Browsing Duke Faculty Scholarship by Author "Andersen, T.G."

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Correcting the Errors: Volatility Forecast Evaluation using High-Frequency Data and Realized Volatilities

Bollerslev, Tim; Andersen, T.G.; Meddahi, N. (Econometrica, 2005)

We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric ...
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Bollerslev, Tim; Andersen, T.G.; Diebold, F.X. (American Economic Review, 2005)

The increasing availability of high-frequency asset return data has had a fundamental impact on empirical financial economics, focusing attention on asset return volatility and correlation dynamics, with key applications ...
"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange"

Bollerslev, Tim; Andersen, T.G.; Diebold, F. X.; Vega, C. (American Economic Review, 2003)

Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot ...
"Modeling and Forecasting Realized Volatility"

Bollerslev, Tim; Andersen, T.G.; Diebold, F. X.; Labys, P. (Econometrica, 2003)

We provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Most procedures for ...