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Torben G. Andersen

Not to be confused with: Torben Andersen Sr.

Personal Details

First Name:Torben
Middle Name:G.
Last Name:Andersen
Suffix:
RePEc Short-ID:pan210
[This author has chosen not to make the email address public]
Terminal Degree:1992 Economics Department; Yale University (from RePEc Genealogy)

Affiliation

(50%) National Bureau of Economic Research (NBER)

Cambridge, Massachusetts (United States)
http://www.nber.org/
RePEc:edi:nberrus (more details at EDIRC)

(39%) Department of Finance
Kellogg Graduate School of Management
Northwestern University

Evanston, Illinois (United States)
http://www.kellogg.northwestern.edu/departments/finance.aspx
RePEc:edi:dfnwuus (more details at EDIRC)

(11%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet

Aarhus, Denmark
http://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Torben G. Andersen & Viktor Todorov & Bo Zhou, 2023. "Real-Time Detection of Local No-Arbitrage Violations," Papers 2307.10872, arXiv.org.
  2. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions," NBER Working Papers 28569, National Bureau of Economic Research, Inc.
  3. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers 28570, National Bureau of Economic Research, Inc.
  4. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers 28568, National Bureau of Economic Research, Inc.
  5. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2019. "Cross-Sectional Dispersion of Risk in Trading Time," NBER Working Papers 26329, National Bureau of Economic Research, Inc.
  6. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018. "The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets," CREATES Research Papers 2018-02, Department of Economics and Business Economics, Aarhus University.
  7. Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018. "Option Panels in Pure-Jump Settings," CREATES Research Papers 2018-04, Department of Economics and Business Economics, Aarhus University.
  8. Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.
  9. Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018. "Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span," CREATES Research Papers 2018-03, Department of Economics and Business Economics, Aarhus University.
  10. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018. "Short-Term Market Risks Implied by Weekly Options," CREATES Research Papers 2018-08, Department of Economics and Business Economics, Aarhus University.
  11. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2018. "Time-Varying Periodicity in Intraday Volatility," CREATES Research Papers 2018-05, Department of Economics and Business Economics, Aarhus University.
  12. Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2017. "Volatility, information feedback and market microstructure noise: A tale of two regimes," CFS Working Paper Series 569, Center for Financial Studies (CFS).
  13. Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna Obizhaeva, 2016. "Intraday Trading Invariance in the E-mini S&P 500 Futures Market," Working Papers w0229, New Economic School (NES).
  14. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers 21491, National Bureau of Economic Research, Inc.
  15. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2014. "The Risk Premia Embedded in Index Options," CREATES Research Papers 2014-56, Department of Economics and Business Economics, Aarhus University.
  16. Torben G. Andersen & Oleg Bondarenko, 2013. "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers 2013-43, Department of Economics and Business Economics, Aarhus University.
  17. Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen, 2013. "The Fine Structure of Equity-Index Option Dynamics," CREATES Research Papers 2013-52, Department of Economics and Business Economics, Aarhus University.
  18. Torben G. Andersen & Oleg Bondarenko, 2013. "Reflecting on the VPIN Dispute," CREATES Research Papers 2013-42, Department of Economics and Business Economics, Aarhus University.
  19. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2013. "A robust neighborhood truncation approach to estimation of integrated quarticity," International Finance Discussion Papers 1078, Board of Governors of the Federal Reserve System (U.S.).
  20. Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2011. "Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX," CREATES Research Papers 2011-49, Department of Economics and Business Economics, Aarhus University.
  21. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2011. "Parametric Inference and Dynamic State Recovery from Option Panels," CREATES Research Papers 2012-11, Department of Economics and Business Economics, Aarhus University.
  22. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011. "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," CREATES Research Papers 2011-23, Department of Economics and Business Economics, Aarhus University.
  23. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
  24. Torben G. Andersen & Oleg Bondarenko, 2011. "VPIN and the Flash Crash," CREATES Research Papers 2011-50, Department of Economics and Business Economics, Aarhus University.
