| Year |
Citation |
Score |
| 2020 |
Andersen TG, Archakov I, Grund LE, Hautsch N, Li Y, Nasekin S, Nolte I, Pham MC, Taylor SJ, Todorov V. A Descriptive Study of High-Frequency Trade and Quote Option Data Journal of Financial Econometrics. DOI: 10.2139/Ssrn.3446690 |
0.479 |
|
| 2020 |
Andersen TG, Fusari N, Todorov V. The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets Journal of Business & Economic Statistics. 38: 662-678. DOI: 10.1080/07350015.2018.1564318 |
0.493 |
|
| 2020 |
Andersen TG, Todorov V, Ubukata M. Tail risk and return predictability for the Japanese equity market Journal of Econometrics. DOI: 10.1016/J.Jeconom.2020.07.005 |
0.515 |
|
| 2019 |
Andersen TG, Thyrsgaard M, Todorov V. Cross-Sectional Dispersion of Risk in Trading Time National Bureau of Economic Research. DOI: 10.3386/W26329 |
0.42 |
|
| 2019 |
Andersen TG, Thyrsgaard M, Todorov V. Time-Varying Periodicity in Intraday Volatility Journal of the American Statistical Association. 114: 1695-1707. DOI: 10.1080/01621459.2018.1512864 |
0.393 |
|
| 2019 |
Andersen TG, Fusari N, Todorov V, Varneskov RT. INFERENCE for OPTION PANELS in PURE-JUMP SETTINGS Econometric Theory. 35: 901-942. DOI: 10.1017/S0266466618000373 |
0.476 |
|
| 2019 |
Andersen TG, Fusari N, Todorov V, Varneskov RT. Unified inference for nonlinear factor models from panels with fixed and large time span Journal of Econometrics. 212: 4-25. DOI: 10.1016/J.Jeconom.2019.04.018 |
0.369 |
|
| 2017 |
Andersen TG, Fusari N, Todorov V. Short-Term Market Risks Implied by Weekly Options Journal of Finance. 72: 1335-1386. DOI: 10.1111/Jofi.12486 |
0.526 |
|
| 2015 |
Andersen TG, Fusari N, Todorov V. Parametric Inference and Dynamic State Recovery From Option Panels Econometrica. 83: 1081-1145. DOI: 10.3982/Ecta10719 |
0.56 |
|
| 2015 |
Andersen TG, Bondarenko O. Assessing measures of order flow toxicity and early warning signals for market turbulence Review of Finance. 19: 1-54. DOI: 10.1093/Rof/Rfu041 |
0.44 |
|
| 2015 |
Andersen TG, Bondarenko O, Gonzalez-Perez MT. Exploring Return Dynamics via Corridor Implied Volatility Review of Financial Studies. 28: 2902-2945. DOI: 10.1093/Rfs/Hhv033 |
0.54 |
|
| 2015 |
Andersen TG, Fusari N, Todorov V. The risk premia embedded in index options Journal of Financial Economics. 117: 558-584. DOI: 10.1016/J.Jfineco.2015.06.005 |
0.494 |
|
| 2015 |
Andersen TG, Bondarenko O, Todorov V, Tauchen G. The fine structure of equity-index option dynamics Journal of Econometrics. 187: 532-546. DOI: 10.1016/J.Jeconom.2015.02.037 |
0.48 |
|
| 2014 |
Andersen TG, Dobrev D, Schaumburg E. A robust neighborhood truncation approach to estimation of integrated quarticity Econometric Theory. 30: 3-59. DOI: 10.17016/Ifdp.2012.1078 |
0.535 |
|
| 2014 |
Andersen TG, Bondarenko O. Reflecting on the VPIN dispute Journal of Financial Markets. 17: 53-64. DOI: 10.1016/J.Finmar.2013.08.002 |
0.432 |
|
| 2014 |
Andersen TG, Bondarenko O. VPIN and the flash crash Journal of Financial Markets. 17: 1-46. DOI: 10.1016/J.Finmar.2013.05.005 |
0.386 |
|
| 2013 |
Andersen TG, Bollerslev T, Christoffersen PF, Diebold FX. Financial Risk Measurement for Financial Risk Management Handbook of the Economics of Finance. 2: 1127-1220. DOI: 10.1016/B978-0-44-459406-8.00017-2 |
0.477 |
|
| 2012 |
Andersen TG, Dobrev D, Schaumburg E. Jump-robust volatility estimation using nearest neighbor truncation Journal of Econometrics. 169: 75-93. DOI: 10.1016/J.Jeconom.2012.01.011 |
0.54 |
|
| 2011 |
Andersen TG, Bollerslev T, Meddahi N. Realized volatility forecasting and market microstructure noise Journal of Econometrics. 160: 220-234. DOI: 10.1016/J.Jeconom.2010.03.032 |
0.493 |
|
| 2011 |
