Browsing Scholarly Articles by Author "Andersen, T.G."

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  • 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 ...
  • 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 ...
  • 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 ...