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Details about Torben G. Andersen

E-mail:
Workplace:National Bureau of Economic Research (NBER), (more information at EDIRC)
Department of Finance, Kellogg Graduate School of Management, Northwestern University, (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Torben G. Andersen.

Last updated 2017-05-14. Update your information in the RePEc Author Service.

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Working Papers

2017

  1. Volatility, information feedback and market microstructure noise: A tale of two regimes
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads

2016

  1. Intraday Trading Invariance in the E-mini S&P 500 Futures Market
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads

2015

  1. The Pricing of Short-Term market Risk: Evidence from Weekly Options
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2014

  1. The Risk Premia Embedded in Index Options
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Journal of Financial Economics (2015)

2013

  1. A robust neighborhood truncation approach to estimation of integrated quarticity
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads
    See also Journal Article in Econometric Theory (2014)
  2. Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  3. Reflecting on the VPIN Dispute
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Financial Markets (2014)
  4. The Fine Structure of Equity-Index Option Dynamics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Econometrics (2015)

2012

  1. Financial Risk Measurement for Financial Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) Downloads View citations (3)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (1)

    See also Chapter (2013)
  2. Parametric Inference and Dynamic State Recovery from Option Panels
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (3)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads

    See also Journal Article in Econometrica (2015)

2011

  1. A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (4)
  2. Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
  3. VPIN and the Flash Crash
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Financial Markets (2014)

2010

  1. Jump-robust volatility estimation using nearest neighbor truncation
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (13)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (8)

    See also Journal Article in Journal of Econometrics (2012)
  2. Stochastic Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (37)
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2009) Downloads View citations (1)

2009

  1. Duration-Based Volatility Estimation
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (5)
  2. Realized Volatility and Multipower Variation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)

2008

  1. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
    Working Papers, Queen's University, Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (19)

    See also Journal Article in Journal of Applied Econometrics (2010)
  2. Realized volatility
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (21)
  3. Stochastic Volatility: Origins and Overview
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (5)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) Downloads View citations (5)
    OFRC Working Papers Series, Oxford Financial Research Centre (2008) Downloads View citations (4)

2007

  1. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2011)
  2. Construction and Interpretation of Model-Free Implied Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (21)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (24)
  3. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2006) Downloads View citations (6)
    NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads

    See also Journal Article in Journal of Finance (2010)
  4. 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 Downloads View citations (65)
    See also Journal Article in Journal of Econometrics (2007)
  5. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (250)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) Downloads View citations (14)

    See also Journal Article in Journal of International Economics (2007)
  6. Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (347)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (12)

    See also Journal Article in The Review of Economics and Statistics (2007)

2005

  1. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (47)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (48)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (47)

    See also Journal Article in American Economic Review (2005)
  2. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) Downloads View citations (10)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (8)

    See also Chapter (2007)
  3. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (21)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2004) Downloads View citations (12)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) Downloads View citations (80)
  4. Volatility Forecasting
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (44)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (29)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (26)

2004

  1. Realized Beta: Persistence and Predictability
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (7)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2004) Downloads View citations (8)
  2. 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 View citations (1)

2003

  1. 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, Center for Financial Studies (CFS) Downloads View citations (14)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) Downloads View citations (23)

2002

  1. Analytic Evaluation of Volatility Forecasts
    CIRANO Working Papers, CIRANO Downloads View citations (12)
    See also Journal Article in International Economic Review (2004)
  2. CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads
    Also in CIRANO Working Papers, CIRANO (2002) Downloads View citations (4)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) Downloads View citations (13)
  3. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    Working Papers, Duke University, Department of Economics Downloads View citations (16)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) Downloads View citations (56)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (18)

    See also Journal Article in American Economic Review (2003)
  4. Parametric and Nonparametric Volatility Measurement
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (44)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (30)

2001

  1. An Empirical Investigation of Continuous-Time Equity Return Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Journal of Finance (2002)
  2. Modeling and Forecasting Realized Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (38)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2001) Downloads View citations (23)

    See also Journal Article in Econometrica (2003)

2000

  1. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (61)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) Downloads View citations (7)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) Downloads View citations (10)

    See also Journal Article in Multinational Finance Journal (2000)
  2. The Distribution of Stock Return Volatility
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (24)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (34)

1999

  1. (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- Downloads View citations (18)
  2. The Distribution of Exchange Rate Volatility
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads View citations (82)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) Downloads View citations (38)
    NBER Working Papers, National Bureau of Economic Research, Inc (1999) Downloads View citations (41)

1997

  1. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)

1996

  1. DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
  2. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (32)
    See also Journal Article in Journal of Finance (1997)

1995

  1. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
    Discussion Papers, University of Copenhagen. Department of Economics View citations (4)
    Also in Computing in Economics and Finance 1997, Society for Computational Economics Downloads View citations (3)

    See also Journal Article in Journal of Business & Economic Statistics (1996)

Journal Articles

2015

  1. Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence
    Review of Finance, 2015, 19, (1), 1-54 Downloads View citations (3)
  2. Exploring Return Dynamics via Corridor Implied Volatility
    Review of Financial Studies, 2015, 28, (10), 2902-2945 Downloads View citations (2)
  3. Parametric Inference and Dynamic State Recovery From Option Panels
    Econometrica, 2015, 83, (3), 1081-1145 Downloads View citations (3)
    See also Working Paper (2012)
  4. The fine structure of equity-index option dynamics
    Journal of Econometrics, 2015, 187, (2), 532-546 Downloads View citations (6)
    See also Working Paper (2013)
  5. The risk premia embedded in index options
    Journal of Financial Economics, 2015, 117, (3), 558-584 Downloads View citations (10)
    See also Working Paper (2014)

