Access Statistics for Torben G. Andersen

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 0 1 7 954 1 3 17 1,664
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 203 1 1 4 484
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 177 0 1 10 379
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 1 18 0 1 5 76
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 55 0 0 5 114
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 1 1 151 0 2 10 412
A framework for exploring the macroeconomic determinants of systematic risk 0 0 1 181 1 2 6 431
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 1 45 0 0 6 67
An Empirical Investigation of Continuous-Time Equity Return Models 0 0 11 483 0 2 29 1,122
Analytic Evaluation of Volatility Forecasts 0 0 0 803 0 0 10 1,792
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 3 1,559 2 4 11 3,391
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 2 8 82 2 6 32 213
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 1 111 0 0 7 397
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 0 1 4 91 2 6 24 307
Construction and Interpretation of Model-Free Implied Volatility 0 0 4 109 1 2 13 256
Construction and Interpretation of Model-Free Implied Volatility 0 2 7 252 0 7 29 777
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 60 1 2 8 222
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 1 2 3 357 2 5 27 826
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 1 1 169 0 2 6 423
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 1 1 1 418 1 2 9 911
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 2 2 541 1 6 14 1,761
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 31 0 0 4 150
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models 0 0 0 33 0 0 9 209
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models 0 0 2 66 0 1 7 309
Duration-Based Volatility Estimation 0 1 5 239 1 2 16 501
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 1 2 488 1 3 11 893
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 1 6 299 0 4 13 1,028
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 484 0 2 6 1,556
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 303 0 1 6 758
Financial Risk Measurement for Financial Risk Management 0 2 3 162 1 5 19 353
Financial Risk Measurement for Financial Risk Management 0 1 7 172 0 3 22 450
Financial Risk Measurement for Financial Risk Management 0 0 8 218 0 1 27 358
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 1 3 18 1,169
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 1 1 540 1 3 14 1,537
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 1 3 23 23 1 5 8 8
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 69 1 1 8 216
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 2 7 61 0 4 18 193
Jump-robust volatility estimation using nearest neighbor truncation 0 1 3 56 0 2 12 192
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 278 0 0 9 865
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 4 12 468 2 8 45 1,983
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 1 2 340 1 2 20 1,072
Modeling and Forecasting Realized Volatility 0 0 0 977 0 1 11 2,057
Modeling and Forecasting Realized Volatility 1 2 4 1,230 1 3 16 2,811
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 1 2 4 222 1 3 16 572
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 5 0 0 7 30
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 3 3 7 88
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 19 0 0 4 89
Parametric and Nonparametric Volatility Measurement 0 0 5 681 0 6 23 1,501
Parametric and Nonparametric Volatility Measurement 0 0 6 799 1 1 22 1,957
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 2 414 0 1 7 821
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 560 0 0 10 1,117
Practical volatility and correlation modeling for financial market risk management 0 1 1 390 0 1 6 759
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 5 141 1 4 21 370
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 178 1 1 7 757
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 2 215 0 0 8 624
Real-time price discovery in global stock, bond and foreign exchange markets 0 2 6 261 0 3 19 808
Real-time price discovery in stock, bond and foreign exchange markets 0 1 5 139 0 1 15 506
Realized Beta: Persistence and Predictability 0 1 5 487 0 2 13 830
Realized Volatility and Multipower Variation 0 0 1 108 0 0 11 233
Realized beta: Persistence and predictability 3 6 9 195 8 13 28 438
Realized volatility 1 2 8 257 4 10 52 803
Reflecting on the VPIN Dispute 0 1 6 46 1 3 18 88
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 1 3 9 147 2 6 22 388
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 1 3 347 0 2 19 812
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 0 336 1 3 14 925
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 0 157 2 3 22 473
Stochastic Volatility 0 1 9 199 1 3 18 245
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 0 0 37 1,287
Stochastic Volatility: Origins and Overview 0 0 2 102 0 1 6 146
Stochastic Volatility: Origins and Overview 1 2 4 335 1 3 13 649
Stochastic Volatility: Origins and Overview 0 0 0 245 0 0 10 262
Stochastic volatility 0 0 1 150 0 0 10 266
The Distribution of Exchange Rate Volatility 0 0 0 518 0 0 3 1,178
The Distribution of Exchange Rate Volatility 0 0 1 316 0 0 9 811
The Distribution of Exchange Rate Volatility 0 0 1 537 0 1 12 1,337
The Distribution of Stock Return Volatility 0 0 1 813 1 2 15 2,163
The Distribution of Stock Return Volatility 0 0 1 895 1 2 11 2,174
The Fine Structure of Equity-Index Option Dynamics 0 1 1 39 0 2 8 60
The Pricing of Short-Term market Risk: Evidence from Weekly Options 1 1 4 33 2 3 22 72
The Risk Premia Embedded in Index Options 1 1 5 101 1 1 22 103
VPIN and the Flash Crash 1 1 6 106 3 6 33 294
Volatility Forecasting 0 0 3 933 1 2 12 1,154
Volatility Forecasting 0 0 8 531 2 4 16 820
Volatility forecasting 0 0 0 320 1 2 8 584
Volatility, information feedback and market microstructure noise: A tale of two regimes 1 4 33 33 3 10 14 14
Total Working Papers 16 65 305 25,708 68 216 1,251 63,301


