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. Exchange rate returns standardized by realized volatility are (nearly) Gaussian;Andersen;Multinational Finance Journal,2000
4. Andersen, T., Bollerslev, T., Diebold, F., Labys, P., 2000b. Market microstructure effects and the estimation of integrated volatility. Working Paper. Northwestern University, Duke University, and University of Pennsylvania.
5. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001