2014

  1. A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
    Econometric Theory, 2014, 30, (01), 3-59 Downloads View citations (6)
    See also Working Paper (2013)
  2. Reflecting on the VPIN dispute
    Journal of Financial Markets, 2014, 17, (C), 53-64 Downloads View citations (1)
    See also Working Paper (2013)
  3. VPIN and the flash crash
    Journal of Financial Markets, 2014, 17, (C), 1-46 Downloads View citations (12)
    See also Working Paper (2011)

2012

  1. Jump-robust volatility estimation using nearest neighbor truncation
    Journal of Econometrics, 2012, 169, (1), 75-93 Downloads View citations (86)
    See also Working Paper (2010)

2011

  1. A reduced form framework for modeling volatility of speculative prices based on realized variation measures
    Journal of Econometrics, 2011, 160, (1), 176-189 Downloads View citations (37)
    See also Working Paper (2007)
  2. Realized volatility forecasting and market microstructure noise
    Journal of Econometrics, 2011, 160, (1), 220-234 Downloads View citations (55)

2010

  1. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
    Journal of Applied Econometrics, 2010, 25, (2), 233-261 Downloads View citations (54)
    See also Working Paper (2008)
  2. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
    Journal of Finance, 2010, 65, (2), 603-653 Downloads View citations (20)
    See also Working Paper (2007)

2007

  1. Editorial Announcement
    Journal of Business & Economic Statistics, 2007, 25, 1-1 Downloads
  2. Editors' Report 2006
    Journal of Business & Economic Statistics, 2007, 25, 503-503 Downloads View citations (2)
    Also in Journal of Business & Economic Statistics, 2006, 24, 505-505 (2006) Downloads
  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 Downloads View citations (72)
    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 Downloads View citations (225)
    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 Downloads View citations (338)
    See also Working Paper (2007)

2006

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

2005

  1. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    American Economic Review, 2005, 95, (2), 398-404 Downloads View citations (46)
    See also Working Paper (2005)
  2. Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
    Econometrica, 2005, 73, (1), 279-296 Downloads View citations (106)
  3. Editor's Report 2004
    Journal of Business & Economic Statistics, 2005, 23, 495-495 Downloads

2004

  1. ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
    International Economic Review, 2004, 45, (4), 1079-1110 Downloads View citations (88)
    See also Working Paper (2002)
  2. Discussion
    Journal of Financial Econometrics, 2004, 2, (1), 37-48 Downloads

2003

  1. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    American Economic Review, 2003, 93, (1), 38-62 Downloads View citations (467)
    See also Working Paper (2002)
  2. Modeling and Forecasting Realized Volatility
    Econometrica, 2003, 71, (2), 579-625 Downloads View citations (1012)
    See also Working Paper (2001)

2002

  1. An Empirical Investigation of Continuous-Time Equity Return Models
    Journal of Finance, 2002, 57, (3), 1239-1284 Downloads View citations (183)
    See also Working Paper (2001)

2001

  1. The Distribution of Realized Exchange Rate Volatility
    Journal of the American Statistical Association, 2001, 96, 42-55 Downloads View citations (633)
  2. The distribution of realized stock return volatility
    Journal of Financial Economics, 2001, 61, (1), 43-76 Downloads View citations (575)
  3. Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns
    Journal of Finance, 2001, 56, (1), 305-327 Downloads View citations (19)

2000

  1. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    Multinational Finance Journal, 2000, 4, (3-4), 159-179 Downloads View citations (22)
    See also Working Paper (2000)
  2. Intraday and interday volatility in the Japanese stock market
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (2), 107-130 Downloads View citations (58)
  3. SIMULATION-BASED ECONOMETRIC METHODS
    Econometric Theory, 2000, 16, (01), 131-138 Downloads View citations (10)
  4. Some Reflections on Analysis of High-Frequency Data
    Journal of Business & Economic Statistics, 2000, 18, (2), 146-53 View citations (14)

1999

  1. Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
    Journal of Econometrics, 1999, 91, (1), 61-87 Downloads View citations (79)
  2. Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
    Journal of Empirical Finance, 1999, 6, (5), 457-477 Downloads View citations (96)

1998

  1. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
    International Economic Review, 1998, 39, (4), 885-905 View citations (777)
  2. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
    Journal of Finance, 1998, 53, (1), 219-265 Downloads View citations (254)
  3. THE ECONOMETRICS OF FINANCIAL MARKETS
    Econometric Theory, 1998, 14, (05), 671-685 Downloads View citations (3)

1997

  1. Estimating continuous-time stochastic volatility models of the short-term interest rate
    Journal of Econometrics, 1997, 77, (2), 343-377 Downloads View citations (183)
  2. GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
    Journal of Econometrics, 1997, 76, (1-2), 397-403 Downloads View citations (4)
  3. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
    Journal of Finance, 1997, 52, (3), 975-1005 Downloads View citations (183)
    See also Working Paper (1996)
  4. Intraday periodicity and volatility persistence in financial markets
    Journal of Empirical Finance, 1997, 4, (2-3), 115-158 Downloads View citations (387)

1996

  1. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
    Journal of Business & Economic Statistics, 1996, 14, (3), 328-52 View citations (127)
    See also Working Paper (1995)
  2. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
    Journal of Finance, 1996, 51, (1), 169-204 Downloads View citations (236)

1994

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

Chapters

2013

  1. Financial Risk Measurement for Financial Risk Management
    Elsevier Downloads View citations (8)
    See also Working Paper (2012)

2007

  1. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    A chapter in The Risks of Financial Institutions, 2007, pp 513-548 Downloads View citations (5)
    See also Working Paper (2005)

2006

  1. Volatility and Correlation Forecasting
    Elsevier Downloads View citations (103)
 
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