Author:
Andersen Torben G.,Bollerslev Tim,Diebold Francis X.,Labys Paul
Reference70 articles.
1. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns;T G Andersen;Journal of Finance,1997
2. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts;T G Andersen;International Economic Review,1998
3. The Distribution of Realized Stock Return Volatility;T G Andersen;Journal of Financial Economics,2001
4. Market Microstructure Effects and the Estimation of Integrated Volatility;T G Andersen;Work in Progress,2000
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