Details about Torben G. Andersen

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 Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)

Access statistics for papers by Torben G. Andersen.

Last updated 2023-11-07. Update your information in the RePEc Author Service.

Short-id: pan210

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Working Papers

2023

1. Real-Time Detection of Local No-Arbitrage Violations
   Papers, arXiv.org

2021

2. Consistent Inference for Predictive Regressions in Persistent Economic Systems
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   See also Journal Article Consistent inference for predictive regressions in persistent economic systems, Journal of Econometrics, Elsevier (2021) View citations (3) (2021)
3. Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
4. Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
   See also Journal Article Testing for parameter instability and structural change in persistent predictive regressions, Journal of Econometrics, Elsevier (2022) View citations (1) (2022)

2020

5. Intraday Trading Invariance in the E-mini S&P 500 Futures Market
   Working Papers, New Economic School (NES)
   Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2016) View citations (13)
   Working Papers, New Economic School (NES) (2016) View citations (13)

2019

6. Cross-Sectional Dispersion of Risk in Trading Time
   NBER Working Papers, National Bureau of Economic Research, Inc

2018

7. Consistent Inference for Predictive Regressions in Persistent VAR Economies
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
8. Option Panels in Pure-Jump Settings
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
9. Short-Term Market Risks Implied by Weekly Options
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Short-Term Market Risks Implied by Weekly Options, Journal of Finance, American Finance Association (2017) View citations (33) (2017)
10. The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets, Journal of Business & Economic Statistics, Taylor & Francis Journals (2020) View citations (23) (2020)
11. The Risk Premia Embedded in Index Options
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (2)
    See also Journal Article The risk premia embedded in index options, Journal of Financial Economics, Elsevier (2015) View citations (91) (2015)
12. Time-Varying Periodicity in Intraday Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Journal Article Time-Varying Periodicity in Intraday Volatility, Journal of the American Statistical Association, Taylor & Francis Journals (2019) View citations (13) (2019)
13. Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article Unified inference for nonlinear factor models from panels with fixed and large time span, Journal of Econometrics, Elsevier (2019) View citations (2) (2019)

2017

14. Volatility, information feedback and market microstructure noise: A tale of two regimes
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (2)

2015

15. The Pricing of Short-Term market Risk: Evidence from Weekly Options
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2013

16. A robust neighborhood truncation approach to estimation of integrated quarticity
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
    See also Journal Article A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY, Econometric Theory, Cambridge University Press (2014) View citations (17) (2014)
17. Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
18. Reflecting on the VPIN Dispute
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article Reflecting on the VPIN dispute, Journal of Financial Markets, Elsevier (2014) View citations (8) (2014)
19. The Fine Structure of Equity-Index Option Dynamics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article The fine structure of equity-index option dynamics, Journal of Econometrics, Elsevier (2015) View citations (11) (2015)

2012

20. Financial Risk Measurement for Financial Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (5)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) View citations (8)
    See also Chapter Financial Risk Measurement for Financial Risk Management, Handbook of the Economics of Finance, Elsevier (2013) View citations (41) (2013)
21. Parametric Inference and Dynamic State Recovery from Option Panels
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (6)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011)
    See also Journal Article Parametric Inference and Dynamic State Recovery From Option Panels, Econometrica, Econometric Society (2015) View citations (37) (2015)

2011

22. A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (13)
23. Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (18)
24. VPIN and the Flash Crash
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article VPIN and the flash crash, Journal of Financial Markets, Elsevier (2014) View citations (39) (2014)

2010

25. Jump-robust volatility estimation using nearest neighbor truncation
    Staff Reports, Federal Reserve Bank of New York View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (19)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (13)
    See also Journal Article Jump-robust volatility estimation using nearest neighbor truncation, Journal of Econometrics, Elsevier (2012) View citations (289) (2012)
26. Stochastic Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (64)
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2009) View citations (1)

2009

27. Duration-Based Volatility Estimation
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (8)
28. Realized Volatility and Multipower Variation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (24)

2008

29. Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns
    Working Paper, Economics Department, Queen's University View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (19)
    See also Journal Article Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (105) (2010)
30. Realized volatility
    Working Paper Series, Federal Reserve Bank of Chicago View citations (41)
31. Stochastic Volatility: Origins and Overview
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (10)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2008) View citations (10)
    OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations (10)

