Details about Torben G. Andersen

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Workplace:	National Bureau of Economic Research (NBER), (more information at EDIRC) Department of Finance, Kellogg Graduate School of Management, Northwestern University, (more information at EDIRC) Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)

Access statistics for papers by Torben G. Andersen.

Last updated 2021-08-25. Update your information in the RePEc Author Service.

Short-id: pan210

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Working Papers

2021

1. Consistent Inference for Predictive Regressions in Persistent Economic Systems
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   See also Journal Article in Journal of Econometrics (2021)
2. Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions
   NBER Working Papers, National Bureau of Economic Research, Inc
3. Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
   NBER Working Papers, National Bureau of Economic Research, Inc

2020

4. Intraday Trading Invariance in the E-mini S&P 500 Futures Market
   Working Papers, New Economic School (NES)
   Also in Working Papers, New Economic School (NES) (2016) View citations (13)
   Working Papers, Center for Economic and Financial Research (CEFIR) (2016) View citations (13)

2019

5. Cross-Sectional Dispersion of Risk in Trading Time
   NBER Working Papers, National Bureau of Economic Research, Inc

2018

6. Consistent Inference for Predictive Regressions in Persistent VAR Economies
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
7. Option Panels in Pure-Jump Settings
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
8. Short-Term Market Risks Implied by Weekly Options
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article in Journal of Finance (2017)
9. The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
   See also Journal Article in Journal of Business & Economic Statistics (2020)
10. The Risk Premia Embedded in Index Options
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (2)
    See also Journal Article in Journal of Financial Economics (2015)
11. Time-Varying Periodicity in Intraday Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Journal Article in Journal of the American Statistical Association (2019)
12. Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article in Journal of Econometrics (2019)

2017

13. Volatility, information feedback and market microstructure noise: A tale of two regimes
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (2)

2015

14. The Pricing of Short-Term market Risk: Evidence from Weekly Options
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2013

15. A robust neighborhood truncation approach to estimation of integrated quarticity
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
    See also Journal Article in Econometric Theory (2014)
16. Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
17. Reflecting on the VPIN Dispute
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article in Journal of Financial Markets (2014)
18. The Fine Structure of Equity-Index Option Dynamics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article in Journal of Econometrics (2015)

2012

19. Financial Risk Measurement for Financial Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (5)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) View citations (8)
    See also Chapter (2013)
20. Parametric Inference and Dynamic State Recovery from Option Panels
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011)
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2012) View citations (6)
    See also Journal Article in Econometrica (2015)

2011

21. A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (13)
22. Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (14)
23. VPIN and the Flash Crash
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article in Journal of Financial Markets (2014)

2010

24. Jump-robust volatility estimation using nearest neighbor truncation
    Staff Reports, Federal Reserve Bank of New York View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (13)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (19)
    See also Journal Article in Journal of Econometrics (2012)
25. Stochastic Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (64)
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2009) View citations (1)

2009

26. Duration-Based Volatility Estimation
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (8)
27. Realized Volatility and Multipower Variation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (19)

2008

28. Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns
    Working Paper, Economics Department, Queen's University View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (19)
    See also Journal Article in Journal of Applied Econometrics (2010)
29. Realized volatility
    Working Paper Series, Federal Reserve Bank of Chicago View citations (41)
30. Stochastic Volatility: Origins and Overview
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (10)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations (10)
    OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations (10)

2007

31. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    See also Journal Article in Journal of Econometrics (2011)
32. Construction and Interpretation of Model-Free Implied Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (64)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (64)
33. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2006) View citations (20)
    NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (5)
    See also Journal Article in Journal of Finance (2010)
34. No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (152)
    See also Journal Article in Journal of Econometrics (2007)
35. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (527)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations (14)
    See also Journal Article in Journal of International Economics (2007)
36. Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (825)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (26)
    See also Journal Article in The Review of Economics and Statistics (2007)

2005

37. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    CFS Working Paper Series, Center for Financial Studies
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (83)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (83)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (83)
    See also Journal Article in American Economic Review (2005)
38. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    CFS Working Paper Series, Center for Financial Studies
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (23)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (18)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (16)
    See also Chapter (2007)
39. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (45)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) View citations (83)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2004) View citations (34)
    CFS Working Paper Series, Center for Financial Studies (2004)
40. Volatility Forecasting
    CFS Working Paper Series, Center for Financial Studies
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (40)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (37)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (55)

2004

41. Realized Beta: Persistence and Predictability
    CFS Working Paper Series, Center for Financial Studies
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2004) View citations (13)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) View citations (13)
42. Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)

