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Displaying results 1 to 25 of 55.

  1. Cross-sectional dispersion of risk in trading time
    Author: Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor
    Published: September 2019
    Publisher:  National Bureau of Economic Research, Cambridge, MA

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1 (26329)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper series / National Bureau of Economic Research ; 26329
    Subjects: Börsenkurs; Marktrisiko; Aktienindex; Betafaktor; Zentraler Grenzwertsatz; Zeit; Schätzung; USA
    Scope: 51 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  2. Parametric and nonparametric volatility measurement
    Author: Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.
    Published: 2002

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 19 (279)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Technical working paper series / National Bureau of Economic Research ; 279
    Subjects: Volatilität; Messung; Nichtparametrisches Verfahren; Theorie
    Scope: 63, [1] S
    Notes:

    Internetausg.: papers.nber.org/papers/t0279.pdf - lizenzpflichtig
  3. Some like it smooth, and some like it rough
    untanging continuous and jump components in measuring, modeling, and forecasting asset return volatility
    Author: Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.
    Published: 2003
    Publisher:  CFS, Frankfurt am Main

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1251 (2003.35)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: CFS working paper ; 2003,35
    Subjects: Kapitaleinkommen; Börsenkurs; Volatilität; Prognoseverfahren; Zeitreihenanalyse; Theorie; Autokorrelation; HAR-RV model
    Scope: 19, [20] S, graph. Darst
    Notes:
  4. Roughing it up
    including jump components in the measurement, modeling and forecasting of return volatility
    Author: Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.
    Published: 2005
    Publisher:  National Bureau of Economic Research, Cambridge, Mass.

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1 (11775)
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    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
    Signature:
    82/766 B-11775
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 11775
    Subjects: Kapitaleinkommen; Volatilität; Prognoseverfahren; Theorie; Rate of return
    Scope: 31, [16] S, graph. Darst
    Notes:

    Internetausg.: papers.nber.org/papers/w11775.pdf - lizenzpflichtig

    Literaturverz. S. 25 - 29
  5. Mechthildian approaches to Afrikanistik
    advances in language based research on Africa : Festschrift für Mechthild Reh
    Contributor: Kramer, Raija (Herausgeber); Kießling, Roland (Herausgeber); Andersen, Torben (Mitwirkender); Beyer, Klaus (Mitwirkender); Fiedler, Ines (Mitwirkender)
    Published: [2017]
    Publisher:  Rüdiger Köppe Verlag, Köln

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  6. Current research in Nilo-Saharan
    Author: Ahland, Colleen; Hellenthal, Anne-Christie; Güldemann, Tom; Elnur, Elsadig Omda Ibrahim; El-Guzuuli, El-Shafie; Jaeger, Marcus; Abdallah, Kamal Hussein; van Gerven Oei, Vincent W.J.; Egbokhare, Francis; Jerono, Prisca; Kießling, Roland; Mitchell, Alice; Andersen, Torben; Payne, Doris L.
    Published: [2022]
    Publisher:  Rüdiger Köppe, Köln