2007

32. 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 View citations (7)
    See also Journal Article A reduced form framework for modeling volatility of speculative prices based on realized variation measures, Journal of Econometrics, Elsevier (2011) View citations (113) (2011)
33. Construction and Interpretation of Model-Free Implied Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (66)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (66)
34. 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 View citations (5)
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2006) View citations (20)
    NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (5)
    See also Journal Article 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 (2010) View citations (47) (2010)
35. 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 (170)
    See also Journal Article 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 (2007) View citations (168) (2007)
36. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (548)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations (15)
    See also Journal Article Real-time price discovery in global stock, bond and foreign exchange markets, Journal of International Economics, Elsevier (2007) View citations (516) (2007)
37. 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 View citations (902)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (26)
    See also Journal Article Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility, The Review of Economics and Statistics, MIT Press (2007) View citations (896) (2007)

2005

38. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (89)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (89)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (89)
    See also Journal Article A Framework for Exploring the Macroeconomic Determinants of Systematic Risk, American Economic Review, American Economic Association (2005) View citations (89) (2005)
39. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (19)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (17)
    See also Chapter Practical Volatility and Correlation Modeling for Financial Market Risk Management, NBER Chapters, National Bureau of Economic Research, Inc (2007) View citations (20) (2007)
40. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (46)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2004) View citations (34)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) View citations (83)
41. Volatility Forecasting
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (41)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (38)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (56)

2004

42. Realized Beta: Persistence and Predictability
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (13)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2004) View citations (13)
    See also Chapter Realized Beta: Persistence and Predictability, Advances in Econometrics, Emerald Group Publishing Limited (2006) View citations (4) (2006)
43. 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

44. 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) View citations (45)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) View citations (45)

2002

45. Analytic Evaluation of Volatility Forecasts
    CIRANO Working Papers, CIRANO View citations (14)
    See also Journal Article ANALYTICAL EVALUATION OF VOLATILITY FORECASTS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2004) View citations (117) (2004)
46. 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 View citations (6)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) View citations (15)
    CIRANO Working Papers, CIRANO (2002) View citations (7)
47. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    Working Papers, Duke University, Department of Economics View citations (34)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (62)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (35)
    See also Journal Article Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange, American Economic Review, American Economic Association (2003) View citations (834) (2003)
48. Parametric and Nonparametric Volatility Measurement
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (64)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (72)

2001

49. An Empirical Investigation of Continuous-Time Equity Return Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (99)
    See also Journal Article An Empirical Investigation of Continuous‐Time Equity Return Models, Journal of Finance, American Finance Association (2002) View citations (301) (2002)
50. Modeling and Forecasting Realized Volatility
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (42)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (58)
    See also Journal Article Modeling and Forecasting Realized Volatility, Econometrica, Econometric Society (2003) View citations (1932) (2003)

2000

51. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (114)
    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 (10)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations (13)
    See also Journal Article Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian, Multinational Finance Journal, Multinational Finance Journal (2000) View citations (103) (2000)
52. The Distribution of Stock Return Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (41)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2000) View citations (31)

1999

53. (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 (55)
54. The Distribution of Exchange Rate Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (54)
    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 (90)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations (47)

1997

55. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (26)

1996

56. DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
57. 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 (33)
    See also Journal Article Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns, Journal of Finance, American Finance Association (1997) View citations (387) (1997)

1995

58. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
    Discussion Papers, University of Copenhagen. Department of Economics View citations (9)
    Also in Computing in Economics and Finance 1997, Society for Computational Economics View citations (244)
    See also Journal Article GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (185) (1996)

Journal Articles

2024

1. Intraday Periodic Volatility Curves
   Journal of the American Statistical Association, 2024, 119, (546), 1181-1191 View citations (1)

2023

2. Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor
   Journal of Time Series Analysis, 2023, 44, (4), 336-336
3. Intraday cross-sectional distributions of systematic risk
   Journal of Econometrics, 2023, 235, (2), 1394-1418
4. Volatility measurement with pockets of extreme return persistence
   Journal of Econometrics, 2023, 237, (2) View citations (1)

2022

5. CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
   Econometric Theory, 2022, 38, (6), 1253-1307
6. Local mispricing and microstructural noise: A parametric perspective
   Journal of Econometrics, 2022, 230, (2), 510-534 View citations (2)
7. Testing for parameter instability and structural change in persistent predictive regressions
   Journal of Econometrics, 2022, 231, (2), 361-386 View citations (1)
   See also Working Paper Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions, NBER Working Papers (2021) View citations (2) (2021)

2021

8. A Descriptive Study of High-Frequency Trade and Quote Option Data*
   (Stealth Trading in Options Markets)
   Journal of Financial Econometrics, 2021, 19, (1), 128-177 View citations (3)
9. Consistent inference for predictive regressions in persistent economic systems
   Journal of Econometrics, 2021, 224, (1), 215-244 View citations (3)
   See also Working Paper Consistent Inference for Predictive Regressions in Persistent Economic Systems, NBER Working Papers (2021) View citations (7) (2021)
10. Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk
    Quantitative Economics, 2021, 12, (2), 647-682 View citations (4)
11. Tail risk and return predictability for the Japanese equity market
    Journal of Econometrics, 2021, 222, (1), 344-363 View citations (12)

