Torben G. Andersen
Names
| first: |
Torben |
| middle: |
G. |
| last: |
Andersen |
Identifer
Contact
Affiliations
-
National Bureau of Economic Research (NBER) (weight: 50%)
-
Northwestern University
/ Kellogg Graduate School of Management
/ Department of Finance (weight: 39%)
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Aarhus Universitet
/ Institut for Økonomi
/ Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 11%)
Research profile
author of:
- A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures (RePEc:aah:create:2007-14)
by Torben G. Andersen & Tim Bollerslev & Xin Huang - Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (RePEc:aah:create:2007-18)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (RePEc:aah:create:2007-20)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (RePEc:aah:create:2007-21)
by Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen - Construction and Interpretation of Model-Free Implied Volatility (RePEc:aah:create:2007-24)
by Torben G. Andersen & Oleg Bondarenko - Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (RePEc:aah:create:2007-25)
by Torben G. Andersen & Luca Benzoni - Realized Volatility and Multipower Variation (RePEc:aah:create:2009-49)
by Torben G. Andersen & Viktor Todorov - Jump-Robust Volatility Estimation using Nearest Neighbor Truncation (RePEc:aah:create:2009-52)
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg - Stochastic Volatility (RePEc:aah:create:2010-10)
by Torben G. Andersen & Luca Benzoni - A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation (RePEc:aah:create:2011-23)
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg - Financial Risk Measurement for Financial Risk Management (RePEc:aah:create:2011-37)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX (RePEc:aah:create:2011-49)
by Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez - VPIN and the Flash Crash (RePEc:aah:create:2011-50)
by Torben G. Andersen & Oleg Bondarenko - Parametric Inference and Dynamic State Recovery from Option Panels (RePEc:aah:create:2012-11)
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - Reflecting on the VPIN Dispute (RePEc:aah:create:2013-42)
by Torben G. Andersen & Oleg Bondarenko - Assessing Measures of Order Flow Toxicity via Perfect Trade Classification (RePEc:aah:create:2013-43)
by Torben G. Andersen & Oleg Bondarenko - The Fine Structure of Equity-Index Option Dynamics (RePEc:aah:create:2013-52)
by Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen - The Risk Premia Embedded in Index Options (RePEc:aah:create:2014-56)
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets (RePEc:aah:create:2018-02)
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span (RePEc:aah:create:2018-03)
by Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov - Option Panels in Pure-Jump Settings (RePEc:aah:create:2018-04)
by Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov - Time-Varying Periodicity in Intraday Volatility (RePEc:aah:create:2018-05)
by Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov - The Risk Premia Embedded in Index Options (RePEc:aah:create:2018-07)
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - Short-Term Market Risks Implied by Weekly Options (RePEc:aah:create:2018-08)
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - Consistent Inference for Predictive Regressions in Persistent VAR Economies (RePEc:aah:create:2018-09)
by Torben G. Andersen & Rasmus T. Varneskov - Intraday Trading Invariance in the E-mini S&P 500 Futures Market (RePEc:abo:neswpt:w0229)
by Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna Obizhaeva - Intraday Trading Invariance in the E-mini S&P 500 Futures Market (RePEc:abo:neswpt:w0272)
by Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna A. Obizhaeva - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (RePEc:aea:aecrev:v:93:y:2003:i:1:p:38-62)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (RePEc:aea:aecrev:v:95:y:2005:i:2:p:398-404)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu - Unknown item RePEc:ags:quedwp:273649 (paper)
- Real-Time Detection of Local No-Arbitrage Violations (RePEc:arx:papers:2307.10872)
by Torben G. Andersen & Viktor Todorov & Bo Zhou - The Distribution of Realized Exchange Rate Volatility (RePEc:bes:jnlasa:v:96:y:2001:m:march:p:42-55)
by Andersen T. G & Bollerslev T. & Diebold F. X & Labys P. - Bayesian Analysis of Stochastic Volatility Models: Comment (RePEc:bes:jnlbes:v:12:y:1994:i:4:p:389-92)
by Andersen, Torben G - GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study (RePEc:bes:jnlbes:v:14:y:1996:i:3:p:328-52)
