1. Intraday periodicity and volatility persistence in financial markets;Andersen;Journal of Empirical Finance,1997
2. Answering the skeptics: yes, standard volatility models do provide accurate forecasts;Andersen;International Economic Review,1998
3. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (1999). (Understanding, optimizing, using and forecasting) realized volatility and correlation. Manuscript, Northwestern University, Duke University and University of Pennsylvania. Published in revised form as “Great realizations”. Risk. March 2000 (pp. 105–108).
4. Exchange rate returns standardized by realized volatility are (nearly) Gaussian;Andersen;Multinational Finance Journal,2000
5. The distribution of exchange rate volatility;Andersen;Journal of the American Statistical Association,2001