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 7 951 2 3 19 1,656
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 1 177 3 5 13 378
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 2 203 2 2 9 482
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 55 1 2 10 113
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 1 1 2 18 2 2 11 75
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 3 150 1 2 23 409
A framework for exploring the macroeconomic determinants of systematic risk 0 0 1 181 2 2 6 428
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 2 45 2 2 10 67
An Empirical Investigation of Continuous-Time Equity Return Models 1 2 14 482 2 4 37 1,114
Analytic Evaluation of Volatility Forecasts 0 0 2 803 4 5 14 1,791
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 1 1 1,557 1 2 10 3,384
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 1 14 79 1 11 44 201
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 1 111 1 3 7 396
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 0 0 4 90 1 5 27 298
Construction and Interpretation of Model-Free Implied Volatility 0 2 7 248 3 9 30 764
Construction and Interpretation of Model-Free Implied Volatility 0 1 2 107 1 2 13 250
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 1 2 355 0 8 50 820
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 60 1 4 9 220
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 1 417 2 4 9 909
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 168 2 3 7 421
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 0 539 0 2 17 1,755
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 31 1 2 8 150
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models 0 0 0 33 1 4 11 209
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models 0 0 3 65 0 1 11 307
Duration-Based Volatility Estimation 1 1 2 236 2 2 15 496
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 1 487 1 1 13 890
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 1 1 5 297 2 3 13 1,021
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 302 1 1 12 756
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 1 1 484 2 3 10 1,554
Financial Risk Measurement for Financial Risk Management 0 1 11 216 3 7 35 352
Financial Risk Measurement for Financial Risk Management 0 2 10 170 2 7 32 444
Financial Risk Measurement for Financial Risk Management 0 0 2 160 1 3 19 346
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 2 4 26 1,164
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 1 539 4 7 12 1,532
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 69 2 3 10 213
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 4 55 1 2 14 182
Jump-robust volatility estimation using nearest neighbor truncation 1 1 2 55 3 3 26 190
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 4 6 462 7 18 65 1,968
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 1 4 278 4 5 20 863
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 0 338 2 3 38 1,065
Modeling and Forecasting Realized Volatility 0 0 1 977 4 6 21 2,055
Modeling and Forecasting Realized Volatility 1 1 2 1,227 4 6 24 2,807
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 3 5 15 564
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 0 1 5 83
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 19 2 2 10 89
Parametric Inference and Dynamic State Recovery from Option Panels 0 1 1 5 2 3 11 30
Parametric and Nonparametric Volatility Measurement 0 1 4 679 2 6 24 1,491
Parametric and Nonparametric Volatility Measurement 1 3 6 797 3 8 26 1,953
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 1 413 1 2 9 820
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 4 560 3 4 19 1,116
Practical volatility and correlation modeling for financial market risk management 0 0 0 389 2 2 7 756
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 1 2 3 138 3 7 19 360
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 1 1 2 214 2 3 13 621
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 178 1 2 12 755
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 1 256 1 3 17 800
Real-time price discovery in stock, bond and foreign exchange markets 1 1 3 136 3 4 22 503
Realized Beta: Persistence and Predictability 0 1 6 484 2 3 22 826
Realized Volatility and Multipower Variation 0 0 4 108 1 3 24 233
Realized beta: Persistence and predictability 0 0 1 187 1 6 22 422
Realized volatility 0 1 7 252 1 8 54 785
Reflecting on the VPIN Dispute 0 2 6 44 1 5 14 79
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 1 2 5 141 2 5 27 375
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 2 344 3 8 27 808
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 1 5 24 469
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 3 336 2 4 24 922
Stochastic Volatility 1 2 10 197 2 6 24 241
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 3 13 53 1,285
Stochastic Volatility: Origins and Overview 0 1 1 101 1 2 9 144
Stochastic Volatility: Origins and Overview 1 1 2 333 1 7 17 646
Stochastic Volatility: Origins and Overview 0 0 0 245 3 5 16 261
Stochastic volatility 0 0 3 150 0 2 18 266
The Distribution of Exchange Rate Volatility 0 0 1 518 2 2 8 1,178
The Distribution of Exchange Rate Volatility 0 0 3 537 4 6 16 1,335
The Distribution of Exchange Rate Volatility 0 0 1 316 2 5 15 811
The Distribution of Stock Return Volatility 0 1 2 813 3 4 22 2,159
The Distribution of Stock Return Volatility 0 0 0 894 2 3 15 2,170
The Fine Structure of Equity-Index Option Dynamics 0 0 1 38 1 1 9 57
The Pricing of Short-Term market Risk: Evidence from Weekly Options 0 1 21 32 3 8 49 66
The Risk Premia Embedded in Index Options 0 1 13 100 3 7 38 101
VPIN and the Flash Crash 1 1 7 104 3 8 38 283
Volatility Forecasting 1 1 11 531 2 7 17 815
Volatility Forecasting 0 0 5 932 1 5 15 1,149
Volatility forecasting 0 0 0 320 1 3 11 580
Total Working Papers 16 49 264 25,537 162 366 1,647 62,902