Andersen TG, Bollerslev T, Huang X. A reduced form framework for modeling volatility of speculative prices based on realized variation measures Journal of Econometrics. 160: 176-189. DOI: 10.1016/J.Jeconom.2010.03.029 |
0.513 |
|
| 2010 |
Andersen TG, Benzoni L. Do bonds span volatility risk in the U.S. treasury market? A specification test for affine term structure models Journal of Finance. 65: 603-653. DOI: 10.1111/J.1540-6261.2009.01546.X |
0.728 |
|
| 2010 |
Andersen TG, Bollersley T, Diebold FX. Parametric and Nonparametric Volatility Measurement Handbook of Financial Econometrics, Vol 1. 67-137. DOI: 10.1016/B978-0-444-50897-3.50005-5 |
0.36 |
|
| 2010 |
Andersen TG, Bollerslev T, Frederiksen P, Nielsen MØ. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns Journal of Applied Econometrics. 25: 233-261. DOI: 10.1002/Jae.1105 |
0.555 |
|
| 2007 |
Andersen TG, Bondarenko O. Construction and Interpretation of Model-Free Implied Volatility National Bureau of Economic Research. 141-181. DOI: 10.2139/Ssrn.1150136 |
0.535 |
|
| 2007 |
Andersen TG, Bollerslev T, Diebold FX, Vega C. Real-time price discovery in global stock, bond and foreign exchange markets Journal of International Economics. 73: 251-277. DOI: 10.17016/Ifdp.2006.871 |
0.516 |
|
| 2007 |
Andersen TG, Bollerslev T, Diebold FX. Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility Review of Economics and Statistics. 89: 701-720. DOI: 10.1162/Rest.89.4.701 |
0.48 |
|
| 2007 |
Andersen TG, Bollerslev T, Dobrev D. No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications Journal of Econometrics. 138: 125-180. DOI: 10.1016/J.Jeconom.2006.05.018 |
0.571 |
|
| 2006 |
Andersen TG, Bollerslev T, Christoffersen PF, Diebold FX. Chapter 15 Volatility and Correlation Forecasting Handbook of Economic Forecasting. 1: 777-878. DOI: 10.1016/S1574-0706(05)01015-3 |
0.305 |
|
| 2005 |
Andersen TG, Bollerslev T, Christoffersen PF, Diebold FX. Practical Volatility and Correlation Modeling for Financial Market Risk Management National Bureau of Economic Research. 513-548. DOI: 10.2139/Ssrn.651921 |
0.479 |
|
| 2005 |
Andersen TG, Bollerslev T, Diebold FX, Wu J, Brandt M. A framework for exploring the macroeconomic determinants of systematic risk American Economic Review. 95: 398-404. DOI: 10.1257/000282805774669574 |
0.418 |
|
| 2005 |
Andersen TG, Bollerslev T, Meddahi N. Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities Econometrica. 73: 279-296. DOI: 10.1111/J.1468-0262.2005.00572.X |
0.418 |
|
| 2004 |
Andersen TG, Bollerslev T, Meddahi N. Analytical evaluation of volatility forecasts International Economic Review. 45: 1079-1110. DOI: 10.1111/J.0020-6598.2004.00298.X |
0.451 |
|
| 2003 |
Andersen TG, Bollerslev T, Diebold FX, Vega C. Micro effects of macro announcements: Real-time price discovery in foreign exchange American Economic Review. 93: 38-62. DOI: 10.1257/000282803321455151 |
0.478 |
|
| 2003 |
Andersen TG, Bollerslev T, Diebold FX, Labys P. Modeling and forecasting realized volatility Econometrica. 71: 579-625. DOI: 10.1111/1468-0262.00418 |
0.522 |
|
| 2002 |
Andersen TG, Benzoni L, Lund J. An empirical investigation of continuous-time equity return models Journal of Finance. 57: 1239-1284. DOI: 10.1111/1540-6261.00460 |
0.736 |
|
| 2001 |
Andersen TG, Bollerslev T, Diebold FX, Labys P. The Distribution of Realized Exchange Rate Volatility Journal of the American Statistical Association. 96: 42-55. DOI: 10.1198/016214501750332965 |
0.434 |
|
| 2001 |
Andersen TG, Bollerslev T, Das A. Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns Journal of Finance. 56: 305-327. DOI: 10.1111/0022-1082.00326 |
0.611 |
|
| 2001 |
Andersen TG, Bollerslev T, Diebold FX, Ebens H. The distribution of realized stock return volatility Journal of Financial Economics. 61: 43-76. DOI: 10.1016/S0304-405X(01)00055-1 |
