Torben G. Andersen - Central Bank Research Hub

Papers by year: All | 2013 | 2010 | 2009 | 2008 | 2006

Title Other author(s)

A Robust Neighborhood Truncation Approach to Estimation of Integrated Quarticity

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 1078, 10.04.2013)

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

New York Fed Staff reports [View] (Paper: 465, 05.08.2010)

JEL: C14, C15, C22, C80, G10

Stochastic Volatility

Chicago Fed Working papers [View] (Paper: WP-2009-04, 24.09.2009)

Realized Volatility

Chicago Fed Working papers [View] (Paper: WP-2008-14, 02.12.2008)

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

Chicago Fed Working papers [View] (Paper: WP-2006-15, 01.12.2006)

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0871, 29.11.2006)

JEL: C5, F3, F4, G1

Papers by year: All | 2013 | 2010 | 2009 | 2008 | 2006