Torben G. Andersen
Names
first: 
Torben 
middle: 
G. 
last: 
Andersen 
Contact
email: 

Affiliations

National Bureau of Economic Research (NBER) (weight: 50%)
 website
 location: Cambridge, Massachusetts (United States)

Northwestern University
→ Kellogg Graduate School of Management
→ Department of Finance (weight: 39%)
 website
 location: Evanston, Illinois (United States)

Aarhus Universitet
→ Institut for Økonomi
→ Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 11%)
Research profile
author of:

GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
by Andersen, Torben G. & Sorensen, Bent E.

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study.
by Andersen, Torben G. & Sorensen, Bent E.

Editor's Report 2004
by Andersen, Torben G.

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the LongRun in High Frequency Returns
by Torben G. Andersen & Tim Bollerslev

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
by Torben G. Andersen & Bent E. Sorensen

Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold

Forecasting financial market volatility: Sample frequency visavis forecast horizon
by Andersen, Torben G. & Bollerslev, Tim & Lange, Steve

RealTime Price Discovery in Global Stock, Bond and Foreign Exchange Markets
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the LongRun in High Frequency Returns.
by Andersen, Torben G. & Bollerslev, Tim

Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys

Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility.
by Andersen, Torben G.

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
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
by Torben G. Andersen & Luca Benzoni

EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
by Torben G. Andersen & HyungJin Chung & Bent E. Sorensen

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys

Editorial Announcement
by Andersen, Torben G.

Editors' Report 2006
by Andersen, Torben G. & Lewbel, Arthur & Ng, Serena

The Distribution of Stock Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens

Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
by Andersen, Torben G. & Chung, HyungJin & Sorensen, Bent E.

Realtime price discovery in global stock, bond and foreign exchange markets
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara

Estimating continuoustime stochastic volatility models of the shortterm interest rate
by Andersen, Torben G. & Lund, Jesper

Editor Report 2005
by Andersen, Torben G.

NoArbitrage SemiMartingale Restrictions for ContinuousTime Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications
by Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev

The Distribution of Exchange Rate Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
by Torben G. Andersen & Luca Benzoni

Some Reflections on Analysis of HighFrequency Data.
by Andersen, Torben G.

DMDollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
by Torben G. Andersen & Tim Bollerslev

RealTime Price Discovery in Stock, Bond and Foreign Exchange Markets
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega

Realtime price discovery in global stock, bond and foreign exchange markets
by Clara Vega & Francis X. Diebold & Tim Bollerslev & Torben G. Andersen

Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models
by Torben G. Andersen & Luca Benzoni

Parametric and Nonparametric Volatility Measurement
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold

Parametric and Nonparametric Volatility Measurement
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold

Modeling and Forecasting Realized Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys

Modeling and Forecasting Realized Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys

Modeling and Forecasting Realized Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys

Noarbitrage semimartingale restrictions for continuoustime volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
by Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav

Practical Volatility and Correlation Modeling for Financial Market Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold

Practical Volatility and Correlation Modeling for Financial Market Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold

Micro Effects of Macro Announcements: RealTime Price Discovery in Foreign Exchange
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega

Intraday and interday volatility in the Japanese stock market
by Andersen, Torben G. & Bollerslev, Tim & Cai, Jun

Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns
by Torben G. Andersen & Tim Bollerslev & Ashish Das

Intraday periodicity and volatility persistence in financial markets
by Andersen, Torben G. & Bollerslev, Tim

Micro Effects of Macro Announcements: RealTime Price Discovery in Foreign Exchange
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara

Micro Effects of Macro Announcements: RealTime Price Discovery in Foreign Exchange
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega

Stochastic Volatility: Origins and Overview
by Neil Shephard & Torben G. Andersen

Micro Effects of Macro Announcements: RealTime Price Discovery in Foreign Exchange?
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature
by Jesper Lund & Torben G. Andersen & Luca Benzoni

(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys

Stochastic Volatility: Origins and Overview
by Neil Shephard & Torben G. Andersen

RealTime Price Discovery in Stock, Bond and Foreign Exchange Markets
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega

Volatility Forecasting
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold

Volatility and Correlation Forecasting
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.
edited by

Volatility Forecasting
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold

Realized Beta: Persistence and Predictability
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold

Continuoustime Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns
by Tim Bollerslev & Morten Ã. Nielsen & Per Houmann Frederiksen & Torben G. Andersen

Construction and Interpretation of ModelFree Implied Volatility
by Torben G. Andersen & Oleg Bondarenko

Bayesian Analysis of Stochastic Volatility Models: Comment.
by Andersen, Torben G.

Comment
by Andersen, Torben G. & Bollerslev, Tim & Frederiksen, Per Houmann & Nielsen, Morten Orregaard

ContinuousTime Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
by Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen

Construction and Interpretation of ModelFree Implied Volatility
by Torben G. Andersen & Oleg Bondarenko

Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
by Torben G. Andersen & Tim Bollerslev

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu

An Empirical Investigation of ContinuousTime Equity Return Models
by Torben G. Andersen & Luca Benzoni & Jesper Lund

A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures
by Torben G. Andersen & Tim Bollerslev & Xin Huang

Correcting the Errors: Volatility Forecast Evaluation Using HighFrequency Data and Realized Volatilities
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on HighFrequency Data and Realized Volatilities
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi

Analytic Evaluation of Volatility Forecasts
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi

ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu

Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts.
by Andersen, Torben G. & Bollerslev, Tim

The distribution of realized stock return volatility
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko

The Distribution of Exchange Rate Volatility
by Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys

The Distribution of Exchange Rate Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys

Correcting the Errors : A Note on Volatility Forecast Evaluation Based on HighFrequency Data and Realized Volatilities
by ANDERSEN, Torben G. & BOLLERSLEV, Tim & MEDDAHI, Nour

Discussion
by Torben G. Andersen

The Distribution of Stock Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens

The Distribution of Realized Exchange Rate Volatility
by Andersen T. G. & Bollerslev T. & Diebold F. X. & Labys P.