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    Source: Union catalogues
    Contributor: Blench, Roger (Herausgeber); Weschenfelder, Petra (Herausgeber); Ziegelmeyer, Georg (Herausgeber); Mietzner, Angelika (Herausgeber)
    Language: English
    Media type: Conference proceedings
    Format: Print
    ISBN: 9783896456694; 3896456695
    Other identifier:
    9783896456694
    Corporations / Congresses: Nilo-Saharan Linguistics Colloquium, 14. (2019, Wien)
    Series: Nilo-Saharan ; volume 32
    Subjects: Nilosaharanische Sprachen
    Other subjects: (Produktform)Paperback / softback; (Zielgruppe)Fachpublikum/ Wissenschaft; (Zielgruppe)Fachhochschul-/Hochschulausbildung; (Zielgruppe)Afrikanisten / Nilo-Saharanisten, Linguisten; (Produktform (spezifisch))Paperback (DE); (Produktform (spezifisch))Laminated cover; (Produktform (spezifisch))Syllabification; Nilosaharanisch; Deontik; Typologie; Historische Linguistik; Modalität; Afrikanistik; (VLB-WN)1569: Hardcover, Softcover / Sprachwissenschaft, Literaturwissenschaft/Sonstige Sprachen, Sonstige Literaturen
    Scope: 189 Seiten, Illustrationen, Karten, 24 cm, 400 g
  7. Volatility forecasting
    Contributor: Andersen, Torben (Mitwirkender); Bollerslev, Tim (Mitwirkender); Christoffersen, Peter F. (Mitwirkender); Diebold, Francis X. (Mitwirkender)
    Published: 2005
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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    Source: Union catalogues
    Contributor: Andersen, Torben (Mitwirkender); Bollerslev, Tim (Mitwirkender); Christoffersen, Peter F. (Mitwirkender); Diebold, Francis X. (Mitwirkender)
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    RVK Categories: QA 32110 ; QB 910 ; QB 910
    Series: Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2005,08
    Subjects: Volatilität; Prognoseverfahren; ARCH-Prozess; Theorie; Value at Risk; Europäische Union; Währungsunion; Volatilität; Prognose; Konjunkturzyklus
    Other subjects: (stw)Volatilität; (stw)Prognoseverfahren; (stw)ARCH-Modell; (stw)Theorie; (stw)Risikomaß; Arbeitspapier; Graue Literatur
    Scope: Online-Ressource
  8. Practical volatility and correlation modeling for financial market risk management
    Contributor: Andersen, Torben (Mitwirkender); Bollerslev, Tim (Mitwirkender); Christoffersen, Peter F. (Mitwirkender); Diebold, Francis X. (Mitwirkender)
    Published: 2005
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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    Contributor: Andersen, Torben (Mitwirkender); Bollerslev, Tim (Mitwirkender); Christoffersen, Peter F. (Mitwirkender); Diebold, Francis X. (Mitwirkender)
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2005,02
    Subjects: Risikomanagement; Portfolio Selection; ARCH-Prozess; Schätzung; Risikomanagement; Portfolio-Management; ARCH-Modell; Schätzung; USA
    Other subjects: (stw)Risikomanagement; (stw)Portfolio-Management; (stw)ARCH-Modell; (stw)Schätzung; (stw)USA; Arbeitspapier; Graue Literatur
    Scope: Online-Ressource
  9. Real-time price discovery in stock, bond and foreign exchange markets
    Contributor: Andersen, Torben (Mitwirkender); Bollerslev, Tim (Mitwirkender); Diebold, Francis X. (Mitwirkender); Vega, Clara (Mitwirkender)
    Published: 2005
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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  10. Interrogative and syntactic inquiries
    case studies from Africa
    Contributor: Köhler, Bernhard (Herausgeber); Andersen, Torben (Mitwirkender); Diallo, Abdourahmane (Mitwirkender); Kropp Dakubu, Mary Esther (Mitwirkender); Leger, Rudolf (Mitwirkender); Letsholo, Rose (Mitwirkender); Robert, Stéphane (Mitwirkender); Schuh, Russell G. (Mitwirkender); Yimam, Baye (Mitwirkender)
    Published: [2016]
    Publisher:  Rüdiger Köppe Verlag, Köln

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    Source: Union catalogues
    Contributor: Köhler, Bernhard (Herausgeber); Andersen, Torben (Mitwirkender); Diallo, Abdourahmane (Mitwirkender); Kropp Dakubu, Mary Esther (Mitwirkender); Leger, Rudolf (Mitwirkender); Letsholo, Rose (Mitwirkender); Robert, Stéphane (Mitwirkender); Schuh, Russell G. (Mitwirkender); Yimam, Baye (Mitwirkender)
    Language: English
    Media type: Book
    Format: Print
    ISBN: 9783896457233; 3896457233
    Other identifier:
    9783896457233
    Series: Frankfurter afrikanistische Blätter ; 23 (2011)
    Subjects: Afrikanische Sprachen; Interrogativsatz
    Other subjects: (Produktform)Paperback / softback; (Zielgruppe)Fachhochschul-/Hochschulausbildung; (Zielgruppe)Fachpublikum/ Wissenschaft; (VLB-WN)2561: Taschenbuch / Sprachwissenschaft, Literaturwissenschaft/Allgemeine und Vergleichende Sprachwissenschaft
    Scope: 164 Seiten, 24 cm
  11. Realized volatility and multipower variation
    Author: Andersen, Torben; Todorov, Viktor
    Published: 2009
    Publisher:  School of Economics and Management, Århus