2020

12. The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
    Journal of Business & Economic Statistics, 2020, 38, (3), 662-678 View citations (23)
    See also Working Paper The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets, CREATES Research Papers (2018) View citations (2) (2018)

2019

13. INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS
    Econometric Theory, 2019, 35, (5), 901-942 View citations (1)
14. Time-Varying Periodicity in Intraday Volatility
    Journal of the American Statistical Association, 2019, 114, (528), 1695-1707 View citations (13)
    See also Working Paper Time-Varying Periodicity in Intraday Volatility, CREATES Research Papers (2018) View citations (3) (2018)
15. Unified inference for nonlinear factor models from panels with fixed and large time span
    Journal of Econometrics, 2019, 212, (1), 4-25 View citations (2)
    See also Working Paper Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span, CREATES Research Papers (2018) (2018)

2017

16. Short-Term Market Risks Implied by Weekly Options
    Journal of Finance, 2017, 72, (3), 1335-1386 View citations (33)
    See also Working Paper Short-Term Market Risks Implied by Weekly Options, CREATES Research Papers (2018) (2018)

2015

17. Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence
    Review of Finance, 2015, 19, (1), 1-54 View citations (8)
18. Exploring Return Dynamics via Corridor Implied Volatility
    The Review of Financial Studies, 2015, 28, (10), 2902-2945 View citations (49)
19. Parametric Inference and Dynamic State Recovery From Option Panels
    Econometrica, 2015, 83, (3), 1081-1145 View citations (37)
    See also Working Paper Parametric Inference and Dynamic State Recovery from Option Panels, Global COE Hi-Stat Discussion Paper Series (2012) View citations (6) (2012)
20. The fine structure of equity-index option dynamics
    Journal of Econometrics, 2015, 187, (2), 532-546 View citations (11)
    See also Working Paper The Fine Structure of Equity-Index Option Dynamics, CREATES Research Papers (2013) (2013)
21. The risk premia embedded in index options
    Journal of Financial Economics, 2015, 117, (3), 558-584 View citations (91)
    See also Working Paper The Risk Premia Embedded in Index Options, CREATES Research Papers (2018) (2018)

2014

22. A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
    Econometric Theory, 2014, 30, (1), 3-59 View citations (17)
    See also Working Paper A robust neighborhood truncation approach to estimation of integrated quarticity, International Finance Discussion Papers (2013) (2013)
23. Reflecting on the VPIN dispute
    Journal of Financial Markets, 2014, 17, (C), 53-64 View citations (8)
    See also Working Paper Reflecting on the VPIN Dispute, CREATES Research Papers (2013) (2013)
24. VPIN and the flash crash
    Journal of Financial Markets, 2014, 17, (C), 1-46 View citations (39)
    See also Working Paper VPIN and the Flash Crash, CREATES Research Papers (2011) (2011)

2012

25. Jump-robust volatility estimation using nearest neighbor truncation
    Journal of Econometrics, 2012, 169, (1), 75-93 View citations (289)
    See also Working Paper Jump-robust volatility estimation using nearest neighbor truncation, Staff Reports (2010) View citations (2) (2010)

2011

26. A reduced form framework for modeling volatility of speculative prices based on realized variation measures
    Journal of Econometrics, 2011, 160, (1), 176-189 View citations (113)
    See also Working Paper A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures, CREATES Research Papers (2007) View citations (7) (2007)
27. Realized volatility forecasting and market microstructure noise
    Journal of Econometrics, 2011, 160, (1), 220-234 View citations (116)

2010

28. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
    Journal of Applied Econometrics, 2010, 25, (2), 233-261 View citations (105)
    See also Working Paper Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns, Working Paper (2008) View citations (2) (2008)
29. 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 View citations (47)
    See also Working Paper Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models, CREATES Research Papers (2007) View citations (5) (2007)

2007

30. Editorial Announcement
    Journal of Business & Economic Statistics, 2007, 25, 1-1
31. Editors' Report 2006
    Journal of Business & Economic Statistics, 2007, 25, 503-503 View citations (2)
    Also in Journal of Business & Economic Statistics, 2006, 24, 505-505 (2006)
32. 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 (168)
    See also Working Paper 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 (2007) View citations (170) (2007)
33. Real-time price discovery in global stock, bond and foreign exchange markets
    Journal of International Economics, 2007, 73, (2), 251-277 View citations (516)
    See also Working Paper Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets, CREATES Research Papers (2007) View citations (548) (2007)
34. 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 (896)
    See also Working Paper Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility, CREATES Research Papers (2007) View citations (902) (2007)