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 0 2 100 3 3 19 387
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 1 1 3 11 3 3 17 52
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 2 75 4 7 27 229
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 2 2 3 338 3 5 17 901
An Empirical Investigation of Continuous-Time Equity Return Models 0 0 1 99 1 2 19 324
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 20 57 246 3,482
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 0 0 3 1 4 12 20
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 7 103
Comment 0 0 0 24 0 0 9 120
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 2 153 1 4 23 468
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 1 220 2 4 19 628
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 4 314 0 3 21 1,263
Discussion 0 0 0 12 0 0 7 79
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 1 48 1 2 11 259
Editor Report 2005 0 0 0 7 0 0 5 73
Editor's Report 2004 0 0 0 2 1 1 8 39
Editorial Announcement 0 0 0 55 1 1 9 171
Editors' Report 2006 0 0 0 2 1 1 5 39
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 0 0 2 349 1 3 16 711
Estimating continuous-time stochastic volatility models of the short-term interest rate 0 1 1 720 2 6 31 1,333
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 1 1 6 2 4 11 27
Exploring Return Dynamics via Corridor Implied Volatility 0 0 1 1 2 4 14 14
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 1 4 11 437 4 12 50 1,072
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 1 2 21 1,065
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 0 1 62 2 2 11 211
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 3 186 2 4 13 547
Intraday and interday volatility in the Japanese stock market 0 0 3 196 3 6 27 755
Intraday periodicity and volatility persistence in financial markets 2 2 14 1,059 7 17 61 1,909
Jump-robust volatility estimation using nearest neighbor truncation 0 1 14 69 2 10 54 265
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 1 8 502 3 4 48 1,503
Modeling and Forecasting Realized Volatility 3 9 38 1,063 10 26 156 2,964
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 3 4 22 347
Parametric Inference and Dynamic State Recovery From Option Panels 0 0 3 4 1 2 18 23
Real-time price discovery in global stock, bond and foreign exchange markets 6 9 19 287 9 13 48 854
Realized volatility forecasting and market microstructure noise 0 1 3 103 3 5 27 313
Reflecting on the VPIN dispute 0 0 0 10 0 2 12 52
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 0 2 3 653 1 6 27 1,460
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 4 16 68 540 11 38 170 1,261
SIMULATION-BASED ECONOMETRIC METHODS 0 0 0 60 1 1 8 150
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 1 2 17 675
THE ECONOMETRICS OF FINANCIAL MARKETS 0 0 1 47 2 2 37 190
The Distribution of Realized Exchange Rate Volatility 0 1 4 171 3 8 27 483
The distribution of realized stock return volatility 1 2 7 726 6 15 56 1,628
The fine structure of equity-index option dynamics 0 0 4 8 2 4 22 43
The risk premia embedded in index options 3 4 14 21 7 14 42 75
VPIN and the flash crash 2 4 9 22 3 9 43 104
Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns 1 1 2 160 4 6 13 607
Total Journal Articles 27 62 255 9,033 140 329 1,583 29,278


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 1 9 9 1 6 27 28
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 3 12 226 2 13 61 634
Volatility and Correlation Forecasting 0 1 5 485 2 6 37 1,675
Total Chapters 0 5 26 720 5 25 125 2,337


Statistics updated 2017-03-07