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CREATES research paper ; 2009,49
    Subjects: Zeitreihenanalyse; Schätztheorie; Volatilität; Kapitaleinkommen; Modellierung
    Scope: Online-Ressource (16 S.)
  12. Stochastic volatility
    Author: Andersen, Torben; Benzoni, Luca
    Published: 2009
    Publisher:  Federal Reserve Bank of Chicago, Chicago, Ill.

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 244 (2009,4)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/70551
    Series: Working papers / Federal Reserve Bank of Chicago ; 2009-04
    Scope: Online-Ressource, (56, 6 S.), graph. Darst.
  13. Duration-based volatility estimation
    Author: Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst
    Published: 2009
    Publisher:  Research Unit for Statistical and Empirical Analysis in Social Sciences (Hi-Stat), Inst. for Economic Research, Hitotsubashi Univ., Kunatachi

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 155 (034)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10086/17081
    Series: Global COE Hi-Stat discussion paper series ; 034
    Scope: Online-Ressource (65 S., 4 Mb), graph. Darst.
  14. Jump-robust volatility estimation using nearest neighbor truncation
    Author: Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst
    Published: 2009

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1 (15533)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 15533
    Subjects: Zeitreihenanalyse; Nichtparametrisches Verfahren; Stichprobenerhebung; Schätztheorie
    Scope: 35 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen
  15. Construction and interpretation of model-free implied volatility
    Author: Andersen, Torben; Bondarenko, Oleg
    Published: 2007
    Publisher:  National Bureau of Economic Research, Cambridge, Mass.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1 (13449)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 13449
    Subjects: Optionsgeschäft; Optionspreistheorie; Derivat; Volatilität; Black-Scholes-Modell
    Scope: 33 S., graph. Darst.
    Notes:

    Literaturverz. S. 21 - 23

    Internetausg.: papers.nber.org/papers/w13449.pdf - lizenzpflichtig
  16. Stochastic volatility
    Author: Andersen, Torben; Benzoni, Luca
    Published: 2010
    Publisher:  School of Economics and Management, Århus

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CREATES research paper ; 2010,10
    Subjects: Stochastischer Prozess; Volatilität; CAPM; Zinsstruktur; Theorie
    Scope: Online-Ressource (57 S.)
  17. Jump-robust volatility estimation using nearest neighbor truncation
    Author: Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst
    Published: 2010
    Publisher:  Federal Reserve Bank of New York, New York, NY

    We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically,... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 207 (465)
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    We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical efficiency properties than the tripower variation measure and displays better finite-sample robustness to both jumps and the occurrence of “zero” returns in the sample. Unlike the bipower variation measure, the new estimators allow for the development of an asymptotic limit theory in the presence of jumps. Finally, they retain the local nature associated with the low-order multipower variation measures. This proves essential for alleviating finite sample biases arising from the pronounced intraday volatility pattern that afflicts alternative jump-robust estimators based on longer blocks of returns. An empirical investigation of the Dow Jones 30 stocks and an extensive simulation study corroborate the robustness and efficiency properties of the new estimators. -- Integrated volatility ; jump robust

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/60837
    Series: Staff reports / Federal Reserve Bank of New York ; 465
    Scope: Online-Ressource (35 S.), graph. Darst.
  18. Jump-robust volatility estimation using nearest neighbor truncation
    Author: Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst
    Published: 2009
    Publisher:  School of Economics and Management, Århus

    "LIC "-//W3C//DTD HTML 4.01 Transitional//EN" "http://www.w3.org/TR/html4/loose.dtd">Jump-Robust Volatility Estimation using Nearest Neighbor Truncation var djConfig = { parseOnLoad: true, isDebug: false };NATIONAL BUREAU OF ECONOMIC RESEARCH HOME... more

