Jump-robust volatility estimation using nearest neighbor truncationTorben G. Andersen · First published 2009Open the Tome
Construction and interpretation of model-free implied volatilityTorben G. Andersen · First published 2007Open the Tome
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noiseTorben G. Andersen · First published 2007Open the Tome
Do bonds span volatility risk in the U.S. treasury market?Torben G. Andersen · First published 2006Open the Tome
Real-time price discovery in global stock, bond and foreign exchange marketsTorben G. Andersen · First published 2006Open the Tome
A framework for exploring the macroeconomic determinants of systematic riskTorben G. Andersen · First published 2005Open the Tome
Practical volatility and correlation modeling for financial market risk managementTorben G. Andersen · First published 2005Open the Tome
Real-time price discovery in stock, bond and foreign exchange marketsTorben G. Andersen · First published 2005Open the Tome
An empirical investigation of continuous-time equity return modelsTorben G. Andersen · First published 2001Open the Tome
Testing for market microstructure effects in intraday volatilityTorben G. Andersen · First published 1998Open the Tome
Heterogeneous information arrivals and return volatility dynamicsTorben G. Andersen · First published 1996Open the Tome
Foreign currency translation of multiperiod monetary investments and liabilities under uncertaintyTorben G. Andersen · First published 1987Open the Tome
