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 6 955 0 2 15 1,665
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 1 1 1 204 1 2 5 485
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 1 4 4 181 1 4 12 383
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 55 1 1 4 115
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 1 18 1 1 5 77
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 1 151 0 0 10 412
A framework for exploring the macroeconomic determinants of systematic risk 0 0 0 181 0 1 5 431
A robust neighborhood truncation approach to estimation of integrated quarticity 1 1 2 46 1 1 6 68
An Empirical Investigation of Continuous-Time Equity Return Models 1 1 6 484 1 1 18 1,123
Analytic Evaluation of Volatility Forecasts 0 1 1 804 0 2 11 1,794
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 3 1,559 1 3 10 3,392
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 0 7 82 0 3 29 214
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 111 0 0 6 397
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 1 1 4 92 3 5 23 310
Construction and Interpretation of Model-Free Implied Volatility 1 1 8 253 1 3 28 780
Construction and Interpretation of Model-Free Implied Volatility 0 0 4 109 0 1 10 256
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 60 1 2 8 223
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 1 4 6 360 1 5 25 829
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 1 1 418 0 1 6 911
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 1 169 0 0 5 423
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 2 3 5 544 2 5 15 1,765
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 2 150
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models 0 1 1 34 0 1 5 210
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models 0 0 2 66 0 0 5 309
Duration-Based Volatility Estimation 0 0 5 239 1 2 14 502
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 2 488 0 1 7 893
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 1 1 4 300 1 1 11 1,029
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 484 1 1 6 1,557
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 303 0 1 5 759
Financial Risk Measurement for Financial Risk Management 1 2 9 174 1 3 21 453
Financial Risk Measurement for Financial Risk Management 0 1 9 219 1 6 27 364
Financial Risk Measurement for Financial Risk Management 0 0 3 162 1 3 17 355
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 1 2 12 1,170
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 1 2 541 2 7 18 1,543
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 1 3 25 25 3 6 13 13
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 1 2 8 63 1 3 16 196
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 69 0 1 7 216
Jump-robust volatility estimation using nearest neighbor truncation 0 2 5 58 1 5 11 197
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 278 0 0 7 865
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 2 12 469 5 11 46 1,992
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 1 2 4 342 1 4 17 1,075
Modeling and Forecasting Realized Volatility 1 2 5 1,231 1 3 15 2,813
Modeling and Forecasting Realized Volatility 1 1 1 978 1 3 11 2,060
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 2 4 223 0 2 15 573
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 1 5 8 90
Parametric Inference and Dynamic State Recovery from Option Panels 0 1 2 20 1 3 6 92
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 5 0 1 7 31
Parametric and Nonparametric Volatility Measurement 1 1 6 800 1 3 16 1,959
Parametric and Nonparametric Volatility Measurement 1 1 6 682 1 1 21 1,502
Practical Volatility and Correlation Modeling for Financial Market Risk Management 1 1 2 561 2 2 10 1,119
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 3 415 1 3 9 824
Practical volatility and correlation modeling for financial market risk management 0 0 1 390 0 1 6 760
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 5 141 2 5 22 374
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 178 3 5 11 761
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 2 215 1 1 9 625
Real-time price discovery in global stock, bond and foreign exchange markets 1 2 8 263 2 3 19 811
Real-time price discovery in stock, bond and foreign exchange markets 0 0 5 139 1 1 14 507
Realized Beta: Persistence and Predictability 0 0 5 487 0 0 12 830
Realized Volatility and Multipower Variation 0 0 1 108 1 2 9 235
Realized beta: Persistence and predictability 1 4 10 196 1 11 29 441
Realized volatility 0 1 7 257 3 7 41 806
Reflecting on the VPIN Dispute 0 0 5 46 0 1 15 88
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 1 8 147 0 3 20 389
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 1 4 348 1 4 20 816
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 2 17 473
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 2 4 17 928
Stochastic Volatility 0 0 5 199 0 1 12 245
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 1 4 30 1,291
Stochastic Volatility: Origins and Overview 2 3 5 337 4 5 14 653
Stochastic Volatility: Origins and Overview 2 2 4 104 3 3 7 149
Stochastic Volatility: Origins and Overview 0 0 0 245 0 0 7 262
Stochastic volatility 0 0 0 150 0 0 6 266
The Distribution of Exchange Rate Volatility 0 0 0 518 0 0 2 1,178
The Distribution of Exchange Rate Volatility 0 0 0 537 0 0 10 1,337
The Distribution of Exchange Rate Volatility 0 0 0 316 1 1 8 812
The Distribution of Stock Return Volatility 0 3 4 816 0 5 14 2,167
The Distribution of Stock Return Volatility 0 0 1 895 0 1 9 2,174
The Fine Structure of Equity-Index Option Dynamics 0 0 1 39 0 1 8 61
The Pricing of Short-Term market Risk: Evidence from Weekly Options 0 1 3 33 3 8 22 78
The Risk Premia Embedded in Index Options 0 1 4 101 1 3 17 105
VPIN and the Flash Crash 0 1 5 106 0 4 27 295
Volatility Forecasting 0 0 1 531 1 3 16 821
Volatility Forecasting 0 0 3 933 2 3 14 1,156
Volatility forecasting 0 1 1 321 0 2 8 585
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 3 35 35 2 9 20 20
Total Working Papers 25 70 318 25,762 79 230 1,153 63,463


