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Disambiguation of "Andersen, Torben G."

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The distribution of realized stock return volatility

, , , and . Journal of Financial Economics, 61 (1): 43--76 (July 2001)

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Gerhard Andersen

Jens Andersen

S_o42ren Andersen

Olaf Andersen

Hanfried Andersen

 

Other publications of authors with the same name

Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study, , and . Journal of Econometrics, 91 (1): 61--87 (July 1999)GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994), and . Journal of Econometrics, 76 (1-2): 397--403 (00 1997)Modeling and Forecasting Realized Volatility, , , and . Econometrica, 71 (2): 579--625 (60 03 2003)doi: 10.1111/1468-0262.00418.Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon, , and . Journal of Empirical Finance, 6 (5): 457--477 (December 1999)The distribution of realized stock return volatility, , , and . Journal of Financial Economics, 61 (1): 43--76 (July 2001)Intraday periodicity and volatility persistence in financial markets, and . Journal of Empirical Finance, 4 (2-3): 115--158 (June 1997)Estimating continuous-time stochastic volatility models of the short-term interest rate, and . Journal of Econometrics, 77 (2): 343--377 (April 1997)Advances in Econometrics, , , and . Volume 20, Part 2, chapter Realized Beta: Persistence and Predictability, page 1--39. JAI, (2006)Real-time price discovery in global stock, bond and foreign exchange markets, , , and . Journal of International Economics, 73 (2): 251--277 (November 2007)Handbook of Economic Forecasting, , , and . Volume 1, chapter Chapter 15 Volatility and Correlation Forecasting, page 777--878. Elsevier, (2006)