2006

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

2005

36. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    American Economic Review, 2005, 95, (2), 398-404 View citations (89)
    See also Working Paper A Framework for Exploring the Macroeconomic Determinants of Systematic Risk, NBER Working Papers (2005) View citations (89) (2005)
37. Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
    Econometrica, 2005, 73, (1), 279-296 View citations (181)
38. Editor's Report 2004
    Journal of Business & Economic Statistics, 2005, 23, 495-495

2004

39. ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
    International Economic Review, 2004, 45, (4), 1079-1110 View citations (117)
    See also Working Paper Analytic Evaluation of Volatility Forecasts, CIRANO Working Papers (2002) View citations (14) (2002)
40. Discussion
    Journal of Financial Econometrics, 2004, 2, (1), 37-48

2003

41. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    American Economic Review, 2003, 93, (1), 38-62 View citations (834)
    See also Working Paper Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange, Working Papers (2002) View citations (34) (2002)
42. Modeling and Forecasting Realized Volatility
    Econometrica, 2003, 71, (2), 579-625 View citations (1932)
    See also Working Paper Modeling and Forecasting Realized Volatility, Center for Financial Institutions Working Papers (2001) View citations (42) (2001)

2002

43. An Empirical Investigation of Continuous‐Time Equity Return Models
    Journal of Finance, 2002, 57, (3), 1239-1284 View citations (301)
    See also Working Paper An Empirical Investigation of Continuous-Time Equity Return Models, NBER Working Papers (2001) View citations (99) (2001)

2001

44. The Distribution of Realized Exchange Rate Volatility
    Journal of the American Statistical Association, 2001, 96, 42-55 View citations (1134)
45. The distribution of realized stock return volatility
    Journal of Financial Economics, 2001, 61, (1), 43-76 View citations (1089)
46. Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns
    Journal of Finance, 2001, 56, (1), 305-327 View citations (33)

2000

47. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    Multinational Finance Journal, 2000, 4, (3-4), 159-179 View citations (103)
    See also Working Paper Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian, NBER Working Papers (2000) View citations (114) (2000)
48. Intraday and interday volatility in the Japanese stock market
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (2), 107-130 View citations (104)
49. SIMULATION-BASED ECONOMETRIC METHODS
    Econometric Theory, 2000, 16, (1), 131-138 View citations (10)
50. Some Reflections on Analysis of High-Frequency Data
    Journal of Business & Economic Statistics, 2000, 18, (2), 146-53 View citations (26)

1999

51. Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
    Journal of Econometrics, 1999, 91, (1), 61-87 View citations (116)
52. Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
    Journal of Empirical Finance, 1999, 6, (5), 457-477 View citations (172)

1998

53. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
    International Economic Review, 1998, 39, (4), 885-905 View citations (1726)
54. THE ECONOMETRICS OF FINANCIAL MARKETS
    Econometric Theory, 1998, 14, (5), 671-685 View citations (3)
55. Towards a unified framework for high and low frequency return volatility modeling
    Statistica Neerlandica, 1998, 52, (3), 273-302 View citations (6)

1997

56. Estimating continuous-time stochastic volatility models of the short-term interest rate
    Journal of Econometrics, 1997, 77, (2), 343-377 View citations (243)
57. 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 (10)
58. 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 (387)
    See also Working Paper Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns, NBER Working Papers (1996) View citations (33) (1996)
59. Intraday periodicity and volatility persistence in financial markets
    Journal of Empirical Finance, 1997, 4, (2-3), 115-158 View citations (629)

1996

60. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
    Journal of Business & Economic Statistics, 1996, 14, (3), 328-52 View citations (185)
    See also Working Paper GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study, Discussion Papers (1995) View citations (9) (1995)
61. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
    Journal of Finance, 1996, 51, (1), 169-204 View citations (448)

1994

62. 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 View citations (41)
   See also Working Paper Financial Risk Measurement for Financial Risk Management, National Bureau of Economic Research, Inc (2012) View citations (9) (2012)

2007

2. Practical Volatility and Correlation Modeling for Financial Market Risk Management
   A chapter in The Risks of Financial Institutions, 2007, pp 513-544 View citations (20)
   See also Working Paper Practical Volatility and Correlation Modeling for Financial Market Risk Management, National Bureau of Economic Research, Inc (2005) View citations (24) (2005)

2006

3. Realized Beta: Persistence and Predictability
   A chapter in Econometric Analysis of Financial and Economic Time Series, 2006, pp 1-39 View citations (4)
   See also Working Paper Realized Beta: Persistence and Predictability, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) View citations (13) (2004)
4. Volatility and Correlation Forecasting
   Elsevier View citations (281)