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 1 973 1 2 7 1,820
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 0 0 5 486
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 0 2 5 579
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 20 4 4 8 114
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 57 0 0 1 148
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 0 155 0 1 1 571
A framework for exploring the macroeconomic determinants of systematic risk 0 0 1 184 0 0 3 530
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 1 51 0 0 4 100
An Empirical Investigation of Continuous-Time Equity Return Models 0 0 0 497 0 1 2 1,274
Analytic Evaluation of Volatility Forecasts 0 0 0 815 0 0 2 1,881
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 1 2 1,580 0 3 9 3,580
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 0 1 104 0 2 5 354
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 119 0 1 2 446
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 0 0 2 151 0 0 9 512
Consistent Inference for Predictive Regressions in Persistent Economic Systems 0 0 1 28 0 0 2 30
Consistent Inference for Predictive Regressions in Persistent VAR Economies 0 0 0 56 0 1 3 241
Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions 0 0 0 18 0 0 0 25
Construction and Interpretation of Model-Free Implied Volatility 0 1 2 278 1 3 9 950
Construction and Interpretation of Model-Free Implied Volatility 0 0 0 119 0 0 1 344
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 0 3 4 300
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 0 1 5 929
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 171 0 0 1 491
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 421 1 2 3 953
Cross-Sectional Dispersion of Risk in Trading Time 0 0 0 8 0 0 1 29
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 0 552 0 1 3 1,947
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 32 0 0 1 217
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models 0 0 0 34 0 0 0 270
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models 0 0 0 70 0 0 1 390
Duration-Based Volatility Estimation 0 0 4 295 0 0 9 681
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 499 0 1 3 1,067
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 0 0 1 1,114
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 495 0 3 5 1,607
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 0 0 0 840
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 2 6 554
Financial Risk Measurement for Financial Risk Management 0 0 1 207 2 2 5 587
Financial Risk Measurement for Financial Risk Management 1 1 4 182 3 5 17 547
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 1 2 1,303
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 1 549 1 3 6 1,669
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 0 6 2 2 4 69
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 1 1 38 3 17 36 187
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 2 3 56 0 6 18 198
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 77 0 0 3 292
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 1 75 0 1 3 349
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 63 0 0 2 337
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 1 3 290 2 2 5 1,038
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 478 1 1 5 2,263
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 2 356 0 0 5 1,266
Modeling and Forecasting Realized Volatility 0 1 4 995 0 3 13 2,180
Modeling and Forecasting Realized Volatility 0 0 1 1,261 3 4 22 2,999
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 0 1 3 685
Option Panels in Pure-Jump Settings 0 0 0 24 0 0 0 71
Parametric Inference and Dynamic State Recovery from Option Panels 1 1 1 30 1 1 2 202
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 7 0 0 2 66
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 0 0 3 152
Parametric and Nonparametric Volatility Measurement 0 0 3 830 0 1 5 2,111
Parametric and Nonparametric Volatility Measurement 0 0 0 692 1 1 5 1,606
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 421 1 1 6 899
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 1 1 1 1,191
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 1 1 6 855
Real-Time Detection of Local No-Arbitrage Violations 0 0 1 13 1 1 12 29
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 0 0 1 508
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 1 2 2 803
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 0 3 7 678
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 2 278 1 1 6 1,004
Real-time price discovery in stock, bond and foreign exchange markets 0 0 1 144 0 0 3 559
Realized Beta: Persistence and Predictability 0 0 1 516 0 0 7 919
Realized Volatility and Multipower Variation 0 0 1 116 0 1 4 277
Realized beta: Persistence and predictability 0 0 2 221 1 1 6 640
Realized volatility 0 0 3 327 3 7 34 1,200
Reflecting on the VPIN Dispute 0 0 0 53 1 1 2 133
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 1 1 4 170 1 3 16 563
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 2 356 0 2 9 991
Short-Term Market Risks Implied by Weekly Options 0 0 0 33 0 2 8 138
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 0 2 5 1,024
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 1 163 0 3 6 534
Stochastic Volatility 0 0 0 213 0 1 4 299
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 4 5 9 1,382
