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 2 8 953 3 7 20 1,661
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 1 203 1 3 6 483
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 177 0 3 9 378
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 1 2 18 0 2 7 75
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 55 1 2 7 114
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 2 150 0 2 18 410
A framework for exploring the macroeconomic determinants of systematic risk 0 0 1 181 0 3 6 429
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 2 45 0 2 10 67
An Empirical Investigation of Continuous-Time Equity Return Models 1 2 14 483 4 8 34 1,120
Analytic Evaluation of Volatility Forecasts 0 0 2 803 1 5 14 1,792
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 1 2 3 1,559 1 4 10 3,387
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 1 11 80 3 7 38 207
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 1 111 0 2 8 397
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 0 0 4 90 1 4 23 301
Construction and Interpretation of Model-Free Implied Volatility 1 2 8 250 3 9 31 770
Construction and Interpretation of Model-Free Implied Volatility 1 2 4 109 3 5 14 254
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 1 355 1 1 39 821
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 60 0 1 7 220
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 168 0 2 7 421
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 417 0 2 7 909
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 0 539 0 0 13 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 0 1 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 1 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 3 4 238 1 5 16 499
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 1 487 0 1 12 890
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 2 6 298 1 5 14 1,024
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 1 1 303 0 2 10 757
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 484 0 2 9 1,554
Financial Risk Measurement for Financial Risk Management 1 1 9 171 3 5 24 447
Financial Risk Measurement for Financial Risk Management 0 0 2 160 0 3 19 348
Financial Risk Measurement for Financial Risk Management 0 2 9 218 0 8 33 357
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 4 25 1,166
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 539 1 6 12 1,534
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 20 20 20 0 3 3 3
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 69 1 4 8 215
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 2 4 8 59 5 8 19 189
Jump-robust volatility estimation using nearest neighbor truncation 0 1 2 55 0 3 17 190
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 2 278 1 6 14 865
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 2 8 464 3 14 57 1,975
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 1 1 339 3 7 35 1,070
Modeling and Forecasting Realized Volatility 0 2 2 1,228 0 5 20 2,808
Modeling and Forecasting Realized Volatility 0 0 1 977 1 5 19 2,056
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 2 8 17 569
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 0 2 6 85
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 19 0 2 7 89
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 5 0 2 9 30
Parametric and Nonparametric Volatility Measurement 2 2 6 681 4 6 25 1,495
Parametric and Nonparametric Volatility Measurement 1 3 8 799 2 6 26 1,956
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 413 0 1 7 820
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 560 0 4 15 1,117
Practical volatility and correlation modeling for financial market risk management 0 0 0 389 0 4 8 758
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 2 4 5 141 3 9 19 366
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 2 3 215 1 5 11 624
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 178 0 2 8 756
Real-time price discovery in global stock, bond and foreign exchange markets 2 3 4 259 3 6 20 805
Real-time price discovery in stock, bond and foreign exchange markets 1 3 5 138 1 5 21 505
Realized Beta: Persistence and Predictability 1 2 6 486 1 4 17 828
Realized Volatility and Multipower Variation 0 0 3 108 0 1 19 233
Realized beta: Persistence and predictability 2 2 3 189 3 4 23 425
Realized volatility 0 3 9 255 2 9 52 793
Reflecting on the VPIN Dispute 1 1 6 45 3 7 18 85
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 2 4 8 144 4 9 26 382
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 1 2 4 346 1 5 25 810
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 2 336 0 2 20 922
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 21 470
Stochastic Volatility 1 2 8 198 1 3 18 242
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 2 5 47 1,287
Stochastic Volatility: Origins and Overview 0 1 2 102 0 2 9 145
Stochastic Volatility: Origins and Overview 0 0 0 245 0 4 16 262
Stochastic Volatility: Origins and Overview 0 1 2 333 0 1 14 646
Stochastic volatility 0 0 1 150 0 0 10 266
The Distribution of Exchange Rate Volatility 0 0 1 316 0 2 13 811
The Distribution of Exchange Rate Volatility 0 0 2 537 0 5 14 1,336
The Distribution of Exchange Rate Volatility 0 0 0 518 0 2 4 1,178
The Distribution of Stock Return Volatility 0 0 1 813 1 5 20 2,161
The Distribution of Stock Return Volatility 0 1 1 895 0 4 13 2,172
The Fine Structure of Equity-Index Option Dynamics 0 0 1 38 1 2 9 58
The Pricing of Short-Term market Risk: Evidence from Weekly Options 0 0 14 32 2 6 43 69
The Risk Premia Embedded in Index Options 0 0 8 100 0 4 32 102
VPIN and the Flash Crash 1 2 7 105 3 8 37 288
Volatility Forecasting 0 1 4 933 2 4 16 1,152
Volatility Forecasting 0 1 9 531 1 3 15 816
Volatility forecasting 0 0 0 320 2 3 10 582
Volatility, information feedback and market microstructure noise: A tale of two regimes 18 29 29 29 2 4 4 4
Total Working Papers 44 122 313 25,643 89 345 1,483 63,085


