1. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts;Andersen;International Economic Review,1998
2. Deutschemark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies;Andersen;Journal of Finance,1998
3. Parametric and nonparametric volatility measurement;Andersen,2002
4. Some like it smooth, and some like it rough: Untangling continuous and jump components in measuring, modeling and forecasting asset return volatility;Andersen,2004
5. Roughing it up: Including jump components in the measurement, modelling and forecasting of return volatility;Andersen;The Review of Economics and Statistics,2007