SSRN Electronic Journal · 2006 · 16 citations · 18 references
BusinessEconomicsFinanceInternational EconomicsInternational FinanceExchange Of InformationForeign Exchange ManagementForeign Exchange MarketsForeign Exchange OperationsInformation EconomicsInternational Financial MarketsCross-border Information ExchangeForeign Exchange Market OperationsIntermarket Price RelationshipsMicrostructure Of Exchange RatesRegional Market Linkages
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Modeling and Forecasting Realized Volatility
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Econometrica · 2003 · 4K citations
The Distribution of Realized Exchange Rate Volatility
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Journal of the American Statistical Association · 2001 · 2.2K citations
Differences of Opinion Make a Horse Race
Milton Harris, Artur Raviv · Review of Financial Studies · 1993 · 1.7K citations
The Price Variability-Volume Relationship on Speculative Markets
George Tauchen, Mark Pitts · Econometrica · 1983 · 1.5K citations
Social Sciences, Economics, Finance +14