx:papers:2511.10365.

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2025Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing. (2025). Rachev, Svetlozar T ; Deep, Akash ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:2511.16563.

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2025Portfolio Optimization via Transfer Learning. (2025). Wang, Kexin ; Zhang, Xiaomeng. In: Papers. RePEc:arx:papers:2511.21221.

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2025Beta-Dependent Gamma Feedback and Endogenous Volatility Amplification in Option Markets. (2025). Dai, Haoying. In: Papers. RePEc:arx:papers:2511.22766.

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2025A Stochastic Thermodynamics Approach to Price Impact and Round-Trip Arbitrage: Theory and Empirical Implications. (2025). Jha, Amit Kumar. In: Papers. RePEc:arx:papers:2512.03123.

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2025Volatility time series modeling by single-qubit quantum circuit learning. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2512.10584.

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2026Transfer Learning (Il)liquidity. (2026). Morelli, Giacomo ; Conti, Andrea. In: Papers. RePEc:arx:papers:2512.11731.

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2025Who sets the range? Funding mechanics and 4h context in crypto markets. (2025). Taufikin, Taufikin ; Hani, Mohamed ; Badawi, Habib. In: Papers. RePEc:arx:papers:2601.06084.

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2026Regime Discovery and Intra-Regime Return Dynamics in Global Equity Markets. (2026). Luwang, Salam Rabindrajit ; Nurujjaman, MD ; Mukhia, Kundan ; Petroni, Filippo ; Sharma, Buddha Nath ; Rai, Anish. In: Papers. RePEc:arx:papers:2601.08571.

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2026Warp speed price moves: Jumps after earnings announcements. (2026). Veliyev, Bezirgen ; Christensen, Kim ; Timmermann, Allan. In: Papers. RePEc:arx:papers:2601.08962.

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2026A Robust Similarity Estimator. (2026). Archakov, Ilya. In: Papers. RePEc:arx:papers:2601.12198.

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2026Realised quantile-based estimation of the integrated variance. (2026). Oomen, Roel ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13006.

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2026A machine learning approach to volatility forecasting. (2026). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13014.

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2026Beyond Carr Madan: A Projection Approach to Risk-Neutral Moment Estimation. (2026). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2601.14852.

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2026An Explainable Market Integrity Monitoring System with Multi-Source Attention Signals and Transparent Scoring. (2026). Neela, Sandeep. In: Papers. RePEc:arx:papers:2601.15304.

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2026Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment. (2026). Hounyo, Ulrich ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.16613.

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2026Inference from high-frequency data: A subsampling approach. (2026). Veliyev, Bezirgen ; Thamrongrat, Nopporn ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.16668.

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2025Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546.

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2026Uncertain Climate Policy as a Source of Macro-Financial Shocks: Evidence from Carbon Futures Volatility. (2026). Massimo, Serena Ionta. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp26262.

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2024U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields. (2024). Sekkel, Rodrigo ; Feunou, Bruno ; Nongni-Donfack, Morvan ; Xing, Bingxin Ann. In: Staff Working Papers. RePEc:bca:bocawp:24-12.

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2025Demand-Driven Risk Premia in Foreign Exchange and Bond Markets. (2025). Yang, Jun ; Uthemann, Andreas ; Vala, Rishi ; Krohn, Ingomar. In: Staff Working Papers. RePEc:bca:bocawp:25-29.

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2024Exchange Rate Volatility and International Trade in Turkey. (2024). Hidayah, Nurul. In: International Journal of Finance and Accounting. RePEc:bdu:ojijfa:v:9:y:2024:i:1:p:46-56:id:2450.

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2024Should Central Banks Care About Text Mining? A Literature Review. (2024). Meunier, Baptiste ; bricongne, jean-charles ; Caldeira, Raquel. In: Working papers. RePEc:bfr:banfra:950.

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2024Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128.

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2024Exploring the impact of oil security attention on oil volatility: A new perspective. (2024). Li, Shan ; Wang, LU ; Liang, Chao. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80.

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2024High‐Frequency‐Based Volatility Model with Network Structure. (2024). Yuan, Huiling ; Wang, Junhui ; Li, Guodong ; Lu, Kexin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:533-557.

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2024Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

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2024Unraveling the puzzling risk–return relationship: Distinctive roles of government involvement in venture capital investment. (2024). Zhang, Jiamin ; Gu, Qian Cecilia. In: Strategic Management Journal. RePEc:bla:stratm:v:45:y:2024:i:11:p:2307-2339.

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2025CALENDAR EFFECTS IN IRAQ STOCK EXCHANGE SECTOR RETURNS. (2025). Faez, Hasan Mohammed. In: Revista Economica. RePEc:blg:reveco:v:77:y:2025:i:2:p:7-34.

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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Working Papers. RePEc:boa:wpaper:202402.

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2025Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data. (2025). Yu, Jun ; Xiao, Weilin ; Zhang, Chen ; Wang, Xiaohu. In: Working Papers. RePEc:boa:wpaper:202527.

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Works by Torben G. Andersen:

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2017Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series.
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