  25. Torben G. Andersen & Luca Benzoni, 2010. "Stochastic Volatility," CREATES Research Papers 2010-10, Department of Economics and Business Economics, Aarhus University.
  26. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," CREATES Research Papers 2009-52, Department of Economics and Business Economics, Aarhus University.
  27. Torben G. Andersen & Viktor Todorov, 2009. "Realized Volatility and Multipower Variation," CREATES Research Papers 2009-49, Department of Economics and Business Economics, Aarhus University.
  28. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Duration-Based Volatility Estimation," Global COE Hi-Stat Discussion Paper Series gd08-034, Institute of Economic Research, Hitotsubashi University.
  29. Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago.
  30. Neil Shephard & Torben Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Papers 2008-W04, Economics Group, Nuffield College, University of Oxford.
  31. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, Department of Economics and Business Economics, Aarhus University.
  32. Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev, 2007. "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 12963, National Bureau of Economic Research, Inc.
  33. Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, Department of Economics and Business Economics, Aarhus University.
  34. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," CREATES Research Papers 2007-18, Department of Economics and Business Economics, Aarhus University.
  35. Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," CREATES Research Papers 2007-25, Department of Economics and Business Economics, Aarhus University.
  36. Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, Department of Economics and Business Economics, Aarhus University.
  37. Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," CREATES Research Papers 2007-24, Department of Economics and Business Economics, Aarhus University.
  38. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2005. "A framework for exploring the macroeconomic determinants of systematic risk," CFS Working Paper Series 2005/04, Center for Financial Studies (CFS).
  39. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," NBER Working Papers 11188, National Bureau of Economic Research, Inc.
  40. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2005. "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets," NBER Working Papers 11312, National Bureau of Economic Research, Inc.
  41. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Practical volatility and correlation modeling for financial market risk management," CFS Working Paper Series 2005/02, Center for Financial Studies (CFS).
  42. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Practical volatility and correlation modeling for financial market risk management," CFS Working Paper Series 2005/02, Center for Financial Studies (CFS).
  43. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2005. "A framework for exploring the macroeconomic determinants of systematic risk," CFS Working Paper Series 2005/04, Center for Financial Studies (CFS).
  44. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2004. "Realized beta: Persistence and predictability," CFS Working Paper Series 2004/16, Center for Financial Studies (CFS).
  45. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2004. "Realized beta: Persistence and predictability," CFS Working Paper Series 2004/16, Center for Financial Studies (CFS).
  46. Jesper Lund & Torben G. Andersen & Luca Benzoni, 2004. "Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature," Econometric Society 2004 North American Winter Meetings 432, Econometric Society.
  47. Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).
  48. Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).
  49. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers 2002s-91, CIRANO.
  50. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers 0279, National Bureau of Economic Research, Inc.
  51. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO.
  52. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics.
  53. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
  54. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc.
  55. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000. "The Distribution of Stock Return Volatility," NBER Working Papers 7933, National Bureau of Economic Research, Inc.
  56. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-059, New York University, Leonard N. Stern School of Business-.
  57. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-060, New York University, Leonard N. Stern School of Business-.
  58. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-061, New York University, Leonard N. Stern School of Business-.
  59. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.
  60. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc.
  61. Torben G. Andersen & Tim Bollerslev, 1996. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," NBER Working Papers 5752, National Bureau of Economic Research, Inc.
  62. Torben G. Andersen & Bent E. Sorensen, 1995. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Discussion Papers 95-19, University of Copenhagen. Department of Economics.