THE ECONOMETRICS OF FINANCIAL MARKETS
by Andersen, Torben G.

Realized volatility
by Torben G. Andersen & Luca Benzoni

Stochastic Volatility: Origins and Overview
by Neil Shephard & Torben Andersen

SIMULATIONBASED ECONOMETRIC METHODS
by Andersen, Torben G.

DurationBased Volatility Estimation
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

Practical Volatility and Correlation Modeling for Financial Market Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold
edited by

Stochastic volatility
by Torben G. Andersen & Luca Benzoni

JumpRobust Volatility Estimation using Nearest Neighbor Truncation
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

Realized Volatility and Multipower Variation
by Torben G. Andersen & Viktor Todorov

JumpRobust Volatility Estimation using Nearest Neighbor Truncation
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

Continuoustime models, realized volatilities, and testable distributional implications for daily stock returns
by Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
by TORBEN G. ANDERSEN & LUCA BENZONI

Stochastic Volatility
by Torben G. Andersen & Luca Benzoni

Jumprobust volatility estimation using nearest neighbor truncation
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

A reduced form framework for modeling volatility of speculative prices based on realized variation measures
by Andersen, Torben G. & Bollerslev, Tim & Huang, Xin

Realized volatility forecasting and market microstructure noise
by Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

Financial Risk Measurement for Financial Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold

Coherent ModelFree Implied Volatility: A Corridor Fix for HighFrequency VIX
by Torben G. Andersen & Oleg Bondarenko & Maria T. GonzalezPerez

Financial Risk Measurement for Financial Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold

VPIN and the Flash Crash
by Torben G. Andersen & Oleg Bondarenko

Parametric Inference and Dynamic State Recovery from Option Panels
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

Financial Risk Measurement for Financial Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold

Parametric Inference and Dynamic State Recovery from Option Panels
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

Parametric Inference and Dynamic State Recovery from Option Panels
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

Jumprobust volatility estimation using nearest neighbor truncation
by Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst

A robust neighborhood truncation approach to estimation of integrated quarticity
by Dobrislav Dobrev & Torben G. Andersen & Ernst Schaumburg

Realized beta: Persistence and predictability
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
by Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold

Volatility forecasting
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.

A framework for exploring the macroeconomic determinants of systematic risk
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin

Realtime price discovery in stock, bond and foreign exchange markets
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara

Practical volatility and correlation modeling for financial market risk management
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.

VPIN and the flash crash
by Andersen, Torben G. & Bondarenko, Oleg

The Fine Structure of EquityIndex Option Dynamics
by Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen

Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
by Torben G. Andersen & Oleg Bondarenko

A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
by Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst

CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGHFREQUENCY DATA AND REALIZED VOLATILITIES
by Torben G. ANDERSEN & Tim BOLLERSLEV & Nour MEDDAHI

Reflecting on the VPIN Dispute
by Torben G. Andersen & Oleg Bondarenko

Reflecting on the VPIN dispute
by Andersen, Torben G. & Bondarenko, Oleg

Parametric Inference and Dynamic State Recovery From Option Panels
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

The fine structure of equityindex option dynamics
by Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George

The Risk Premia Embedded in Index Options
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

The risk premia embedded in index options
by Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor

Financial Risk Measurement for Financial Risk Management
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.
edited by

The Pricing of ShortTerm market Risk: Evidence from Weekly Options
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys

Exploring Return Dynamics via Corridor Implied Volatility
by Torben G. Andersen & Oleg Bondarenko & Maria T. GonzalezPerez

Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence
by Torben G. Andersen & Oleg Bondarenko

Volatility, information feedback and market microstructure noise: A tale of two regimes
by Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus

Intraday Trading Invariance in the Emini S&P 500 Futures Market
by Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna Obizhaeva

The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

Option Panels in PureJump Settings
by Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov

ShortTerm Market Risks Implied by Weekly Options
by TORBEN G. ANDERSEN & NICOLA FUSARI & VIKTOR TODOROV

Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span
by Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov

ShortTerm Market Risks Implied by Weekly Options
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

TimeVarying Periodicity in Intraday Volatility
by Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov

Consistent Inference for Predictive Regressions in Persistent VAR Economies
by Torben G. Andersen & Rasmus T. Varneskov

The Risk Premia Embedded in Index Options
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

Towards a unified framework for high and low frequency return volatility modeling
by T. G. Andersen & T. Bollerslev

ContinuousTime Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
by Andersen, Torben G. & Bollerslev, Tim & Frederiksen, Per & Orregaard Nielsen, Morten

Intraday Trading Invariance in the Emini S&P 500 Futures Market
by Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna Obizhaeva

Unified inference for nonlinear factor models from panels with fixed and large time span
by Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T.

CrossSectional Dispersion of Risk in Trading Time
by Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov

INFERENCE FOR OPTION PANELS IN PUREJUMP SETTINGS
by Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T.