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Co-authors
(63)
Tim Bollerslev
61
Francis X. Diebold
46
Tim Bollerslev
14
Luca Benzoni
11
Jesper Lund
10
Journals
(21)
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7
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Authors
Torben Andersen
Torben Andersen,Northwestern University,Mathematical & Quantitative Methods,Financial Economics,Linguistics
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Torben Andersen
Northwestern University
Publications:
137
|
Citations:
6015
Fields:
Mathematical & Quantitative Methods
,
Financial Economics
,
Linguistics
View FAQ about top research areas and Fields of study
Collaborated with
63 co-authors
from 1984 to 2012
|
Cited by
3260 authors
Cumulative
Annual
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Publications
(137)
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RefWorks
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Parametric Inference and Dynamic State Recovery from Option Panels
(
Citations: 1
)
Torben G. Andersen
,
Nicola Fusari
,
Viktor Todorov
Published in 2012.
Financial Risk Measurement for Financial Risk Management
Torben G. Andersen
,
Tim Bollerslev
,
Peter F. Christoffersen
,
Francis X. Diebold
Published in 2012.
Jump-robust volatility estimation using nearest neighbor truncation
Torben G. Andersen
,
Dobrislav Dobrev
,
Ernst Schaumburg
Published in 2012.
Realized volatility forecasting and market microstructure noise
(
Citations: 26
)
Torben G. Andersen
,
Tim Bollerslev
,
Nour Meddahi
Journal:
Journal of Econometrics - J ECONOMETRICS
, vol. 160, no. 1, pp. 220-234, 2011
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
(
Citations: 7
)
Torben G. Andersen
,
Tim Bollerslev
,
Xin Huang
Journal:
Journal of Econometrics - J ECONOMETRICS
, vol. 160, no. 1, pp. 176-189, 2011
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Citations
(6015 times by 2807 publications)
A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
(
Citations: 5
)
Taoufik Bouezmarni
,
Jeroen V. K. Rombouts
,
Abderrahim Taamouti
Journal:
Journal of Business & Economic Statistics - J BUS ECON STAT
, vol. just-accep, no. just-accep, pp. 275-287, 2012
Affine fractional stochastic volatility models
(
Citations: 8
)
F. Comte
,
L. Coutin
,
E. Renault
Journal:
Annals of Finance
, vol. 6, no. 4, pp. 1-42, 2012
Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle
(
Citations: 3
)
Cosmin L. Ilut
Published in 2012.
A Gaussian calculus for inference from high frequency data
(
Citations: 1
)
Per A. Mykland
Journal:
Annals of Finance
, vol. 6, no. 3, pp. 1-24, 2012
A semiparametric stochastic volatility model
(
Citations: 1
)
Jun Yu
Journal:
Journal of Econometrics - J ECONOMETRICS
, 2012
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