by Andersen, Torben G & Sorensen, Bent E - Some Reflections on Analysis of High-Frequency Data (RePEc:bes:jnlbes:v:18:y:2000:i:2:p:146-53)
by Andersen, Torben G - Editor's Report 2004 (RePEc:bes:jnlbes:v:23:y:2005:p:495-495)
by Andersen, Torben G. - Comment (RePEc:bes:jnlbes:v:24:y:2006:p:173-179)
by Andersen, Torben G. & Bollerslev, Tim & Frederiksen, Per Houmann & Nielsen, Morten Orregaard - Editor Report 2005 (RePEc:bes:jnlbes:v:24:y:2006:p:505-505)
by Andersen, Torben G. - Editorial Announcement (RePEc:bes:jnlbes:v:25:y:2007:p:1-1)
by Andersen, Torben G. - Editors' Report 2006 (RePEc:bes:jnlbes:v:25:y:2007:p:503-503)
by Andersen, Torben G. & Lewbel, Arthur & Ng, Serena - Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (RePEc:bla:jfinan:v:51:y:1996:i:1:p:169-204)
by Andersen, Torben G - Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns (RePEc:bla:jfinan:v:52:y:1997:i:3:p:975-1005)
by Andersen, Torben G & Bollerslev, Tim - Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns (RePEc:bla:jfinan:v:56:y:2001:i:1:p:305-327)
by Torben G. Andersen & Tim Bollerslev & Ashish Das - An Empirical Investigation of Continuous‐Time Equity Return Models (RePEc:bla:jfinan:v:57:y:2002:i:3:p:1239-1284)
by Torben G. Andersen & Luca Benzoni & Jesper Lund - Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (RePEc:bla:jfinan:v:65:y:2010:i:2:p:603-653)
by Torben G. Andersen & Luca Benzoni - Short-Term Market Risks Implied by Weekly Options (RePEc:bla:jfinan:v:72:y:2017:i:3:p:1335-1386)
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor (RePEc:bla:jtsera:v:44:y:2023:i:4:p:336-336)
by Torben Andersen & Kim Christensen & Ingmar Nolte - Towards a unified framework for high and low frequency return volatility modeling (RePEc:bla:stanee:v:52:y:1998:i:3:p:273-302)
by T. G. Andersen & T. Bollerslev - Intraday Trading Invariance in the E-mini S&P 500 Futures Market (RePEc:cfr:cefirw:w0229)
by Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna Obizhaeva - Unknown item RePEc:cfs:cfswop:wp200335 (paper)
- Unknown item RePEc:cfs:cfswop:wp200416 (paper)
- Unknown item RePEc:cfs:cfswop:wp200419 (paper)
- Unknown item RePEc:cfs:cfswop:wp200502 (paper)
- Unknown item RePEc:cfs:cfswop:wp200504 (paper)
- Unknown item RePEc:cfs:cfswop:wp200508 (paper)
- Analytic Evaluation of Volatility Forecasts (RePEc:cir:cirwor:2002s-90)
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi - Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities (RePEc:cir:cirwor:2002s-91)
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi - The Econometrics Of Financial Markets (RePEc:cup:etheor:v:14:y:1998:i:05:p:671-685_14)
by Andersen, Torben G. - Simulation-Based Econometric Methods (RePEc:cup:etheor:v:16:y:2000:i:01:p:131-138_00)
by Andersen, Torben G. - A Robust Neighborhood Truncation Approach To Estimation Of Integrated Quarticity (RePEc:cup:etheor:v:30:y:2014:i:01:p:3-59_00)
by Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst - Inference For Option Panels In Pure-Jump Settings (RePEc:cup:etheor:v:35:y:2019:i:05:p:901-942_00)
by Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T. - Consistent Local Spectrum Inference For Predictive Return Regressions (RePEc:cup:etheor:v:38:y:2022:i:6:p:1253-1307_8)
by Andersen, Torben G. & Varneskov, Rasmus T. - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (RePEc:duk:dukeec:02-16)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara - Modeling and Forecasting Realized Volatility (RePEc:ecm:emetrp:v:71:y:2003:i:2:p:579-625)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities (RePEc:ecm:emetrp:v:73:y:2005:i:1:p:279-296)
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi - Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature (RePEc:ecm:nawm04:432)
by Jesper Lund & Torben G. Andersen & Luca Benzoni - Volatility and Correlation Forecasting (RePEc:eee:ecofch:1-15)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - 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 (RePEc:eee:econom:v:138:y:2007:i:1:p:125-180)
by Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav - A reduced form framework for modeling volatility of speculative prices based on realized variation measures (RePEc:eee:econom:v:160:y:2011:i:1:p:176-189)
by Andersen, Torben G. & Bollerslev, Tim & Huang, Xin - Realized volatility forecasting and market microstructure noise (RePEc:eee:econom:v:160:y:2011:i:1:p:220-234)
by Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour - Jump-robust volatility estimation using nearest neighbor truncation (RePEc:eee:econom:v:169:y:2012:i:1:p:75-93)
by Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst - The fine structure of equity-index option dynamics (RePEc:eee:econom:v:187:y:2015:i:2:p:532-546)
by Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George - Unified inference for nonlinear factor models from panels with fixed and large time span (RePEc:eee:econom:v:212:y:2019:i:1:p:4-25)
by Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T. - Tail risk and return predictability for the Japanese equity market (RePEc:eee:econom:v:222:y:2021:i:1:p:344-363)
by Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato - Consistent inference for predictive regressions in persistent economic systems (RePEc:eee:econom:v:224:y:2021:i:1:p:215-244)
by Andersen, Torben G. & Varneskov, Rasmus T. - Local mispricing and microstructural noise: A parametric perspective (RePEc:eee:econom:v:230:y:2022:i:2:p:510-534)
by Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus - Testing for parameter instability and structural change in persistent predictive regressions (RePEc:eee:econom:v:231:y:2022:i:2:p:361-386)
by Andersen, Torben G. & Varneskov, Rasmus T. - Intraday cross-sectional distributions of systematic risk (RePEc:eee:econom:v:235:y:2023:i:2:p:1394-1418)
by Andersen, Torben G. & Riva, Raul & Thyrsgaard, Martin & Todorov, Viktor - Volatility measurement with pockets of extreme return persistence (RePEc:eee:econom:v:237:y:2023:i:2:s0304407620303924)
by Andersen, Torben G. & Li, Yingying & Todorov, Viktor & Zhou, Bo - GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) (RePEc:eee:econom:v:76:y:1997:i:1-2:p:397-403)
by Andersen, Torben G. & Sorensen, Bent E. - Estimating continuous-time stochastic volatility models of the short-term interest rate (RePEc:eee:econom:v:77:y:1997:i:2:p:343-377)
by Andersen, Torben G. & Lund, Jesper - Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study (RePEc:eee:econom:v:91:y:1999:i:1:p:61-87)
by Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E. - Intraday periodicity and volatility persistence in financial markets (RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158)
by Andersen, Torben G. & Bollerslev, Tim - Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon (RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477)
by Andersen, Torben G. & Bollerslev, Tim & Lange, Steve - Financial Risk Measurement for Financial Risk Management (RePEc:eee:finchp:2-b-1127-1220)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - VPIN and the flash crash (RePEc:eee:finmar:v:17:y:2014:i:c:p:1-46)
by Andersen, Torben G. & Bondarenko, Oleg - Reflecting on the VPIN dispute (RePEc:eee:finmar:v:17:y:2014:i:c:p:53-64)
by Andersen, Torben G. & Bondarenko, Oleg - Real-time price discovery in global stock, bond and foreign exchange markets (RePEc:eee:inecon:v:73:y:2007:i:2:p:251-277)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara - Intraday and interday volatility in the Japanese stock market (RePEc:eee:intfin:v:10:y:2000:i:2:p:107-130)
by Andersen, Torben G. & Bollerslev, Tim & Cai, Jun - The risk premia embedded in index options (RePEc:eee:jfinec:v:117:y:2015:i:3:p:558-584)
by Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor - The distribution of realized stock return volatility (RePEc:eee:jfinec:v:61:y:2001:i:1:p:43-76)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko - Realized Beta: Persistence and Predictability (RePEc:eme:aecozz:s0731-9053(05)20020-8)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Ginger Wu - A robust neighborhood truncation approach to estimation of integrated quarticity (RePEc:fip:fedgif:1078)
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg - Real-time price discovery in global stock, bond and foreign exchange markets (RePEc:fip:fedgif:871)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models (RePEc:fip:fedhwp:wp-06-15)
by Torben G. Andersen & Luca Benzoni - Realized volatility (RePEc:fip:fedhwp:wp-08-14)
by Torben G. Andersen & Luca Benzoni - Stochastic volatility (RePEc:fip:fedhwp:wp-09-04)
by Torben G. Andersen & Luca Benzoni - Jump-robust volatility estimation using nearest neighbor truncation (RePEc:fip:fednsr:465)
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg - The Distribution of Exchange Rate Volatility (RePEc:fth:nystfi:99-059)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian (RePEc:fth:nystfi:99-060)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation (RePEc:fth:nystfi:99-061)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Duration-Based Volatility Estimation (RePEc:hst:ghsdps:gd08-034)
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg - Parametric Inference and Dynamic State Recovery from Option Panels (RePEc:hst:ghsdps:gd12-266)
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts (RePEc:ier:iecrev:v:39:y:1998:i:4:p:885-905)
