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 0 5 955 1 3 15 1,668
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 1 1 204 1 3 7 487
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 1 2 5 182 1 2 11 384
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 1 18 0 1 4 77
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 55 0 2 5 116
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 1 151 0 0 5 412
A framework for exploring the macroeconomic determinants of systematic risk 0 0 0 181 2 2 7 433
A robust neighborhood truncation approach to estimation of integrated quarticity 0 1 1 46 0 1 3 68
An Empirical Investigation of Continuous-Time Equity Return Models 1 2 5 485 1 3 15 1,125
Analytic Evaluation of Volatility Forecasts 1 2 3 806 4 5 13 1,799
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 3 1,559 0 2 11 3,393
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 0 4 82 2 4 28 218
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 111 0 1 5 398
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 1 2 3 93 3 6 20 313
Construction and Interpretation of Model-Free Implied Volatility 0 0 3 109 0 0 8 256
Construction and Interpretation of Model-Free Implied Volatility 0 4 10 256 3 8 32 787
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 4 9 363 1 7 23 835
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 60 1 3 9 225
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 1 169 2 3 8 426
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 1 418 0 1 7 912
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 2 5 544 1 3 13 1,766
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 31 2 3 5 153
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models 0 0 1 34 0 2 7 212
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models 0 0 1 66 0 0 3 309
Duration-Based Volatility Estimation 2 2 6 241 2 4 11 505
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 1 2 489 0 1 5 894
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 2 5 301 0 3 13 1,031
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 303 0 0 4 759
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 484 0 1 6 1,557
Financial Risk Measurement for Financial Risk Management 1 3 8 176 1 3 18 455
Financial Risk Measurement for Financial Risk Management 0 1 3 163 1 5 16 359
Financial Risk Measurement for Financial Risk Management 0 1 5 220 0 3 21 366
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 2 11 1,171
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 2 541 2 6 22 1,547
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 1 25 25 1 4 14 14
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 69 0 1 7 217
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 2 3 10 65 2 5 20 200
Jump-robust volatility estimation using nearest neighbor truncation 0 0 4 58 1 2 11 198
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 11 469 3 12 49 1,999
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 2 279 0 2 9 867
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 1 4 342 1 5 17 1,079
Modeling and Forecasting Realized Volatility 0 1 5 1,231 0 1 12 2,813
Modeling and Forecasting Realized Volatility 0 2 2 979 1 4 14 2,063
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 1 4 224 0 1 15 574
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 0 2 9 91
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 20 0 1 5 92
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 5 0 2 6 33
Parametric and Nonparametric Volatility Measurement 0 2 5 683 2 4 20 1,505
Parametric and Nonparametric Volatility Measurement 1 2 7 801 1 2 15 1,960
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 3 415 0 1 6 824
Practical Volatility and Correlation Modeling for Financial Market Risk Management 1 2 2 562 2 5 10 1,122
Practical volatility and correlation modeling for financial market risk management 0 0 1 390 0 0 6 760
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 5 141 1 5 24 377
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 178 0 3 8 761
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 2 215 1 2 8 626
Real-time price discovery in global stock, bond and foreign exchange markets 1 3 10 265 1 5 17 814
Real-time price discovery in stock, bond and foreign exchange markets 1 1 5 140 1 2 9 508
Realized Beta: Persistence and Predictability 0 3 7 490 0 3 10 833
Realized Volatility and Multipower Variation 0 1 1 109 0 2 6 236
Realized beta: Persistence and predictability 0 1 9 196 0 5 29 445
Realized volatility 1 2 8 259 3 10 36 813
Reflecting on the VPIN Dispute 0 0 4 46 1 1 15 89
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 1 1 9 148 1 1 20 390
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 1 5 349 4 10 25 825
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 1 1 1 158 1 1 10 474
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 1 1 337 0 5 13 931
Stochastic Volatility 0 0 4 199 1 1 11 246
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 1 3 21 1,293
Stochastic Volatility: Origins and Overview 0 0 0 245 0 1 7 263
Stochastic Volatility: Origins and Overview 0 2 5 337 0 6 16 655
Stochastic Volatility: Origins and Overview 0 2 4 104 0 4 8 150
Stochastic volatility 0 0 0 150 0 1 3 267
The Distribution of Exchange Rate Volatility 0 0 0 316 0 2 7 813
The Distribution of Exchange Rate Volatility 0 0 0 537 0 1 9 1,338
The Distribution of Exchange Rate Volatility 0 0 0 518 0 2 4 1,180
The Distribution of Stock Return Volatility 0 0 1 895 1 1 8 2,175
The Distribution of Stock Return Volatility 2 2 6 818 2 3 15 2,170
The Fine Structure of Equity-Index Option Dynamics 0 0 1 39 0 0 5 61
The Pricing of Short-Term market Risk: Evidence from Weekly Options 2 3 5 36 2 10 27 85
The Risk Premia Embedded in Index Options 0 0 2 101 4 6 16 110
VPIN and the Flash Crash 0 1 4 107 2 5 25 300
Volatility Forecasting 0 0 1 531 2 6 18 826
Volatility Forecasting 0 0 1 933 1 5 15 1,159
Volatility forecasting 0 1 2 322 2 4 12 589
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 0 35 35 0 3 21 21
Total Working Papers 20 72 321 25,809 77 266 1,114 63,650


