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 6 14 37 845 9 25 65 1,400
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 2 15 153 0 8 40 322
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 1 5 11 163 2 8 37 343
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 3 18 145 1 7 41 274
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 4 12 38 59 8 24 102 131
An Empirical Investigation of Continuous-Time Equity Return Models 4 15 65 340 11 31 140 728
Analytic Evaluation of Volatility Forecasts 3 6 47 725 6 16 116 1,569
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 7 13 85 1,328 11 34 187 2,797
Construction and Interpretation of Model-Free Implied Volatility 3 8 34 115 12 31 101 290
Construction and Interpretation of Model-Free Implied Volatility 0 1 27 48 3 9 79 103
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 2 9 34 2 8 52 81
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 10 38 129 184 16 59 229 293
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 1 3 19 387 4 8 47 781
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 1 4 17 105 1 6 43 358
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 2 6 17 151 2 7 39 339
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 2 13 58 421 7 37 147 1,399
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 1 8 19 3 5 40 61
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models 0 1 5 13 5 7 30 73
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models 1 1 10 38 6 14 78 142
Duration-Based Volatility Estimation 7 24 69 69 8 36 76 76
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 3 9 46 375 7 19 79 624
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 4 16 238 4 24 70 749
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 1 7 33 406 5 15 69 1,297
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 5 20 276 0 7 34 649
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 10 24 108 634
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 3 8 45 439 5 25 94 1,214
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 6 22 215 6 18 74 593
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 5 17 43 299 8 40 137 1,087
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 1 5 23 271 7 19 63 661
Modeling and Forecasting Realized Volatility 4 8 45 1,085 12 26 119 2,341
Modeling and Forecasting Realized Volatility 4 11 30 882 7 21 73 1,699
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 5 17 35 133 8 22 70 267
Parametric and Nonparametric Volatility Measurement 6 23 69 657 15 57 190 1,383
Parametric and Nonparametric Volatility Measurement 2 7 27 602 2 14 67 1,189
Practical Volatility and Correlation Modeling for Financial Market Risk Management 9 13 34 458 13 25 75 802
Practical Volatility and Correlation Modeling for Financial Market Risk Management 6 14 60 355 10 24 134 614
Practical Volatility and Correlation Modeling for Financial Market Risk Management 5 12 35 331 9 27 88 558
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 3 6 30 73 6 12 89 135
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 4 8 20 149 8 24 87 508
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 2 3 7 113 4 11 46 348
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 2 4 14 176 2 9 62 462
Real-time price discovery in global stock, bond and foreign exchange markets 4 6 32 136 14 28 123 346
Realized Beta: Persistence and Predictability 4 20 62 299 8 37 120 452
Realized Beta: Persistence and Predictability 0 3 9 146 1 9 35 275
Realized volatility 6 13 80 80 12 29 99 99
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 4 8 35 40 4 13 67 78
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 4 24 66 239 10 47 122 429
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 2 10 36 266 13 34 104 625
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 3 5 25 97 5 7 59 218
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 17 42 193 817
Stochastic Volatility: Origins and Overview 1 4 58 58 5 10 38 38
Stochastic Volatility: Origins and Overview 3 10 34 104 7 20 68 169
Stochastic Volatility: Origins and Overview 5 9 53 170 6 13 72 110
Stochastic volatility 10 10 10 10 8 8 8 8
The Distribution of Exchange Rate Volatility 1 3 16 281 3 12 43 689
The Distribution of Exchange Rate Volatility 2 7 16 491 2 9 32 1,086
The Distribution of Exchange Rate Volatility 2 7 18 466 5 15 61 1,081
The Distribution of Stock Return Volatility 4 20 49 739 17 59 144 1,820
The Distribution of Stock Return Volatility 2 14 41 840 9 38 132 1,923
Volatility Forecasting 9 18 76 793 11 23 135 915
Volatility Forecasting 5 9 31 221 5 14 54 305
Volatility Forecasting 4 9 36 448 4 14 60 654
Total Working Papers 192 568 2,155 18,806 431 1,324 5,286 41,511

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 2 4 9 52 3 8 28 165
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 7 38 241 2 19 99 637
An Empirical Investigation of Continuous-Time Equity Return Models 0 2 19 67 1 7 45 147
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 14 42 218 2,297
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 14 62
Comment 1 2 5 9 1 3 12 72
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 3 4 23 145 5 10 59 406
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 2 10 69 174 11 33 167 868
Discussion 0 0 1 7 0 0 3 31
Editor Report 2005 0 0 1 5 0 1 7 45
Editor's Report 2004 1 1 1 1 1 3 7 19
Editorial Announcement 0 0 2 50 0 0 9 138
Editors' Report 2006 0 0 1 1 0 1 10 14
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 3 9 39 180 6 13 71 360
Estimating continuous-time stochastic volatility models of the short-term interest rate 4 14 66 498 10 30 121 825
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 4 12 64 270 11 28 167 662
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 8 18 88 727
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 1 1 7 25 1 1 13 76
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 1 9 38 104 3 13 63 237
Intraday and interday volatility in the Japanese stock market 0 3 27 134 7 24 109 540
Intraday periodicity and volatility persistence in financial markets 14 37 166 734 20 50 238 1,196
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 3 10 46 299 7 19 113 881
Modeling and Forecasting Realized Volatility 3 11 66 727 9 30 156 1,901
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 6 12 44 3 13 27 100
Real-time price discovery in global stock, bond and foreign exchange markets 0 3 32 56 2 14 102 154
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 6 27 98 369 13 43 204 743
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 5 16 58 111 9 26 112 241
SIMULATION-BASED ECONOMETRIC METHODS 3 6 20 23 6 15 44 45
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 6 10 56 505
THE ECONOMETRICS OF FINANCIAL MARKETS 0 3 14 15 0 5 30 31
The Distribution of Realized Exchange Rate Volatility 0 3 22 66 3 9 49 144
The distribution of realized stock return volatility 2 11 63 367 7 24 127 713
Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns 5 12 39 108 12 31 166 386
Total Journal Articles 64 223 1,046 4,885 181 544 2,734 15,368

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Practical Volatility and Correlation Modeling for Financial Market Risk Management 8 17 19 19 15 30 35 35
Volatility and Correlation Forecasting 14 35 99 190 31 96 275 494
Total Chapters 22 52 118 209 46 126 310 529

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Swedish Business School at Örebro University.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2009-11-04