Details about Torben G. Andersen

Access statistics for papers by Torben G. Andersen.

Last updated 2009-10-18. Update your information in the RePEc Author Service.

Short-id: pan210

Working Papers

2009

1. Duration-Based Volatility Estimation
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
2. Stochastic volatility
   Working Paper Series, Federal Reserve Bank of Chicago

2008

3. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
   Working Papers, Queen's University, Department of Economics
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007) View citations
4. Realized volatility
   Working Paper Series, Federal Reserve Bank of Chicago View citations
5. Stochastic Volatility: Origins and Overview
   OFRC Working Papers Series, Oxford Financial Research Centre View citations
   Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations
   Economics Series Working Papers, University of Oxford, Department of Economics (2008) View citations

2007

6. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
7. Construction and Interpretation of Model-Free Implied Volatility
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007)
8. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
   CREATES Research Papers, School of Economics and Management, University of Aarhus
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007)
   Working Paper Series, Federal Reserve Bank of Chicago (2006) View citations
9. 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, National Bureau of Economic Research, Inc View citations
   See also Journal Article in Journal of Econometrics (2007)
10. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
    CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations
    See also Journal Article in Journal of International Economics (2007)
11. Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
    CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
    See also Journal Article in The Review of Economics and Statistics (2007)

2005

12. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    CFS Working Paper Series, Center for Financial Studies View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations
    See also Journal Article in American Economic Review (2005)
13. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    CFS Working Paper Series, Center for Financial Studies View citations
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
    See also Chapter (2007)
14. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in CFS Working Paper Series, Center for Financial Studies (2004) View citations
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) View citations
15. Volatility Forecasting
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations
    CFS Working Paper Series, Center for Financial Studies (2005) View citations

2004

16. Realized Beta: Persistence and Predictability
    CFS Working Paper Series, Center for Financial Studies View citations
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) View citations
17. Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature
    Econometric Society 2004 North American Winter Meetings, Econometric Society

2003

18. Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
    Also in CFS Working Paper Series, Center for Financial Studies (2003) View citations

2002

19. Analytic Evaluation of Volatility Forecasts
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in International Economic Review (2004)
20. Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2002) View citations
    CIRANO Working Papers, CIRANO (2002) View citations
21. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    Working Papers, Duke University, Department of Economics View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations
    See also Journal Article in American Economic Review (2003)
22. Parametric and Nonparametric Volatility Measurement
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations

2001

23. An Empirical Investigation of Continuous-Time Equity Return Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Finance (2002)
24. Modeling and Forecasting Realized Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2001) View citations
    See also Journal Article in Econometrica (2003)

2000

25. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations
26. The Distribution of Stock Return Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2000) View citations

1999

27. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
28. The Distribution of Exchange Rate Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations

1997

29. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1996

30. DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
31. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Finance (1997)

1995

32. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
    Discussion Papers, University of Copenhagen. Department of Economics View citations
    Also in Computing in Economics and Finance 1997, Society for Computational Economics
    See also Journal Article in Journal of Business & Economic Statistics (1996)

Journal Articles

2007

1. Editorial Announcement
   Journal of Business & Economic Statistics, 2007, 25, 1-1
2. Editors' Report 2006
   Journal of Business & Economic Statistics, 2007, 25, 503-503
   Also in Journal of Business & Economic Statistics, 2005, 23, 495-495 (2005)
   Journal of Business & Economic Statistics, 2006, 24, 505-505 (2006)
3. 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, 2007, 138, (1), 125-180 View citations
   See also Working Paper (2007)
4. Real-time price discovery in global stock, bond and foreign exchange markets
   Journal of International Economics, 2007, 73, (2), 251-277 View citations
   See also Working Paper (2007)
5. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
   The Review of Economics and Statistics, 2007, 89, (4), 701-720 View citations
   See also Working Paper (2007)

2006

6. Comment
   Journal of Business & Economic Statistics, 2006, 24, 173-179

2005

7. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
   American Economic Review, 2005, 95, (2), 398-404 View citations
   See also Working Paper (2005)
8. Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
   Econometrica, 2005, 73, (1), 279-296 View citations

2004

9. ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
   International Economic Review, 2004, 45, (4), 1079-1110 View citations
   See also Working Paper (2002)
10. Discussion
    Journal of Financial Econometrics, 2004, 2, (1), 37-48

2003

11. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    American Economic Review, 2003, 93, (1), 38-62 View citations
    See also Working Paper (2002)
12. Modeling and Forecasting Realized Volatility
    Econometrica, 2003, 71, (2), 579-625 View citations
    See also Working Paper (2001)

2002

13. An Empirical Investigation of Continuous-Time Equity Return Models
    Journal of Finance, 2002, 57, (3), 1239-1284 View citations
    See also Working Paper (2001)

2001

14. The Distribution of Realized Exchange Rate Volatility
    Journal of the American Statistical Association, 2001, 96, 42-55 View citations
15. The distribution of realized stock return volatility
    Journal of Financial Economics, 2001, 61, (1), 43-76 View citations
16. Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns
    Journal of Finance, 2001, 56, (1), 305-327 View citations

2000

17. Intraday and interday volatility in the Japanese stock market
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (2), 107-130 View citations
18. SIMULATION-BASED ECONOMETRIC METHODS
    Econometric Theory, 2000, 16, (01), 131-138
19. Some Reflections on Analysis of High-Frequency Data
    Journal of Business & Economic Statistics, 2000, 18, (2), 146-53 View citations

1999

20. Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
    Journal of Econometrics, 1999, 91, (1), 61-87 View citations
21. Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
    Journal of Empirical Finance, 1999, 6, (5), 457-477 View citations

1998

22. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
    International Economic Review, 1998, 39, (4), 885-905 View citations
23. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
    Journal of Finance, 1998, 53, (1), 219-265 View citations
24. THE ECONOMETRICS OF FINANCIAL MARKETS
    Econometric Theory, 1998, 14, (05), 671-685

1997

25. Estimating continuous-time stochastic volatility models of the short-term interest rate
    Journal of Econometrics, 1997, 77, (2), 343-377 View citations
26. GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
    Journal of Econometrics, 1997, 76, (1-2), 397-403 View citations
27. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
    Journal of Finance, 1997, 52, (3), 975-1005 View citations
    See also Working Paper (1996)
28. Intraday periodicity and volatility persistence in financial markets
    Journal of Empirical Finance, 1997, 4, (2-3), 115-158 View citations

1996

29. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
    Journal of Business & Economic Statistics, 1996, 14, (3), 328-52 View citations
    See also Working Paper (1995)
30. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
    Journal of Finance, 1996, 51, (1), 169-204 View citations

1994

31. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 389-92

Chapters

2007

1. Practical Volatility and Correlation Modeling for Financial Market Risk Management
   A chapter in The Risks of Financial Institutions, 2007, pp 513-548
   See also Working Paper (2005)

2006

2. Volatility and Correlation Forecasting
   Elsevier View citations