| Modeling and forecasting realized volatility TG Andersen, T Bollerslev, FX Diebold, P Labys Econometrica 71 (2), 579-625, 2003 | 4934 | 2003 |
| Answering the skeptics: Yes, standard volatility models do provide accurate forecasts TG Andersen, T Bollerslev International economic review, 885-905, 1998 | 4448 | 1998 |
| The distribution of realized stock return volatility TG Andersen, T Bollerslev, FX Diebold, H Ebens Journal of financial economics 61 (1), 43-76, 2001 | 3266 | 2001 |
| The distribution of realized exchange rate volatility TG Andersen, T Bollerslev, FX Diebold, P Labys Journal of the American statistical association 96 (453), 42-55, 2001 | 3190 | 2001 |
| Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility TG Andersen, T Bollerslev, FX Diebold The review of economics and statistics 89 (4), 701-720, 2007 | 2045 | 2007 |
| Micro effects of macro announcements: Real-time price discovery in foreign exchange TG Anderson, T Bollerslev, FX Diebold, C Vega American economic review 93 (1), 38-62, 2003 | 1825 | 2003 |
| Intraday periodicity and volatility persistence in financial markets TG Andersen, T Bollerslev Journal of empirical finance 4 (2-3), 115-158, 1997 | 1812 | 1997 |
| Deutsche mark–dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies TG Andersen, T Bollerslev the Journal of Finance 53 (1), 219-265, 1998 | 1693 | 1998 |
| Return volatility and trading volume: An information flow interpretation of stochastic volatility TG Andersen The Journal of Finance 51 (1), 169-204, 1996 | 1583 | 1996 |
| Real-time price discovery in global stock, bond and foreign exchange markets TG Andersen, T Bollerslev, FX Diebold, C Vega Journal of international Economics 73 (2), 251-277, 2007 | 1500 | 2007 |
| An empirical investigation of continuous‐time equity return models TG Andersen, L Benzoni, J Lund The Journal of Finance 57 (3), 1239-1284, 2002 | 1101 | 2002 |
| Heterogeneous information arrivals and return volatility dynamics: Uncovering the long‐run in high frequency returns TG Andersen, T Bollerslev The journal of Finance 52 (3), 975-1005, 1997 | 1043 | 1997 |
| Estimating continuous-time stochastic volatility models of the short-term interest rate TG Andersen, J Lund Journal of econometrics 77 (2), 343-377, 1997 | 726 | 1997 |
| Volatility and correlation forecasting TG Andersen, T Bollerslev, PF Christoffersen, FX Diebold Handbook of economic forecasting 1, 777-878, 2006 | 696 | 2006 |
| Parametric and nonparametric volatility measurement TG Andersen, T Bollerslev, FX Diebold Handbook of financial econometrics: Tools and techniques, 67-137, 2010 | 692 | 2010 |
| Jump-robust volatility estimation using nearest neighbor truncation TG Andersen, D Dobrev, E Schaumburg Journal of Econometrics 169 (1), 75-93, 2012 | 667 | 2012 |
| GMM estimation of a stochastic volatility model: A Monte Carlo study TG Andersen, BE Sørensen Journal of Business & Economic Statistics 14 (3), 328-352, 1996 | 658 | 1996 |
| Handbook of financial time series TG Andersen, RA Davis, JP Kreiß, TV Mikosch Springer Science & Business Media, 2009 | 597* | 2009 |
| Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon TG Andersen, T Bollerslev, S Lange Journal of empirical finance 6 (5), 457-477, 1999 | 498 | 1999 |
| Great realizations TG Andersen, T Bollerslev, FX Diebold, P Labys Risk 13, 105-108, 2000 | 443 | 2000 |