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 0 6 390
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 1 3 13 1 2 13 62
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 0 75 0 3 18 240
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 1 2 6 342 4 5 19 915
An Empirical Investigation of Continuous-Time Equity Return Models 0 1 2 101 0 2 7 329
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 20 57 264 3,689
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 1 2 5 0 1 9 25
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 1 103
Comment 0 0 0 24 0 0 4 124
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 1 1 1 154 3 5 11 475
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 1 2 222 0 2 7 631
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 3 317 2 5 15 1,275
Discussion 1 1 1 13 1 1 1 80
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 48 2 3 6 263
Editor Report 2005 0 0 0 7 0 0 0 73
Editor's Report 2004 0 0 0 2 0 0 1 39
Editorial Announcement 0 0 0 55 0 0 1 171
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 0 9 717
Estimating continuous-time stochastic volatility models of the short-term interest rate 1 1 6 725 2 5 25 1,352
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 2 3 8 0 3 15 38
Exploring Return Dynamics via Corridor Implied Volatility 0 0 1 2 1 5 15 25
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 0 1 20 453 2 6 42 1,102
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 1 6 1,069
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 0 1 63 0 1 4 213
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 186 0 1 11 554
Intraday and interday volatility in the Japanese stock market 0 1 3 199 2 10 28 777
Intraday periodicity and volatility persistence in financial markets 1 4 12 1,069 5 24 70 1,962
Jump-robust volatility estimation using nearest neighbor truncation 3 4 9 77 5 14 37 292
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 4 10 511 3 11 30 1,529
Modeling and Forecasting Realized Volatility 4 9 36 1,090 9 31 120 3,058
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 0 1 8 351
Parametric Inference and Dynamic State Recovery From Option Panels 0 0 1 5 0 0 4 25
Real-time price discovery in global stock, bond and foreign exchange markets 4 10 40 318 6 20 79 920
Realized volatility forecasting and market microstructure noise 0 0 2 104 5 7 24 332
Reflecting on the VPIN dispute 0 0 0 10 1 1 7 57
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 0 1 4 655 2 7 22 1,476
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 0 6 51 575 7 28 145 1,368
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 7 680
THE ECONOMETRICS OF FINANCIAL MARKETS 0 0 1 48 2 3 10 198
The Distribution of Realized Exchange Rate Volatility 1 2 8 178 1 2 24 499
The distribution of realized stock return volatility 3 6 24 748 10 16 85 1,698
The fine structure of equity-index option dynamics 0 0 1 9 0 0 8 47
The risk premia embedded in index options 6 13 30 47 8 22 67 128
VPIN and the flash crash 0 1 7 25 2 6 31 126
Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns 0 0 1 160 1 3 12 613
Total Journal Articles 26 73 295 9,266 108 316 1,330 30,279


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 2 15 23 3 11 42 64
Practical Volatility and Correlation Modeling for Financial Market Risk Management 1 3 8 231 1 4 25 646
Volatility and Correlation Forecasting 1 3 11 495 4 14 40 1,709
Total Chapters 3 8 34 749 8 29 107 2,419


Statistics updated 2017-12-03