2003

43. Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (44)
    Also in CFS Working Paper Series, Center for Financial Studies (2003)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2003) View citations (44)

2002

44. Analytic Evaluation of Volatility Forecasts
    CIRANO Working Papers, CIRANO View citations (14)
    See also Journal Article in International Economic Review (2004)
45. CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (6)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) View citations (15)
    CIRANO Working Papers, CIRANO (2002) View citations (7)
46. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (35)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (62)
    Working Papers, Duke University, Department of Economics (2002) View citations (34)
    See also Journal Article in American Economic Review (2003)
47. Parametric and Nonparametric Volatility Measurement
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (69)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2002) View citations (61)

2001

48. An Empirical Investigation of Continuous-Time Equity Return Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (99)
49. Modeling and Forecasting Realized Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (56)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2001) View citations (40)
    See also Journal Article in Econometrica (2003)

2000

50. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (108)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations (10)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations (13)
    See also Journal Article in Multinational Finance Journal (2000)
51. The Distribution of Stock Return Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (41)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2000) View citations (31)

1999

52. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (55)
53. The Distribution of Exchange Rate Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (53)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations (90)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations (46)

1997

54. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (26)

1996

55. DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
56. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (33)
    See also Journal Article in Journal of Finance (1997)

1995

57. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
    Discussion Papers, University of Copenhagen. Department of Economics View citations (9)
    Also in Computing in Economics and Finance 1997, Society for Computational Economics View citations (244)
    See also Journal Article in Journal of Business & Economic Statistics (1996)

Journal Articles

2021

1. Consistent inference for predictive regressions in persistent economic systems
   Journal of Econometrics, 2021, 224, (1), 215-244 View citations (3)
   See also Working Paper (2021)
2. Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk
   Quantitative Economics, 2021, 12, (2), 647-682 View citations (1)
3. Tail risk and return predictability for the Japanese equity market
   Journal of Econometrics, 2021, 222, (1), 344-363 View citations (9)

2020

4. The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
   Journal of Business & Economic Statistics, 2020, 38, (3), 662-678 View citations (16)
   See also Working Paper (2018)

2019

5. INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS
   Econometric Theory, 2019, 35, (5), 901-942 View citations (1)
6. Time-Varying Periodicity in Intraday Volatility
   Journal of the American Statistical Association, 2019, 114, (528), 1695-1707 View citations (12)
   See also Working Paper (2018)
7. Unified inference for nonlinear factor models from panels with fixed and large time span
   Journal of Econometrics, 2019, 212, (1), 4-25 View citations (1)
   See also Working Paper (2018)

2017

8. Short-Term Market Risks Implied by Weekly Options
   Journal of Finance, 2017, 72, (3), 1335-1386 View citations (26)
   See also Working Paper (2018)

2015

9. Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence
   Review of Finance, 2015, 19, (1), 1-54 View citations (8)
10. Exploring Return Dynamics via Corridor Implied Volatility
    Review of Financial Studies, 2015, 28, (10), 2902-2945 View citations (43)
11. Parametric Inference and Dynamic State Recovery From Option Panels
    Econometrica, 2015, 83, (3), 1081-1145 View citations (28)
    See also Working Paper (2012)
12. The fine structure of equity-index option dynamics
    Journal of Econometrics, 2015, 187, (2), 532-546 View citations (11)
    See also Working Paper (2013)
13. The risk premia embedded in index options
    Journal of Financial Economics, 2015, 117, (3), 558-584 View citations (77)
    See also Working Paper (2018)

2014

14. A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
    Econometric Theory, 2014, 30, (1), 3-59 View citations (16)
    See also Working Paper (2013)
15. Reflecting on the VPIN dispute
    Journal of Financial Markets, 2014, 17, (C), 53-64 View citations (6)
    See also Working Paper (2013)
16. VPIN and the flash crash
    Journal of Financial Markets, 2014, 17, (C), 1-46 View citations (38)
    See also Working Paper (2011)

2012

17. Jump-robust volatility estimation using nearest neighbor truncation
    Journal of Econometrics, 2012, 169, (1), 75-93 View citations (263)
    See also Working Paper (2010)

2011

18. A reduced form framework for modeling volatility of speculative prices based on realized variation measures
    Journal of Econometrics, 2011, 160, (1), 176-189 View citations (105)
    See also Working Paper (2007)
19. Realized volatility forecasting and market microstructure noise
    Journal of Econometrics, 2011, 160, (1), 220-234 View citations (105)