by Andersen, Torben G & Bollerslev, Tim - Analytical Evaluation Of Volatility Forecasts (RePEc:ier:iecrev:v:45:y:2004:i:4:p:1079-1110)
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi - Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns (RePEc:jae:japmet:v:25:y:2010:i:2:p:233-261)
by Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen - GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study (RePEc:kud:kuiedp:9519)
by Torben G. Andersen & Bent E. Sorensen - Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian (RePEc:mfj:journl:v:4:y:2000:i:3-4:p:159-179)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities (RePEc:mtl:montde:2002-21)
by ANDERSEN, Torben G. & BOLLERSLEV, Tim & MEDDAHI, Nour - Correcting The Errors : A Note On Volatility Forecast Evaluation Based On High-Frequency Data And Realized Volatilities (RePEc:mtl:montec:21-2002)
by Torben G. ANDERSEN & Tim BOLLERSLEV & Nour MEDDAHI - Practical Volatility and Correlation Modeling for Financial Market Risk Management (RePEc:nbr:nberch:9618)
by Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold - Parametric and Nonparametric Volatility Measurement (RePEc:nbr:nberte:0279)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Practical Volatility and Correlation Modeling for Financial Market Risk Management (RePEc:nbr:nberwo:11069)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (RePEc:nbr:nberwo:11134)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu - Volatility Forecasting (RePEc:nbr:nberwo:11188)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (RePEc:nbr:nberwo:11312)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (RePEc:nbr:nberwo:11775)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models (RePEc:nbr:nberwo:12962)
by Torben G. Andersen & Luca Benzoni - 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 (RePEc:nbr:nberwo:12963)
by Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev - Construction and Interpretation of Model-Free Implied Volatility (RePEc:nbr:nberwo:13449)
by Torben G. Andersen & Oleg Bondarenko - Jump-Robust Volatility Estimation using Nearest Neighbor Truncation (RePEc:nbr:nberwo:15533)
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg - A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation (RePEc:nbr:nberwo:17152)
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg - Parametric Inference and Dynamic State Recovery from Option Panels (RePEc:nbr:nberwo:18046)
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - Financial Risk Measurement for Financial Risk Management (RePEc:nbr:nberwo:18084)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - The Pricing of Short-Term market Risk: Evidence from Weekly Options (RePEc:nbr:nberwo:21491)
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - Cross-Sectional Dispersion of Risk in Trading Time (RePEc:nbr:nberwo:26329)
by Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov - Consistent Inference for Predictive Regressions in Persistent Economic Systems (RePEc:nbr:nberwo:28568)
by Torben G. Andersen & Rasmus T. Varneskov - Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions (RePEc:nbr:nberwo:28569)
by Torben G. Andersen & Rasmus T. Varneskov - Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions (RePEc:nbr:nberwo:28570)
by Torben G. Andersen & Rasmus T. Varneskov - Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns (RePEc:nbr:nberwo:5752)
by Torben G. Andersen & Tim Bollerslev - DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (RePEc:nbr:nberwo:5783)
by Torben G. Andersen & Tim Bollerslev - Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts (RePEc:nbr:nberwo:6023)
by Torben G. Andersen & Tim Bollerslev - The Distribution of Exchange Rate Volatility (RePEc:nbr:nberwo:6961)
by Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian (RePEc:nbr:nberwo:7488)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - The Distribution of Stock Return Volatility (RePEc:nbr:nberwo:7933)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens - Modeling and Forecasting Realized Volatility (RePEc:nbr:nberwo:8160)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - An Empirical Investigation of Continuous-Time Equity Return Models (RePEc:nbr:nberwo:8510)
by Torben G. Andersen & Luca Benzoni & Jesper Lund - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (RePEc:nbr:nberwo:8959)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Stochastic Volatility: Origins and Overview (RePEc:nuf:econwp:0804)
by Neil Shephard & Torben Andersen - A Descriptive Study of High-Frequency Trade and Quote Option Data
[Stealth Trading in Options Markets] (RePEc:oup:jfinec:v:19:y:2021:i:1:p:128-177.)
