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torben g andersen

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Treasury billsDo bonds span volatility risk in the U.S. treasury market?Torben G. Andersen

Do bonds span volatility risk in the U.S. treasury market?

Torben G. Andersen · Federal Reserve Bank of Chicago

37 sayfa · 2006

Government securities / Mathematical models / Treasury bills

Economic forecastingNo-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noiseTorben G. Andersen

No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise

Torben G. Andersen · National Bureau of Economic Research

32 sayfa · 2007

Economic forecasting

PricesConstruction and interpretation of model-free implied volatilityTorben G. Andersen

Construction and interpretation of model-free implied volatility

Torben G. Andersen · National Bureau of Economic Research

33 sayfa · 2007

Assets (Accounting) / Economic forecasting / Forecasting / Prices

Rate of returnRoughing it upTorben G. Andersen

Roughing it up

Torben G. Andersen · National Bureau of Economic Research

Sayfa sayısı yok · 2005

Mathematical models / Rate of return

InvestmentsA framework for exploring the macroeconomic determinants of systematic riskTorben G. Andersen

A framework for exploring the macroeconomic determinants of systematic risk

Torben G. Andersen · National Bureau of Economic Research

Sayfa sayısı yok · 2005

Risk / Mathematical models / Rate of return / Investments

Economic forecastingVolatility forecastingTorben G. Andersen

Volatility forecasting

Torben G. Andersen · National Bureau of Economic Research

113 sayfa · 2005

Economic forecasting

Econometric modelsPractical volatility and correlation modeling for financial market risk managementTorben G. Andersen

Practical volatility and correlation modeling for financial market risk management

Torben G. Andersen · National Bureau of Economic Research

25 sayfa · 2005

Financial institutions / Risk management / Econometric models

CiltReal-time price discovery in global stock, bond and foreign exchange marketsTorben G. Andersen

Real-time price discovery in global stock, bond and foreign exchange markets

Torben G. Andersen · Federal Reserve Board

Sayfa sayısı yok · 2006

Kategori yok

BondsReal-time price discovery in stock, bond and foreign exchange marketsTorben G. Andersen

Real-time price discovery in stock, bond and foreign exchange markets

Torben G. Andersen · National Bureau of Economic Research

32 sayfa · 2005

Foreign exchange rates / Econometric models / Stocks / Rate of return / Bonds

CiltJump-robust volatility estimation using nearest neighbor truncationTorben G. Andersen

Jump-robust volatility estimation using nearest neighbor truncation

Torben G. Andersen · National Bureau of Economic Research

Sayfa sayısı yok · 2009

Kategori yok

German MarkDM-dollar volatilityTorben G. Andersen

DM-dollar volatility

Torben G. Andersen · National Bureau of Economic Research

34 sayfa · 1996

American Dollar / Foreign exchange market / Foreign exchange rates / German Mark

CiltForeign currency translation of multiperiod monetary investments and liabilities under uncertaintyTorben G. Andersen

Foreign currency translation of multiperiod monetary investments and liabilities under uncertainty

Torben G. Andersen · Sine nomine

36 sayfa · 1987

Kategori yok

Stock price forecastingAn empirical investigation of continuous-time equity return modelsTorben G. Andersen

An empirical investigation of continuous-time equity return models

Torben G. Andersen · National Bureau of Economic Research

46 sayfa · 2001

Econometric models / Options / Prices / Rate of return / Stock price forecasting

Stock exchangesTesting for market microstructure effects in intraday volatilityTorben G. Andersen

Testing for market microstructure effects in intraday volatility

Torben G. Andersen · National Bureau of Economic Research

21 sayfa · 1998

Econometric models / Foreign exchange market / Stock exchanges

Rate of returnHeterogeneous information arrivals and return volatility dynamicsTorben G. Andersen

Heterogeneous information arrivals and return volatility dynamics

Torben G. Andersen · National Bureau of Economic Research

32 sayfa · 1996

Assets (Accounting) / Econometric models / Foreign exchange market / Prices / Rate of return

PricesAnswering the criticsTorben G. Andersen

Answering the critics

Torben G. Andersen · National Bureau of Economic Research

22 sayfa · 1997

Assets (Accounting) / Autoregression (Statistics) / Econometrics / Forecasting / Prices

KreditmarktVolatilityTorben G. Andersen, Tim Bollerslev

Volatility

Torben G. Andersen, Tim Bollerslev · Elgar Publishing Limited, Edward

Sayfa sayısı yok · 2018