2010

20. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
    Journal of Applied Econometrics, 2010, 25, (2), 233-261 View citations (99)
    See also Working Paper (2008)
21. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
    Journal of Finance, 2010, 65, (2), 603-653 View citations (43)
    See also Working Paper (2007)

2007

22. Editorial Announcement
    Journal of Business & Economic Statistics, 2007, 25, 1-1
23. Editors' Report 2006
    Journal of Business & Economic Statistics, 2007, 25, 503-503 View citations (2)
    Also in Journal of Business & Economic Statistics, 2006, 24, 505-505 (2006)
24. No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
    Journal of Econometrics, 2007, 138, (1), 125-180 View citations (149)
    See also Working Paper (2007)
25. Real-time price discovery in global stock, bond and foreign exchange markets
    Journal of International Economics, 2007, 73, (2), 251-277 View citations (499)
    See also Working Paper (2007)
26. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
    The Review of Economics and Statistics, 2007, 89, (4), 701-720 View citations (828)
    See also Working Paper (2007)

2006

27. Comment
    Journal of Business & Economic Statistics, 2006, 24, 173-179

2005

28. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    American Economic Review, 2005, 95, (2), 398-404 View citations (83)
    See also Working Paper (2005)
29. Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
    Econometrica, 2005, 73, (1), 279-296 View citations (177)
30. Editor's Report 2004
    Journal of Business & Economic Statistics, 2005, 23, 495-495

2004

31. ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
    International Economic Review, 2004, 45, (4), 1079-1110 View citations (112)
    See also Working Paper (2002)
32. Discussion
    The Journal of Financial Econometrics, 2004, 2, (1), 37-48

2003

33. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    American Economic Review, 2003, 93, (1), 38-62 View citations (808)
    See also Working Paper (2002)
34. Modeling and Forecasting Realized Volatility
    Econometrica, 2003, 71, (2), 579-625 View citations (1790)
    See also Working Paper (2001)

2001

35. The Distribution of Realized Exchange Rate Volatility
    Journal of the American Statistical Association, 2001, 96, 42-55 View citations (1072)
36. The distribution of realized stock return volatility
    Journal of Financial Economics, 2001, 61, (1), 43-76 View citations (1016)
37. Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns
    Journal of Finance, 2001, 56, (1), 305-327 View citations (33)

2000

38. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    Multinational Finance Journal, 2000, 4, (3-4), 159-179 View citations (97)
    See also Working Paper (2000)
39. Intraday and interday volatility in the Japanese stock market
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (2), 107-130 View citations (101)
40. SIMULATION-BASED ECONOMETRIC METHODS
    Econometric Theory, 2000, 16, (1), 131-138 View citations (10)
41. Some Reflections on Analysis of High-Frequency Data
    Journal of Business & Economic Statistics, 2000, 18, (2), 146-53 View citations (22)

1999

42. Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
    Journal of Econometrics, 1999, 91, (1), 61-87 View citations (115)
43. Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
    Journal of Empirical Finance, 1999, 6, (5), 457-477 View citations (168)

1998

44. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
    International Economic Review, 1998, 39, (4), 885-905 View citations (1562)
45. THE ECONOMETRICS OF FINANCIAL MARKETS
    Econometric Theory, 1998, 14, (5), 671-685 View citations (3)
46. Towards a unified framework for high and low frequency return volatility modeling
    Statistica Neerlandica, 1998, 52, (3), 273-302 View citations (5)

1997

47. Estimating continuous-time stochastic volatility models of the short-term interest rate
    Journal of Econometrics, 1997, 77, (2), 343-377 View citations (241)
48. GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
    Journal of Econometrics, 1997, 76, (1-2), 397-403 View citations (10)
49. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
    Journal of Finance, 1997, 52, (3), 975-1005 View citations (377)
    See also Working Paper (1996)
50. Intraday periodicity and volatility persistence in financial markets
    Journal of Empirical Finance, 1997, 4, (2-3), 115-158 View citations (609)

1996

51. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
    Journal of Business & Economic Statistics, 1996, 14, (3), 328-52 View citations (180)
    See also Working Paper (1995)
52. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
    Journal of Finance, 1996, 51, (1), 169-204 View citations (432)

1994

53. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 389-92

Chapters

2013

1. Financial Risk Measurement for Financial Risk Management
   Elsevier View citations (40)
   See also Working Paper (2012)

2007

2. Practical Volatility and Correlation Modeling for Financial Market Risk Management
   A chapter in The Risks of Financial Institutions, 2007, pp 513-544 View citations (20)
   See also Working Paper (2005)

2006

3. Volatility and Correlation Forecasting
   Elsevier View citations (275)