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Refinado por: assunto: Volatility remover Base de dados/Biblioteca: JSTOR Business and Economics Backfile Collection remover
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1
Modeling and Forecasting Realized Volatility
Modeling and Forecasting Realized Volatility
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Modeling and Forecasting Realized Volatility

Andersen, Torben G. ; Bollerslev, Tim ; Diebold, Francis X. ; Labys, Paul

Econometrica, 2003-03, Vol.71 (2), p.579-625 [Periódico revisado por pares]

Oxford, UK and Boston, USA: Blackwell Publishing Ltd

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2
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
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Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

Andersen, Torben G. ; Bollerslev, Tim ; Frederiksen, Per ; Ørregaard Nielsen, Morten

Journal of applied econometrics (Chichester, England), 2010-03, Vol.25 (2), p.233-261 [Periódico revisado por pares]

Chichester, UK: John Wiley & Sons, Ltd

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3
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
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Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities

Andersen, Torben G. ; Bollerslev, Tim ; Meddahi, Nour

Econometrica, 2005-01, Vol.73 (1), p.279-296 [Periódico revisado por pares]

Oxford, UK and Boston, USA: Blackwell Publishing Ltd

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4
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
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Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Andersen, Torben G. ; Bollerslev, Tim ; Diebold, Francis X. ; Vega, Clara

The American economic review, 2003-03, Vol.93 (1), p.38-62 [Periódico revisado por pares]

Nashville: American Economic Association

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5
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
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Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Andersen, Torben G. ; Bollerslev, Tim

International economic review (Philadelphia), 1998-11, Vol.39 (4), p.885-905 [Periódico revisado por pares]

Philadelphia, Pa: The Economics Department of the University of Pennsylvania, and the Osaka University Institute of Social and Economic Research Association

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6
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
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Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

Andersen, Torben G. ; Bollerslev, Tim

The Journal of finance (New York), 1998-02, Vol.53 (1), p.219-265 [Periódico revisado por pares]

Oxford, UK and Boston, USA: Blackwell Publishers, Inc

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7
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
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ANALYTICAL EVALUATION OF VOLATILITY FORECASTS

Andersen, Torben G. ; Bollerslev, Tim ; Meddahi, Nour

International economic review (Philadelphia), 2004-11, Vol.45 (4), p.1079-1110 [Periódico revisado por pares]

350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK: Blackwell Publishing, Inc

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8
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model
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Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model

Forsberg, Lars ; Bollerslev, Tim

Journal of applied econometrics (Chichester, England), 2002-09, Vol.17 (5), p.535-548 [Periódico revisado por pares]

Chichester, UK: John Wiley & Sons, Ltd

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9
High-Frequency Data, Frequency Domain Inference, and Volatility Forecasting
High-Frequency Data, Frequency Domain Inference, and Volatility Forecasting
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High-Frequency Data, Frequency Domain Inference, and Volatility Forecasting

Bollerslev, Tim ; Wright, Jonathan H.

The review of economics and statistics, 2001-11, Vol.83 (4), p.596-602 [Periódico revisado por pares]

238 Main St., Suite 500, Cambridge, MA 02142-1046, USA: MIT Press

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10
Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns
Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns
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Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns

Andersen, Torben G. ; Bollerslev, Tim ; Das, Ashish

The Journal of finance (New York), 2001-02, Vol.56 (1), p.305-327 [Periódico revisado por pares]

Boston, USA and Oxford, UK: Blackwell Publishers, Inc

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