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    "LIC "-//W3C//DTD HTML 4.01 Transitional//EN" "http://www.w3.org/TR/html4/loose.dtd">Jump-Robust Volatility Estimation using Nearest Neighbor Truncation var djConfig = { parseOnLoad: true, isDebug: false };NATIONAL BUREAU OF ECONOMIC RESEARCH HOME PAGE Jump-Robust Volatility Estimation using Nearest Neighbor TruncationUse a mirror (1020 K)Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg NBER Working Paper No. 15533*Issued in November 2009NBER Program(s): APWe propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical efficiency properties than the tripower variation measure and displays better finite-sample robustness to both jumps and the occurrence of "zero'' returns in the sample. Unlike the bipower variation measure, the new estimators allow for the development of an asymptotic limit theory in the presence of jumps. Finally, they retain the local nature associated with the low order multipower variation measures. This proves essential for alleviating finite sample biases arising from the pronounced intraday volatility pattern which afflict alternative jump-robust estimators based on longer blocks of returns. An empirical investigation of the Dow Jones 30 stocks and an extensive simulation study corroborate the robustness and efficiency properties of the new estimators"--National Bureau of Economic Research web site

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CREATES research paper ; 2009,52
    Subjects: Zeitreihenanalyse; Nichtparametrisches Verfahren; Stichprobenerhebung; Schätztheorie
    Scope: Online-Ressource (38 S.)
  19. Coherent model-free implied volatility
    a corridor fix for high-frequency VIX
    Author: Andersen, Torben; Bondarenko, Oleg; Gonzalez-Perez, Maria T.
    Published: 2011
    Publisher:  School of Economics and Management, Aarhus

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CREATES research paper ; 2011,49
    Scope: Online-Ressource (44 S.)
  20. VPIN and the flash crash
    Author: Andersen, Torben; Bondarenko, Oleg
    Published: 2011
    Publisher:  School of Economics and Management, Aarhus

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CREATES research paper ; 2011,50
    Scope: Online-Ressource (40 S.)
  21. A functional filtering and neighborhood truncation approach to integrated quarticity estimation
    Author: Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst
    Published: 2011

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1 (17152)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 17152
    Subjects: Schätztheorie
    Scope: 66 S., graph. Darst.
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  22. A functional filtering and neighborhood truncation approach to integrated quarticity estimation
    Author: Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst
    Published: 2011
    Publisher:  School of Economics and Management, Aarhus

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CREATES research paper ; 2011,23
    Subjects: Schätztheorie
    Scope: Online-Ressource (69 S.)
  23. Parametric inference and dynamic state recovery from option panels
    Author: Andersen, Torben; Fusari, Nicola; Todorov, Viktor
    Published: 2012

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1 (18046)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 18046
    Subjects: Optionsgeschäft; Risikoprämie; Volatilität; Stochastischer Prozess; Modellierung; Theorie
    Scope: 48 S., graph. Darst.
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    Parallel als Online-Ausg. erschienen
  24. Parametric inference and dynamic state recovery from option panels
    Author: Andersen, Torben; Fusari, Nicola; Todorov, Viktor
    Published: 2012
    Publisher:  School of Economics and Management, Aarhus

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CREATES research paper ; 2012,11
    Subjects: Optionsgeschäft; Risikoprämie; Volatilität; Stochastischer Prozess; Modellierung; Theorie
    Scope: Online-Ressource (51 S.)
  25. Parametric inference and dynamic state recovery from option panels
    Author: Andersen, Torben; Fusari, Nicola; Todorov, Viktor
    Published: 2012
    Publisher:  Hitotsubashi Univ., Research Unit for Statistical and Empirical Analysis in Social Sciences (Hi-Stat), Kunitachi

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 155 (266)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10086/25338
    Series: Global COE hi-stat discussion paper series ; 266
    Subjects: Optionsgeschäft; Risikoprämie; Volatilität; Stochastischer Prozess; Modellierung; Theorie
    Scope: Online-Ressource (48 S., 1249 KB)