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 1 3 8 954 1 6 19 1,662
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 177 1 1 10 379
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 1 203 0 1 6 483
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 55 0 1 7 114
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 2 18 1 1 7 76
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 2 150 1 2 16 411
A framework for exploring the macroeconomic determinants of systematic risk 0 0 1 181 1 2 6 430
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 2 45 0 0 10 67
An Empirical Investigation of Continuous-Time Equity Return Models 0 1 14 483 0 6 31 1,120
Analytic Evaluation of Volatility Forecasts 0 0 0 803 0 1 12 1,792
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 2 3 1,559 0 3 8 3,387
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 1 10 80 0 6 35 207
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 1 111 0 1 8 397
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 1 1 5 91 3 6 25 304
Construction and Interpretation of Model-Free Implied Volatility 2 4 7 252 3 9 30 773
Construction and Interpretation of Model-Free Implied Volatility 0 2 4 109 1 5 14 255
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 60 0 0 7 220
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 1 355 2 3 38 823
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 1 1 1 169 1 1 7 422
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 417 1 1 8 910
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 2 2 2 541 4 4 16 1,759
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 6 150
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 10 209
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models 0 1 3 66 0 1 9 308
Duration-Based Volatility Estimation 0 2 4 238 0 3 16 499
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 1 487 1 1 12 891
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 1 2 7 299 3 6 15 1,027
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 484 2 2 10 1,556
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 1 1 303 1 2 9 758
Financial Risk Measurement for Financial Risk Management 2 2 4 162 3 5 21 351
Financial Risk Measurement for Financial Risk Management 0 2 9 218 1 6 34 358
Financial Risk Measurement for Financial Risk Management 1 2 10 172 3 6 26 450
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 1 3 20 1,167
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 1 1 1 540 2 4 14 1,536
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 1 1 21 21 1 1 4 4
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 2 6 10 61 2 9 21 191
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 69 0 2 7 215
Jump-robust volatility estimation using nearest neighbor truncation 1 1 3 56 2 2 16 192
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 278 0 2 13 865
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 2 4 10 466 3 10 55 1,978
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 1 1 339 0 5 27 1,070
Modeling and Forecasting Realized Volatility 1 2 3 1,229 2 3 22 2,810
Modeling and Forecasting Realized Volatility 0 0 1 977 1 2 19 2,057
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 2 220 1 6 16 570
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 5 0 0 8 30
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 0 2 5 85
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 19 0 0 6 89
Parametric and Nonparametric Volatility Measurement 0 2 8 799 0 3 24 1,956
Parametric and Nonparametric Volatility Measurement 0 2 6 681 3 7 27 1,498
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 560 0 1 14 1,117
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 413 0 0 7 820
Practical volatility and correlation modeling for financial market risk management 0 0 0 389 0 2 7 758
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 3 5 141 2 8 20 368
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 1 2 215 0 3 10 624
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 178 0 1 8 756
Real-time price discovery in global stock, bond and foreign exchange markets 2 5 6 261 2 7 20 807
Real-time price discovery in stock, bond and foreign exchange markets 0 2 5 138 0 2 19 505
Realized Beta: Persistence and Predictability 1 3 6 487 1 3 16 829
Realized Volatility and Multipower Variation 0 0 3 108 0 0 17 233
Realized beta: Persistence and predictability 1 3 4 190 2 5 21 427
Realized volatility 0 3 8 255 3 11 49 796
Reflecting on the VPIN Dispute 0 1 6 45 1 7 19 86
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 1 4 8 145 2 9 22 384
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 1 3 3 347 2 4 25 812
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 1 18 923
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 0 1 21 470
Stochastic Volatility 1 2 9 199 2 3 19 244
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 0 2 44 1,287
Stochastic Volatility: Origins and Overview 0 1 2 102 0 1 7 145
Stochastic Volatility: Origins and Overview 0 0 2 333 0 0 12 646
Stochastic Volatility: Origins and Overview 0 0 0 245 0 1 13 262
Stochastic volatility 0 0 1 150 0 0 10 266
The Distribution of Exchange Rate Volatility 0 0 1 316 0 0 11 811
The Distribution of Exchange Rate Volatility 0 0 2 537 1 2 13 1,337
The Distribution of Exchange Rate Volatility 0 0 0 518 0 0 4 1,178
The Distribution of Stock Return Volatility 0 1 1 895 1 3 14 2,173
The Distribution of Stock Return Volatility 0 0 1 813 1 3 20 2,162
The Fine Structure of Equity-Index Option Dynamics 0 0 1 38 1 2 9 59
The Pricing of Short-Term market Risk: Evidence from Weekly Options 0 0 8 32 1 4 32 70
The Risk Premia Embedded in Index Options 0 0 7 100 0 1 31 102
VPIN and the Flash Crash 0 1 5 105 1 6 36 289
Volatility Forecasting 0 0 8 531 0 1 15 816
Volatility Forecasting 0 1 4 933 1 4 17 1,153
Volatility forecasting 0 0 0 320 1 3 11 583
Volatility, information feedback and market microstructure noise: A tale of two regimes 2 31 31 31 4 8 8 8
Total Working Papers 28 114 316 25,671 82 262 1,431 63,167