by Torben Andersen & Ilya Archakov & Leon Grund & Nikolaus Hautsch & Yifan Li & Sergey Nasekin & Ingmar Nolte & Manh Cuong Pham & Stephen Taylor & Viktor Todorov - Discussion (RePEc:oup:jfinec:v:2:y:2004:i:1:p:37-48)
by Torben G. Andersen - Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence (RePEc:oup:revfin:v:19:y:2015:i:1:p:1-54.)
by Torben G. Andersen & Oleg Bondarenko - Exploring Return Dynamics via Corridor Implied Volatility (RePEc:oup:rfinst:v:28:y:2015:i:10:p:2902-2945.)
by Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez - Stochastic Volatility: Origins and Overview (RePEc:oxf:wpaper:389)
by Neil Shephard & Torben G. Andersen - Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (RePEc:pen:papers:03-025)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Realized Beta: Persistence and Predictability (RePEc:pen:papers:04-018)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu - Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (RePEc:pen:papers:04-028)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Practical Volatility and Correlation Modeling for Financial Market Risk Management (RePEc:pen:papers:05-007)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (RePEc:pen:papers:05-009)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu - Volatility Forecasting (RePEc:pen:papers:05-011)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Financial Risk Measurement for Financial Risk Management (RePEc:pen:papers:11-037)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns (RePEc:qed:wpaper:1173)
by Tim Bollerslev & Morten Ø. Nielsen & Per Houmann Frederiksen & Torben G. Andersen - Stochastic Volatility: Origins and Overview (RePEc:sbs:wpsefe:2008fe23)
by Neil Shephard & Torben G. Andersen - EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study (RePEc:sce:scecf7:6)
by Torben G. Andersen & Hyung-Jin Chung & Bent E. Sorensen - Time-Varying Periodicity in Intraday Volatility (RePEc:taf:jnlasa:v:114:y:2019:i:528:p:1695-1707)
by Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov - Intraday Periodic Volatility Curves (RePEc:taf:jnlasa:v:119:y:2024:i:546:p:1181-1191)
by Torben G. Andersen & Tao Su & Viktor Todorov & Zhiyuan Zhang - The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets (RePEc:taf:jnlbes:v:38:y:2020:i:3:p:662-678)
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (RePEc:tpr:restat:v:89:y:2007:i:4:p:701-720)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Parametric Inference and Dynamic State Recovery From Option Panels (RePEc:wly:emetrp:v:83:y:2015:i:3:p:1081-1145)
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk (RePEc:wly:quante:v:12:y:2021:i:2:p:647-682)
by Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov - The Distribution of Stock Return Volatility (RePEc:wop:pennin:00-27)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens - Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian (RePEc:wop:pennin:00-29)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Modeling and Forecasting Realized Volatility (RePEc:wop:pennin:01-01)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? (RePEc:wop:pennin:02-23)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Parametric and Nonparametric Volatility Measurement (RePEc:wop:pennin:02-27)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - The Distribution of Exchange Rate Volatility (RePEc:wop:pennin:99-08)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (RePEc:zbw:cfswop:200335)
by Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold, - Realized beta: Persistence and predictability (RePEc:zbw:cfswop:200416)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin - Real-time price discovery in stock, bond and foreign exchange markets (RePEc:zbw:cfswop:200419)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara - Practical volatility and correlation modeling for financial market risk management (RePEc:zbw:cfswop:200502)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - A framework for exploring the macroeconomic determinants of systematic risk (RePEc:zbw:cfswop:200504)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin - Volatility forecasting (RePEc:zbw:cfswop:200508)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - Volatility, information feedback and market microstructure noise: A tale of two regimes (RePEc:zbw:cfswop:569)
by Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus