1. Telling from discrete data whether the underlying continuous-time model is a diffusion;Aït-Sahalia;J. Finance,2002
2. An empirical investigation of continuous-time equity returns models;Andersen;J. Finance,2002
3. Construction and interpretation of model-free implied volatility;Andersen,2007
4. Andersen, T., Bondarenko, O., 2010. Dissecting the pricing of equity index volatility, working paper, Northwestern University and University of Illinois at Chicago.
5. Andersen, T., Bondarenko, O., Gonzalez-Perez, M., 2011. A corridor fix for VIX: Constructing a coherent model-free option implied volatility measure, working paper, Northwestern University and University of Illinois at Chicago.