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 1 2 102 1 2 8 390
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 0 3 12 1 1 18 60
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 2 75 1 2 19 234
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 2 5 340 0 6 17 909
An Empirical Investigation of Continuous-Time Equity Return Models 0 0 2 100 0 0 13 327
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 12 58 266 3,605
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 0 0 3 1 3 12 23
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 4 103
Comment 0 0 0 24 1 3 6 124
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 2 153 0 2 14 470
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 1 1 221 0 1 9 629
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 5 317 0 0 17 1,269
Discussion 0 0 0 12 0 0 5 79
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 48 0 0 7 260
Editor Report 2005 0 0 0 7 0 0 3 73
Editor's Report 2004 0 0 0 2 0 0 4 39
Editorial Announcement 0 0 0 55 0 0 5 171
Editors' Report 2006 0 0 0 2 0 0 2 39
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 0 2 3 351 1 5 13 716
Estimating continuous-time stochastic volatility models of the short-term interest rate 0 2 5 724 0 5 28 1,345
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 6 2 6 10 33
Exploring Return Dynamics via Corridor Implied Volatility 0 1 1 2 2 5 14 20
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 2 10 22 451 3 16 58 1,095
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 1 3 13 1,068
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 1 1 1 63 1 1 5 212
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 186 0 2 12 550
Intraday and interday volatility in the Japanese stock market 0 0 2 198 1 3 24 765
Intraday periodicity and volatility persistence in financial markets 1 1 14 1,064 5 15 62 1,934
Jump-robust volatility estimation using nearest neighbor truncation 0 2 10 72 1 5 40 277
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 1 4 505 2 4 33 1,514
Modeling and Forecasting Realized Volatility 3 10 34 1,079 6 27 138 3,016
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 0 0 0 105 1 2 14 350
Parametric Inference and Dynamic State Recovery From Option Panels 0 0 2 5 0 0 10 25
Real-time price discovery in global stock, bond and foreign exchange markets 4 14 32 306 6 23 60 891
Realized volatility forecasting and market microstructure noise 0 0 2 104 2 6 26 323
Reflecting on the VPIN dispute 0 0 0 10 1 2 11 56
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 0 0 3 654 1 6 23 1,467
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 3 18 61 567 13 48 152 1,333
SIMULATION-BASED ECONOMETRIC METHODS 0 0 0 60 0 0 4 150
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 0 0 9 677
THE ECONOMETRICS OF FINANCIAL MARKETS 1 1 2 48 1 3 18 194
The Distribution of Realized Exchange Rate Volatility 0 3 5 175 1 7 21 494
The distribution of realized stock return volatility 3 10 16 739 9 27 76 1,675
The fine structure of equity-index option dynamics 0 1 5 9 0 3 14 46
The risk premia embedded in index options 2 6 18 31 4 16 48 99
VPIN and the flash crash 0 2 8 24 3 7 36 116
Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns 0 0 2 160 0 0 13 610
Total Journal Articles 21 89 275 9,174 84 325 1,414 29,855


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Financial Risk Measurement for Financial Risk Management 0 5 13 18 3 12 35 50
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 7 227 2 4 40 641
Volatility and Correlation Forecasting 2 5 8 492 3 10 37 1,692
Total Chapters 2 10 28 737 8 26 112 2,383


Statistics updated 2017-08-03