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Disambiguation of "Andersen, Torben G."

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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)

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Hanfried Andersen

Gerhard Andersen

Jens Andersen

S_o42ren Andersen

Olaf Andersen

 

Other publications of authors with the same name

Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities, , and . Econometrica, 73 (1): 279--296 (Jan 1, 2005)doi: 10.1111/j.1468-0262.2005.00572.x.ANALYTICAL EVALUATION OF VOLATILITY FORECASTS*, , and . International Economic Review, 45 (4): 1079--1110 (306 11 2004)doi: 10.1111/j.0020-6598.2004.00298.x.Intraday and interday volatility in the Japanese stock market, , and . Journal of International Financial Markets, Institutions and Money, 10 (2): 107--130 (June 2000)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)No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications, , and . Journal of Econometrics, 138 (1): 125--180 (May 2007)Advances in Econometrics, , , and . Volume 20, Part 2, chapter Realized Beta: Persistence and Predictability, page 1--39. JAI, (2006)Estimating continuous-time stochastic volatility models of the short-term interest rate, and . Journal of Econometrics, 77 (2): 343--377 (April 1997)Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon, , and . Journal of Empirical Finance, 6 (5): 457--477 (December 1999)Modeling and Forecasting Realized Volatility, , , and . Econometrica, 71 (2): 579--625 (60 03 2003)doi: 10.1111/1468-0262.00418.