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 2 101 0 4 12 388
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 1 2 4 12 3 10 21 59
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 2 75 2 7 24 232
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 2 3 338 1 5 16 903
An Empirical Investigation of Continuous-Time Equity Return Models 1 1 2 100 1 4 20 327
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 17 85 280 3,547
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 0 0 3 0 1 11 20
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 6 103
Comment 0 0 0 24 0 1 7 121
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 2 153 0 1 18 468
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 0 220 0 2 12 628
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 3 7 317 1 6 21 1,269
Discussion 0 0 0 12 0 0 6 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 2 9 260
Editor Report 2005 0 0 0 7 0 0 5 73
Editor's Report 2004 0 0 0 2 0 1 8 39
Editorial Announcement 0 0 0 55 0 1 9 171
Editors' Report 2006 0 0 0 2 0 1 4 39
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 0 0 2 349 0 1 12 711
Estimating continuous-time stochastic volatility models of the short-term interest rate 0 2 3 722 2 9 32 1,340
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 6 0 2 10 27
Exploring Return Dynamics via Corridor Implied Volatility 0 0 0 1 1 3 12 15
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 1 5 14 441 2 11 50 1,079
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 1 17 1,065
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 0 0 62 0 2 6 211
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 186 1 3 11 548
Intraday and interday volatility in the Japanese stock market 2 2 4 198 2 10 28 762
Intraday periodicity and volatility persistence in financial markets 2 6 16 1,063 5 17 65 1,919
Jump-robust volatility estimation using nearest neighbor truncation 1 1 13 70 5 9 49 272
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 3 7 504 2 10 42 1,510
Modeling and Forecasting Realized Volatility 1 9 34 1,069 9 35 152 2,989
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 4 16 348
Parametric Inference and Dynamic State Recovery From Option Panels 0 1 2 5 1 3 14 25
Real-time price discovery in global stock, bond and foreign exchange markets 2 11 23 292 7 23 51 868
Realized volatility forecasting and market microstructure noise 0 1 2 104 1 7 25 317
Reflecting on the VPIN dispute 0 0 0 10 1 2 14 54
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 0 1 4 654 0 2 23 1,461
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 8 13 60 549 16 35 157 1,285
SIMULATION-BASED ECONOMETRIC METHODS 0 0 0 60 0 1 8 150
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 0 3 14 677
THE ECONOMETRICS OF FINANCIAL MARKETS 0 0 1 47 1 3 26 191
The Distribution of Realized Exchange Rate Volatility 1 1 5 172 3 7 23 487
The distribution of realized stock return volatility 1 4 8 729 12 26 66 1,648
The fine structure of equity-index option dynamics 0 0 4 8 0 2 16 43
The risk premia embedded in index options 3 7 15 25 5 15 43 83
VPIN and the flash crash 0 2 7 22 2 8 40 109
Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns 0 1 2 160 3 7 15 610
Total Journal Articles 24 79 252 9,085 106 392 1,526 29,530


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 4 9 13 2 11 29 38
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 10 227 0 5 47 637
Volatility and Correlation Forecasting 1 2 5 487 4 9 37 1,682
Total Chapters 1 7 24 727 6 25 113 2,357


Statistics updated 2017-05-02