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Thomas Busch

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Personal Details

First Name: Thomas
Middle Name:
Last Name: Busch
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RePEc Short-ID: pbu74

Email:
Homepage: http://www.econ.au.dk/research/research-centres/creates/people/junior-fellows/thomas-busch/
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Affiliation

Works

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Working papers

  1. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers 2007-09, School of Economics and Management, University of Aarhus.
  2. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2006. "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Working Papers 1188, Queen's University, Department of Economics.
  3. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "Forecasting Exchange Rate Volatility in the Presence of Jumps," Working Papers 1187, Queen's University, Department of Economics.

Articles

  1. Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011. "The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets," Journal of Econometrics, Elsevier, vol. 160(1), pages 48-57, January.
  2. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March.
  3. Busch, Thomas, 2005. "A robust LR test for the GARCH model," Economics Letters, Elsevier, vol. 88(3), pages 358-364, September.

NEP Fields

2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (2) 2008-06-27 2008-10-21. Author is listed
  2. NEP-ETS: Econometric Time Series (1) 2008-06-27. Author is listed
  3. NEP-FMK: Financial Markets (1) 2008-06-27. Author is listed
  4. NEP-FOR: Forecasting (2) 2008-06-27 2008-10-21. Author is listed
  5. NEP-MST: Market Microstructure (2) 2008-06-27 2008-10-21. Author is listed

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Co-authorship network on CollEc

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