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 0 973 0 3 14 1,831
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 1 4 12 588
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 1 2 15 500
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 57 1 2 7 155
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 20 2 2 10 118
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 1 1 156 2 7 19 589
A framework for exploring the macroeconomic determinants of systematic risk 0 0 0 184 0 0 9 539
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 0 51 0 3 12 112
An Empirical Investigation of Continuous-Time Equity Return Models 0 0 0 497 2 3 29 1,302
Analytic Evaluation of Volatility Forecasts 0 0 0 815 7 7 11 1,892
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 2 1,581 3 4 15 3,591
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 2 3 107 14 58 99 450
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 119 0 1 9 454
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 0 2 2 153 3 9 21 532
Consistent Inference for Predictive Regressions in Persistent Economic Systems 0 0 0 28 3 3 14 43
Consistent Inference for Predictive Regressions in Persistent VAR Economies 0 0 0 56 0 1 12 252
Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions 0 0 0 18 3 6 8 33
Construction and Interpretation of Model-Free Implied Volatility 0 0 1 120 1 3 14 358
Construction and Interpretation of Model-Free Implied Volatility 0 0 1 278 3 10 31 978
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 2 3 7 304
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 0 2 3 11 12
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 4 5 21 947
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 421 3 3 15 966
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 171 0 0 9 500
Cross-Sectional Dispersion of Risk in Trading Time 0 0 0 8 4 14 22 51
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 1 2 554 7 11 26 1,972
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 32 0 1 11 228
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models 0 0 0 34 2 3 15 285
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models 0 0 0 70 2 4 10 400
Duration-Based Volatility Estimation 0 0 5 299 5 7 23 703
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 499 2 6 22 1,088
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 6 10 16 1,130
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 5 8 24 1,628
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 7 9 19 859
Financial Risk Measurement for Financial Risk Management 0 1 3 183 9 16 45 584
Financial Risk Measurement for Financial Risk Management 0 0 0 207 6 8 38 622
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 2 19 571
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 2 3 20 1,322
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 1 549 3 5 22 1,687
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 1 1 7 4 9 17 84
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 1 2 5 58 4 20 62 248
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 2 3 6 43 23 43 140 298
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 1 1 78 0 8 19 311
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 1 75 1 2 15 362
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 63 7 13 24 360
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 479 14 15 34 2,296
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 291 7 11 19 1,055
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 0 356 9 13 23 1,288
Modeling and Forecasting Realized Volatility 0 0 1 1,262 10 22 69 3,059
Modeling and Forecasting Realized Volatility 0 2 6 999 17 24 50 2,223
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 0 233 3 5 17 700
Option Panels in Pure-Jump Settings 0 0 0 24 0 2 8 79
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 7 3 7 11 77
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 30 3 4 13 214
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 4 4 12 163
Parametric and Nonparametric Volatility Measurement 0 0 0 692 0 6 15 1,620
Parametric and Nonparametric Volatility Measurement 0 0 0 830 6 11 21 2,131
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 11 17 28 1,218
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 11 14 26 924
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 1 1 17 870
Real-Time Detection of Local No-Arbitrage Violations 0 0 1 13 0 1 14 37
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 1 4 13 521
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 3 5 17 818
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 3 3 15 689
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 4 6 15 1,017
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 144 2 5 13 571
Realized Beta: Persistence and Predictability 0 0 0 516 4 12 22 940
Realized Volatility and Multipower Variation 0 0 1 116 5 5 11 285
Realized beta: Persistence and predictability 0 1 2 222 3 9 23 660
Realized volatility 1 4 4 331 8 16 43 1,233
Reflecting on the VPIN Dispute 0 0 0 53 5 12 22 154
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 4 171 10 13 30 588
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 1 356 7 9 22 1,009
Short-Term Market Risks Implied by Weekly Options 0 0 0 33 6 8 14 149
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 0 354 3 3 15 1,037
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 0 163 2 5 21 552
Stochastic Volatility 0 0 0 213 2 6 17 315
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 4 5 17 1,394
Stochastic Volatility: Origins and Overview 0 0 1 112 2 3 17 241
Stochastic Volatility: Origins and Overview 0 0 1 248 2 2 13 326
Stochastic Volatility: Origins and Overview 0 0 1 342 5 8 20 713
Stochastic volatility 0 0 0 163 3 4 10 366
Tails of Cross-Sectional Return Distributions at High Frequencies 0 1 16 16 10 26 94 94
Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions 0 0 0 18 0 3 10 42
The Distribution of Exchange Rate Volatility 0 0 0 531 0 0 9 1,324
The Distribution of Exchange Rate Volatility 0 0 0 552 4 5 16 1,461
The Distribution of Exchange Rate Volatility 0 0 0 323 3 5 20 880
The Distribution of Stock Return Volatility 0 0 0 906 4 7 17 2,417
The Distribution of Stock Return Volatility 0 0 0 839 2 4 16 2,252
The Factor Structure of Jump Risk 0 1 22 22 4 19 35 35
The Fine Structure of Equity-Index Option Dynamics 0 0 0 45 1 1 6 120
The Pricing of Short-Term market Risk: Evidence from Weekly Options 0 0 0 45 5 7 18 168
The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets 0 0 0 54 0 3 12 191
The Risk Premia Embedded in Index Options 0 0 0 109 2 8 25 279
The Risk Premia Embedded in Index Options 0 1 4 39 4 7 26 195
Time-Varying Periodicity in Intraday Volatility 0 0 1 46 4 5 17 110
Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span 0 0 0 37 3 4 13 136
VPIN and the Flash Crash 0 0 1 132 12 30 48 480
Volatility Forecasting 1 1 1 951 4 13 33 1,306
Volatility Forecasting 0 0 1 562 8 15 33 1,033
Volatility forecasting 0 0 1 339 2 7 23 758
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 0 2 68 3 14 33 147
Total Working Papers 5 25 112 27,384 415 827 2,304 76,799