0.459 |
|
| 2000 |
Andersen TG, Bollerslev T, Diebold FX, Ebens H. The Distribution of Stock Return Volatility National Bureau of Economic Research. DOI: 10.3386/W7933 |
0.547 |
|
| 2000 |
Andersen TG, Bollerslev T, Diebold FX, Labys P. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian Multinational Finance Journal. 4: 159-179. DOI: 10.3386/W7488 |
0.448 |
|
| 2000 |
Andersen TG. Some Reflections on Analysis of High-Frequency Data Journal of Business & Economic Statistics. 18: 146-153. DOI: 10.1080/07350015.2000.10524857 |
0.546 |
|
| 2000 |
Andersen TG. Simulation-Based Econometric Methods Econometric Theory. 16: 131-138. DOI: 10.1017/S0266466600001080 |
0.357 |
|
| 2000 |
Andersen TG, Bollerslev T, Cai J. Intraday and interday volatility in the Japanese stock market Journal of International Financial Markets, Institutions and Money. 10: 107-130. DOI: 10.1016/S1042-4431(99)00029-3 |
0.545 |
|
| 1999 |
Andersen TG, Bollerslev T, Diebold FX, Labys P. The Distribution of Exchange Rate Volatility National Bureau of Economic Research. DOI: 10.3386/W6961 |
0.433 |
|
| 1999 |
Andersen TG, Bollerslev T, Lange S. Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon Journal of Empirical Finance. 6: 457-477. DOI: 10.1016/S0927-5398(99)00013-4 |
0.548 |
|
| 1999 |
Andersen TG, Chung HJ, Sørensen BE. Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study Journal of Econometrics. 91: 61-87. DOI: 10.1016/S0304-4076(98)00049-9 |
0.387 |
|
| 1998 |
Andersen TG, Bollerslev T. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts International Economic Review. 39: 885-905. DOI: 10.2307/2527343 |
0.537 |
|
| 1998 |
Andersen TG, Bollerslev T. Towards a unified framework for high and low frequency return volatility modeling Statistica Neerlandica. 52: 273-302. DOI: 10.1111/1467-9574.00085 |
0.488 |
|
| 1998 |
Andersen TG, Bollerslev T. Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies Journal of Finance. 53: 219-265. DOI: 10.1111/0022-1082.85732 |
0.503 |
|
| 1998 |
Andersen TG. The Econometrics Of Financial Markets Econometric Theory. 14: 671-685. DOI: 10.1017/S0266466698145073 |
0.497 |
|
| 1997 |
Andersen TG, Bollerslev T. Answering the Critics: Yes, Arch Models Do Provide Good Volatility Forecasts National Bureau of Economic Research. DOI: 10.3386/W6023 |
0.53 |
|
| 1997 |
Andersen TG, Bollerslev T. Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns Journal of Finance. 52: 975-1005. DOI: 10.1111/J.1540-6261.1997.Tb02722.X |
0.442 |
|
| 1997 |
Andersen TG, Bollerslev T. Intraday periodicity and volatility persistence in financial markets Journal of Empirical Finance. 4: 115-158. DOI: 10.1016/S0927-5398(97)00004-2 |
0.557 |
|
| 1997 |
Andersen TG, Lund J. Estimating continuous-time stochastic volatility models of the short-term interest rate Journal of Econometrics. 77: 343-377. DOI: 10.1016/S0304-4076(96)01819-2 |
0.457 |
|
| 1997 |
Andersen TG, Sørensen BE. GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) Journal of Econometrics. 76: 397-403. DOI: 10.1016/0304-4076(95)01799-2 |
0.394 |
|
| 1996 |
Andersen TG. Return volatility and trading volume: An information flow interpretation of stochastic volatility Journal of Finance. 51: 169-204. DOI: 10.1111/J.1540-6261.1996.Tb05206.X |
0.443 |
|
| 1996 |
Andersen TG, Sørensen BE. GMM estimation of a stochastic volatility model: A Monte Carlo study Journal of Business and Economic Statistics. 14: 328-352. DOI: 10.1080/07350015.1996.10524660 |
0.364 |
|
| 1994 |
Andersen TG. Bayesian Analysis of Stochastic Volatility Models: Comment Journal of Business & Economic Statistics. 12: 389-392. DOI: 10.2307/1392200 |
0.382 |
|
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