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Articles

  1. Torben G. Andersen & Tao Su & Viktor Todorov & Zhiyuan Zhang, 2024. "Intraday Periodic Volatility Curves," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(546), pages 1181-1191, April.
  2. Andersen, Torben G. & Riva, Raul & Thyrsgaard, Martin & Todorov, Viktor, 2023. "Intraday cross-sectional distributions of systematic risk," Journal of Econometrics, Elsevier, vol. 235(2), pages 1394-1418.
  3. Torben Andersen & Kim Christensen & Ingmar Nolte, 2023. "Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(4), pages 336-336, July.
  4. Andersen, Torben G. & Li, Yingying & Todorov, Viktor & Zhou, Bo, 2023. "Volatility measurement with pockets of extreme return persistence," Journal of Econometrics, Elsevier, vol. 237(2).
  5. Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2022. "Local mispricing and microstructural noise: A parametric perspective," Journal of Econometrics, Elsevier, vol. 230(2), pages 510-534.
  6. Andersen, Torben G. & Varneskov, Rasmus T., 2022. "Testing for parameter instability and structural change in persistent predictive regressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 361-386.
  7. Andersen, Torben G. & Varneskov, Rasmus T., 2022. "Consistent Local Spectrum Inference For Predictive Return Regressions," Econometric Theory, Cambridge University Press, vol. 38(6), pages 1253-1307, December.
  8. Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato, 2021. "Tail risk and return predictability for the Japanese equity market," Journal of Econometrics, Elsevier, vol. 222(1), pages 344-363.
  9. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2021. "Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk," Quantitative Economics, Econometric Society, vol. 12(2), pages 647-682, May.
  10. Torben Andersen & Ilya Archakov & Leon Grund & Nikolaus Hautsch & Yifan Li & Sergey Nasekin & Ingmar Nolte & Manh Cuong Pham & Stephen Taylor & Viktor Todorov, 2021. "A Descriptive Study of High-Frequency Trade and Quote Option Data [Stealth Trading in Options Markets]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 128-177.
  11. Andersen, Torben G. & Varneskov, Rasmus T., 2021. "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
  12. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2020. "The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 662-678, July.
  13. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019. "Unified inference for nonlinear factor models from panels with fixed and large time span," Journal of Econometrics, Elsevier, vol. 212(1), pages 4-25.
  14. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019. "Inference For Option Panels In Pure-Jump Settings," Econometric Theory, Cambridge University Press, vol. 35(5), pages 901-942, October.
  15. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2019. "Time-Varying Periodicity in Intraday Volatility," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(528), pages 1695-1707, October.
  16. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2017. "Short-Term Market Risks Implied by Weekly Options," Journal of Finance, American Finance Association, vol. 72(3), pages 1335-1386, June.
  17. Torben G. Andersen & Oleg Bondarenko, 2015. "Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence," Review of Finance, European Finance Association, vol. 19(1), pages 1-54.
  18. Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2015. "Exploring Return Dynamics via Corridor Implied Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 28(10), pages 2902-2945.
  19. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "Parametric Inference and Dynamic State Recovery From Option Panels," Econometrica, Econometric Society, vol. 83(3), pages 1081-1145, May.
  20. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor, 2015. "The risk premia embedded in index options," Journal of Financial Economics, Elsevier, vol. 117(3), pages 558-584.
  21. Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George, 2015. "The fine structure of equity-index option dynamics," Journal of Econometrics, Elsevier, vol. 187(2), pages 532-546.
  22. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2014. "A Robust Neighborhood Truncation Approach To Estimation Of Integrated Quarticity," Econometric Theory, Cambridge University Press, vol. 30(1), pages 3-59, February.
  23. Andersen, Torben G. & Bondarenko, Oleg, 2014. "Reflecting on the VPIN dispute," Journal of Financial Markets, Elsevier, vol. 17(C), pages 53-64.