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Descriptive Study of High-Frequency Trade and Quote Option Data* 0 1 1 7 2 7 13 28
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 1 1 16 504
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 0 0 14 1 5 9 91
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 1 2 100 11 16 28 411
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 0 360 2 5 13 1,012
An Empirical Investigation of Continuous‐Time Equity Return Models 0 0 0 111 5 12 82 468
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor 0 0 0 10 1 1 8 29
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 13 35 163 4,974
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 1 2 2 21 8 20 36 176
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 3 118
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS 0 0 0 1 0 0 3 4
Comment 0 0 0 29 2 3 5 150
Consistent inference for predictive regressions in persistent economic systems 0 0 0 3 3 5 13 31
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 1 170 4 5 40 617
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 0 231 2 4 7 686
Discussion 0 0 0 13 3 3 6 95
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 1 52 1 4 17 359
Editor Report 2005 0 0 0 8 0 3 6 93
Editor's Report 2004 0 0 0 2 1 6 12 60
Editorial Announcement 0 0 0 55 2 4 5 191
Editors' Report 2006 0 0 0 3 1 2 8 61
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 0 0 0 363 0 4 38 824
Estimating continuous-time stochastic volatility models of the short-term interest rate 1 1 5 790 3 3 29 1,596
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 18 3 6 31 165
Exploring Return Dynamics via Corridor Implied Volatility 1 2 3 17 5 8 15 103
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 0 1 8 564 4 6 30 1,416
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 4 5 21 1,304
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 0 3 74 1 2 17 271
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 198 4 5 50 705
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS 0 0 0 1 0 3 8 19
Intraday Periodic Volatility Curves 3 3 9 14 6 11 29 38
Intraday and interday volatility in the Japanese stock market 0 0 2 229 3 4 16 919
Intraday cross-sectional distributions of systematic risk 0 0 1 4 3 7 16 29
Intraday periodicity and volatility persistence in financial markets 1 1 6 1,298 16 21 90 2,692
Jump-robust volatility estimation using nearest neighbor truncation 0 1 1 135 2 7 37 593
Local mispricing and microstructural noise: A parametric perspective 0 0 2 7 2 8 26 41
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 3 10 24 610 21 44 142 2,071
Modeling and Forecasting Realized Volatility 0 0 0 1,158 34 54 158 3,801
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 1 1 3 144 2 3 17 526
On-line detection of changes in the shape of intraday volatility curves 0 0 0 0 4 7 18 18
Parametric Inference and Dynamic State Recovery From Option Panels 1 1 2 10 3 4 11 144
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 5 361 2 10 54 1,264
Realized volatility forecasting and market microstructure noise 1 1 3 143 9 15 29 561
Real‐time detection of local no‐arbitrage violations 0 0 0 0 3 5 15 15
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk 1 1 1 2 6 18 24 53
Reflecting on the VPIN dispute 0 1 2 24 10 26 57 173
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 0 0 2 761 2 5 36 1,794
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 3 7 17 701 23 39 92 1,962
SIMULATION-BASED ECONOMETRIC METHODS 0 0 1 68 1 1 12 196
Short-Term Market Risks Implied by Weekly Options 0 0 0 16 3 8 25 130
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 0 2 18 749
Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction 0 1 1 1 4 5 7 7
THE ECONOMETRICS OF FINANCIAL MARKETS 0 0 0 61 2 3 7 260
Tail risk and return predictability for the Japanese equity market 0 0 2 16 6 9 36 86
Testing for parameter instability and structural change in persistent predictive regressions 0 0 1 6 2 12 21 35
Testing mean stationarity of intraday volatility curves 0 0 0 0 5 6 32 32
The Distribution of Realized Exchange Rate Volatility 0 0 4 214 7 15 46 713
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets 0 0 2 21 2 6 25 97
The distribution of realized stock return volatility 0 1 9 868 8 12 46 2,261
The fine structure of equity-index option dynamics 0 0 0 19 0 1 12 125
The risk premia embedded in index options 0 2 12 171 2 13 56 567
Time-Varying Periodicity in Intraday Volatility 0 0 0 4 2 5 19 40
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 0 1 6 14
Unified inference for nonlinear factor models from panels with fixed and large time span 0 0 0 8 3 3 14 120
VIX maturity interpolation 0 0 0 1 7 11 22 23
VPIN and the flash crash 0 1 3 76 10 33 58 527
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 0 1 2 170 1 3 14 661
Volatility measurement with pockets of extreme return persistence 0 0 0 0 2 3 16 26
Total Journal Articles 17 42 144 10,646 305 624 2,091 39,924

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 2 62 14 18 58 394
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 251 8 12 24 788
Realized Beta: Persistence and Predictability 0 2 8 12 2 7 35 50
Stochastic Volatility: Origins and Overview 0 0 0 0 3 3 6 6
Volatility and Correlation Forecasting 2 5 9 686 8 25 84 2,427
Total Chapters 2 8 20 1,011 35 65 207 3,665

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Statistics updated 2026-05-06