1. Andersen , Torben G. 1992a Return volatility and trading volume in financial markets: An information flow interpretation of stochastic volatility, Unpublished Ph.D. Dissertation, Yale University
2. Andersen , Torben G. 1992b Volatility, Working Paper, Northwestern University
3. Stochastic autoregressive volatility: A framework for volatility modeling;Andersen;Mathematical Finance,1994
4. Andersen , Torben G. Tim Bollerslev 1994 Intraday seasonality and volatility persistence in financial markets, Working Paper, Northwestern University
5. Andersen , Torben G. Bent E. Sørensen 1994 GMM and QML asymptotic standard deviations in stochastic volatility models: A response to Ruiz (1994) Journal of Econometrics