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 1 2 2 102 1 2 11 389
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 1 4 12 0 7 20 59
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 2 75 0 3 23 232
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 1 1 4 339 1 3 16 904
An Empirical Investigation of Continuous-Time Equity Return Models 0 1 2 100 0 3 17 327
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 23 88 281 3,570
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 0 0 3 1 1 11 21
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 5 103
Comment 0 0 0 24 2 3 6 123
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 2 153 2 2 18 470
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 0 220 0 0 11 628
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 3 7 317 0 6 20 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 1 48 0 1 8 260
Editor Report 2005 0 0 0 7 0 0 3 73
Editor's Report 2004 0 0 0 2 0 0 5 39
Editorial Announcement 0 0 0 55 0 0 7 171
Editors' Report 2006 0 0 0 2 0 0 3 39
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 1 1 3 350 3 3 13 714
Estimating continuous-time stochastic volatility models of the short-term interest rate 1 3 4 723 2 9 33 1,342
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 6 4 4 12 31
Exploring Return Dynamics via Corridor Implied Volatility 1 1 1 2 2 3 14 17
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 5 9 19 446 8 15 56 1,087
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 0 13 1,065
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 0 0 62 0 0 6 211
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 186 2 3 12 550
Intraday and interday volatility in the Japanese stock market 0 2 4 198 1 8 28 763
Intraday periodicity and volatility persistence in financial markets 0 4 15 1,063 3 13 62 1,922
Jump-robust volatility estimation using nearest neighbor truncation 2 3 14 72 3 10 47 275
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 2 5 504 2 9 39 1,512
Modeling and Forecasting Realized Volatility 1 7 33 1,070 5 30 150 2,994
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 2 105 0 1 15 348
Parametric Inference and Dynamic State Recovery From Option Panels 0 1 2 5 0 2 12 25
Real-time price discovery in global stock, bond and foreign exchange markets 6 11 26 298 9 23 56 877
Realized volatility forecasting and market microstructure noise 0 1 2 104 2 6 24 319
Reflecting on the VPIN dispute 0 0 0 10 0 2 12 54
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 0 1 4 654 3 4 24 1,464
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 7 16 59 556 20 44 152 1,305
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 2 11 677
THE ECONOMETRICS OF FINANCIAL MARKETS 0 0 1 47 2 3 24 193
The Distribution of Realized Exchange Rate Volatility 0 1 3 172 0 4 19 487
The distribution of realized stock return volatility 3 6 9 732 12 32 73 1,660
The fine structure of equity-index option dynamics 0 0 4 8 2 2 17 45
The risk premia embedded in index options 1 5 15 26 4 12 44 87
VPIN and the flash crash 0 0 6 22 1 6 36 110
Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns 0 0 2 160 0 3 14 610
Total Journal Articles 30 82 258 9,115 120 372 1,492 29,650


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 2 6 10 15 5 15 33 43
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 9 227 0 3 42 637
Volatility and Correlation Forecasting 1 3 4 488 3 10 34 1,685
Total Chapters 3 10 23 730 8 28 109 2,365


Statistics updated 2017-06-02