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 2 102 0 1 7 390
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 1 1 4 13 1 2 17 61
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 0 75 0 4 17 237
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 5 340 0 1 17 910
An Empirical Investigation of Continuous-Time Equity Return Models 0 0 1 100 0 0 7 327
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 24 63 276 3,656
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 1 2 2 5 1 3 11 25
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 2 103
Comment 0 0 0 24 0 1 5 124
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 0 153 1 1 8 471
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 1 1 2 222 1 1 8 630
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 4 317 1 2 13 1,271
Discussion 0 0 0 12 0 0 3 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 5 260
Editor Report 2005 0 0 0 7 0 0 1 73
Editor's Report 2004 0 0 0 2 0 0 1 39
Editorial Announcement 0 0 0 55 0 0 2 171
Editors' Report 2006 0 0 0 2 0 0 1 39
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 0 0 2 351 0 2 10 717
Estimating continuous-time stochastic volatility models of the short-term interest rate 0 0 5 724 3 5 26 1,350
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 1 1 2 7 1 5 13 36
Exploring Return Dynamics via Corridor Implied Volatility 0 0 1 2 3 5 13 23
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 0 3 22 452 1 5 52 1,097
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 1 8 1,068
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 1 1 63 0 1 3 212
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 186 0 3 11 553
Intraday and interday volatility in the Japanese stock market 1 1 3 199 6 9 25 773
Intraday periodicity and volatility persistence in financial markets 2 4 14 1,067 11 20 64 1,949
Jump-robust volatility estimation using nearest neighbor truncation 1 2 7 74 5 7 34 283
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 3 6 507 1 7 29 1,519
Modeling and Forecasting Realized Volatility 3 8 33 1,084 9 26 120 3,036
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 13 351
Parametric Inference and Dynamic State Recovery From Option Panels 0 0 1 5 0 0 7 25
Real-time price discovery in global stock, bond and foreign exchange markets 4 10 36 312 9 24 72 909
Realized volatility forecasting and market microstructure noise 0 0 2 104 1 5 22 326
Reflecting on the VPIN dispute 0 0 0 10 0 1 8 56
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 1 1 4 655 3 6 24 1,472
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 4 9 54 573 11 31 144 1,351
SIMULATION-BASED ECONOMETRIC METHODS 0 0 0 60 0 0 1 150
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 1 2 9 679
THE ECONOMETRICS OF FINANCIAL MARKETS 0 1 2 48 0 2 8 195
The Distribution of Realized Exchange Rate Volatility 1 2 7 177 1 5 24 498
The distribution of realized stock return volatility 0 6 18 742 2 18 77 1,684
The fine structure of equity-index option dynamics 0 0 5 9 0 1 13 47
The risk premia embedded in index options 1 6 18 35 5 16 53 111
VPIN and the flash crash 1 1 7 25 3 10 33 123
Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns 0 0 2 160 1 1 12 611
Total Journal Articles 23 63 272 9,216 107 299 1,329 30,070


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 1 4 16 22 2 8 37 55
Practical Volatility and Correlation Modeling for Financial Market Risk Management 2 3 9 230 2 5 34 644
Volatility and Correlation Forecasting 2 4 10 494 4 10 35 1,699
Total Chapters 5 11 35 746 8 23 106 2,398


Statistics updated 2017-10-05