  24. Andersen, Torben G. & Bondarenko, Oleg, 2014. "VPIN and the flash crash," Journal of Financial Markets, Elsevier, vol. 17(C), pages 1-46.
  25. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2012. "Jump-robust volatility estimation using nearest neighbor truncation," Journal of Econometrics, Elsevier, vol. 169(1), pages 75-93.
  26. Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour, 2011. "Realized volatility forecasting and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 220-234, January.
  27. Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011. "A reduced form framework for modeling volatility of speculative prices based on realized variation measures," Journal of Econometrics, Elsevier, vol. 160(1), pages 176-189, January.
  28. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2010. "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 233-261.
  29. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, April.
  30. Andersen, Torben G., 2007. "Editorial Announcement," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 1-1, January.
  31. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November.
  32. Andersen, Torben G. & Lewbel, Arthur & Ng, Serena, 2007. "Editors' Report 2006," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 503-503, October.
  33. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007. "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, Elsevier, vol. 138(1), pages 125-180, May.
  34. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
  35. Andersen, Torben G. & Bollerslev, Tim & Frederiksen, Per Houmann & Nielsen, Morten Orregaard, 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 173-179, April.
  36. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, vol. 95(2), pages 398-404, May.
  37. Andersen, Torben G., 2005. "Editor's Report 2004," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 495-495, October.
  38. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2005. "Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities," Econometrica, Econometric Society, vol. 73(1), pages 279-296, January.
  39. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
  40. Torben G. Andersen, 2004. "Discussion," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 37-48.
  41. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
  42. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
  43. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002. "An Empirical Investigation of Continuous‐Time Equity Return Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, June.
  44. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
  45. Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March.
  46. Torben G. Andersen & Tim Bollerslev & Ashish Das, 2001. "Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns," Journal of Finance, American Finance Association, vol. 56(1), pages 305-327, February.
  47. Andersen, Torben G, 2000. "Some Reflections on Analysis of High-Frequency Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 146-153, April.
  48. Andersen, Torben G., 2000. "Simulation-Based Econometric Methods," Econometric Theory, Cambridge University Press, vol. 16(1), pages 131-138, February.
  49. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 107-130, June.
  50. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," Multinational Finance Journal, Multinational Finance Journal, vol. 4(3-4), pages 159-179, September.
  51. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
  52. Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999. "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 91(1), pages 61-87, July.
  53. Andersen, Torben G., 1998. "The Econometrics Of Financial Markets," Econometric Theory, Cambridge University Press, vol. 14(5), pages 671-685, October.
  54. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
  55. T. G. Andersen & T. Bollerslev, 1998. "Towards a unified framework for high and low frequency return volatility modeling," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 52(3), pages 273-302, November.
  56. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
  57. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
  58. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
  59. Andersen, Torben G. & Sorensen, Bent E., 1997. "GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 397-403.
  60. Andersen, Torben G & Sorensen, Bent E, 1996. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-352, July.
  61. Andersen, Torben G, 1996. "Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
  62. Andersen, Torben G, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 389-392, October.

