Books by Torben G. Andersen
Jump-robust volatility estimat
Jump-robust volatility estimation using nearest neighbor truncation
Construction and interpretatio
Construction and interpretation of model-free implied volatility
Do bonds span volatility risk
Do bonds span volatility risk in the U.S. treasury market?
No-arbitrage semi-martingale r
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise
Real-time price discovery in g
Real-time price discovery in global stock, bond and foreign exchange markets
A framework for exploring the
A framework for exploring the macroeconomic determinants of systematic risk
Practical volatility and corre
Practical volatility and correlation modeling for financial market risk management
Real-time price discovery in s
Real-time price discovery in stock, bond, and foreign exchange markets
Roughing it up
Roughing it up
Volatility forecasting
Volatility forecasting
An empirical investigation of
An empirical investigation of continuous-time equity return models
Testing for market microstruct
Testing for market microstructure effects in intraday volatility
Answering the critics
Answering the critics
DM-dollar volatility
DM-dollar volatility
Heterogeneous information arri
Heterogeneous information arrivals and return volatility dynamics
Foreign currency translation o
Foreign currency translation of multiperiod monetary investments and liabilities under uncertainty