Browsing by Author "Andersen, TG"
Now showing items 1-4 of 4
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A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
(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 ... -
Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities
(Econometrica, 2005-01-01)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 ... -
"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange"
(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 exchange ... -
"Modeling and Forecasting Realized Volatility"
(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 ...