Chapters

  1. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
  2. Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Chapters, in: The Risks of Financial Institutions, pages 513-544, National Bureau of Economic Research, Inc.
  3. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  4. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Ginger Wu, 2006. "Realized Beta: Persistence and Predictability," Advances in Econometrics, in: Econometric Analysis of Financial and Economic Time Series, pages 1-39, Emerald Group Publishing Limited.

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Statistics

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This author is among the top 5% authors according to these criteria:
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  20. h-index
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  35. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 79 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (40) 1999-03-01 2000-01-24 2001-03-13 2001-07-23 2001-07-23 2002-08-16 2002-10-08 2003-04-27 2003-04-27 2003-10-12 2005-01-02 2005-02-01 2005-03-13 2005-03-20 2005-05-23 2005-07-18 2005-11-19 2006-12-16 2007-03-24 2008-03-15 2008-03-25 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-07-30 2008-11-11 2009-03-07 2009-10-31 2009-11-27 2009-12-05 2010-03-20 2010-09-03 2011-06-25 2012-01-03 2012-05-02 2019-02-11 2019-02-11 2019-02-11 2021-04-05. Author is listed
  2. NEP-ECM: Econometrics (36) 1999-03-08 2000-01-24 2001-03-16 2001-07-23 2002-08-16 2002-10-08 2003-05-12 2003-05-12 2003-10-12 2005-01-02 2005-02-01 2005-03-13 2005-03-20 2007-03-24 2008-03-15 2008-06-27 2008-06-27 2009-01-10 2009-03-07 2009-10-31 2009-11-07 2009-11-27 2009-12-05 2010-03-20 2010-09-03 2011-06-25 2012-05-02 2013-04-13 2019-02-11 2019-02-11 2019-02-11 2019-02-11 2021-04-05 2021-04-05 2021-04-05 2023-08-28. Author is listed
  3. NEP-FMK: Financial Markets (29) 2001-03-13 2001-07-23 2001-07-23 2001-10-01 2002-06-13 2002-08-16 2002-10-08 2003-04-27 2003-04-27 2004-02-23 2005-01-02 2005-01-02 2005-02-01 2005-03-13 2005-07-18 2005-07-18 2005-07-18 2005-07-18 2005-07-18 2005-11-19 2007-01-02 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2009-03-07 2015-01-09 2017-02-05 2020-09-07. Author is listed
  4. NEP-MST: Market Microstructure (27) 2006-12-16 2007-01-02 2007-03-17 2007-03-24 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-07-30 2009-01-10 2009-03-07 2009-11-07 2009-11-27 2009-12-05 2010-09-03 2012-01-03 2012-01-03 2013-04-13 2013-12-29 2013-12-29 2014-01-10 2017-02-05 2017-03-26 2019-02-11 2019-02-11 2019-10-07 2020-09-07. Author is listed
  5. NEP-RMG: Risk Management (20) 2002-10-08 2003-02-18 2003-04-27 2003-04-27 2003-10-12 2005-02-01 2005-03-13 2005-07-18 2006-12-16 2007-01-02 2007-03-17 2007-10-06 2011-11-21 2011-11-28 2012-05-29 2015-01-09 2015-09-05 2019-02-11 2019-02-11 2019-02-11. Author is listed
  6. NEP-FIN: Finance (18) 2001-03-13 2001-07-23 2001-07-23 2002-06-13 2002-08-16 2003-04-27 2003-04-27 2005-01-02 2005-02-01 2005-02-01 2005-02-20 2005-03-13 2005-03-20 2005-07-18 2005-07-18 2005-07-18 2005-07-18 2005-11-19. Author is listed
  7. NEP-CFN: Corporate Finance (14) 2003-04-27 2004-02-23 2005-02-01 2005-02-01 2005-03-20 2005-07-18 2005-07-18 2005-07-18 2005-07-18 2005-07-18 2012-01-03 2014-01-10 2019-02-11 2019-02-11. Author is listed
  8. NEP-IFN: International Finance (10) 1999-03-01 2000-01-24 2001-03-13 2001-07-23 2002-06-13 2003-02-18 2004-02-23 2005-01-02 2005-07-18 2008-06-27. Author is listed
  9. NEP-ORE: Operations Research (8) 2008-03-25 2010-03-20 2015-01-09 2019-02-11 2019-02-11 2019-02-11 2021-04-05 2021-04-05. Author is listed
  10. NEP-BEC: Business Economics (5) 2005-02-20 2005-03-13 2005-07-18 2005-07-18 2005-07-18. Author is listed
  11. NEP-CBA: Central Banking (5) 2008-03-15 2008-06-27 2011-11-21 2011-11-28 2012-05-29. Author is listed
  12. NEP-FOR: Forecasting (5) 2005-07-18 2005-11-19 2010-03-20 2013-12-29 2013-12-29. Author is listed
  13. NEP-MAC: Macroeconomics (5) 2003-04-27 2005-02-01 2005-02-20 2005-07-18 2010-03-20. Author is listed
  14. NEP-BAN: Banking (3) 2011-11-21 2011-11-28 2012-05-29
  15. NEP-UPT: Utility Models and Prospect Theory (3) 2015-01-09 2019-02-11 2019-02-11
  16. NEP-AGR: Agricultural Economics (1) 2017-02-05
  17. NEP-EEC: European Economics (1) 2005-07-18
  18. NEP-HPE: History and Philosophy of Economics (1) 2008-03-25
  19. NEP-MON: Monetary Economics (1) 2005-02-01
  20. NEP-OPM: Open Economy Macroeconomics (1) 2008-06-27

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