Stochastic Volatility: Origins and Overview 0 0 0 111 1 3 4 228
Stochastic Volatility: Origins and Overview 0 0 0 341 0 0 1 693
Stochastic Volatility: Origins and Overview 0 0 0 247 0 2 4 315
Stochastic volatility 0 0 0 163 0 2 7 358
Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions 0 0 0 18 0 0 2 32
The Distribution of Exchange Rate Volatility 0 0 1 531 0 1 3 1,316
The Distribution of Exchange Rate Volatility 0 0 1 323 0 3 9 867
The Distribution of Exchange Rate Volatility 0 0 1 552 0 0 4 1,445
The Distribution of Stock Return Volatility 0 0 0 906 0 0 4 2,401
The Distribution of Stock Return Volatility 0 0 0 839 1 1 5 2,239
The Fine Structure of Equity-Index Option Dynamics 0 0 0 45 0 0 1 114
The Pricing of Short-Term market Risk: Evidence from Weekly Options 0 0 1 45 0 1 5 151
The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets 0 0 1 54 0 1 7 182
The Risk Premia Embedded in Index Options 0 0 0 109 0 0 2 255
The Risk Premia Embedded in Index Options 1 1 2 37 2 3 8 176
Time-Varying Periodicity in Intraday Volatility 0 0 1 46 0 0 4 94
Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span 0 0 0 37 0 0 3 123
VPIN and the Flash Crash 1 1 1 132 1 2 3 434
Volatility Forecasting 0 0 0 950 0 3 9 1,277
Volatility Forecasting 0 0 2 561 1 2 7 1,002
Volatility forecasting 0 0 2 338 0 0 5 735
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 0 1 66 1 2 6 116
Total Working Papers 6 12 77 27,298 50 148 544 74,730
1 registered items for which data could not be found


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 0 1 6 0 0 4 15
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 1 4 5 492
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 0 0 14 0 1 1 83
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 0 98 0 1 6 384
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 0 360 1 2 5 1,001
An Empirical Investigation of Continuous‐Time Equity Return Models 0 0 3 111 0 0 8 387
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor 0 0 2 10 0 0 4 23
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 6 16 76 4,844
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 0 0 19 1 1 3 143
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 0 115
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS 0 0 0 1 0 0 0 1
Comment 0 0 0 29 0 0 2 146
Consistent inference for predictive regressions in persistent economic systems 0 0 0 3 0 2 2 20
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 1 170 0 1 6 579
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 1 231 0 0 2 679
Discussion 0 0 0 13 0 1 1 90
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 1 1 1 52 1 1 4 343
Editor Report 2005 0 0 0 8 0 0 0 87
Editor's Report 2004 0 0 0 2 0 0 0 48
Editorial Announcement 0 0 0 55 1 1 1 187
Editors' Report 2006 0 0 0 3 0 0 1 53
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 0 0 0 363 1 3 3 789
Estimating continuous-time stochastic volatility models of the short-term interest rate 0 2 7 788 1 7 19 1,576
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 2 18 1 1 15 139
Exploring Return Dynamics via Corridor Implied Volatility 0 1 1 15 0 1 5 89
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 1 1 8 561 1 6 16 1,396
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 1 10 1,286
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 3 3 74 0 6 10 260
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 2 198 2 4 13 663
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS 0 0 0 1 0 1 2 12
Intraday Periodic Volatility Curves 1 2 6 7 2 3 11 12
Intraday and interday volatility in the Japanese stock market 2 2 4 229 2 4 9 908
Intraday cross-sectional distributions of systematic risk 0 0 3 4 0 1 11 15
Intraday periodicity and volatility persistence in financial markets 0 2 17 1,296 2 11 44 2,623
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 134 2 4 7 561
Local mispricing and microstructural noise: A parametric perspective 0 0 3 6 0 0 6 17
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 4 10 592 9 19 61 1,959
Modeling and Forecasting Realized Volatility 0 0 0 1,158 6 14 44 3,664
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 4 143 0 1 6 513
Parametric Inference and Dynamic State Recovery From Option Panels 0 0 1 9 1 1 2 135
Real-time price discovery in global stock, bond and foreign exchange markets 1 2 4 359 4 10 33 1,230
Realized volatility forecasting and market microstructure noise 0 1 3 141 1 2 7 535
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk 0 0 0 1 0 0 10 29
Reflecting on the VPIN dispute 0 0 0 22 0 0 3 117
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 0 1 6 760 1 6 14 1,766
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 0 2 15 688 1 9 41 1,885
SIMULATION-BASED ECONOMETRIC METHODS 0 0 1 68 0 1 3 187
Short-Term Market Risks Implied by Weekly Options 0 0 2 16 1 5 12 112
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 4 4 7 737
THE ECONOMETRICS OF FINANCIAL MARKETS 0 0 1 61 0 0 4 253
Tail risk and return predictability for the Japanese equity market 0 0 4 16 0 7 23 65
Testing for parameter instability and structural change in persistent predictive regressions 0 0 3 5 0 1 7 16
The Distribution of Realized Exchange Rate Volatility 1 1 4 212 1 4 13 672
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets 0 0 2 19 1 5 17 81
The distribution of realized stock return volatility 1 2 8 864 2 6 30 2,225
The fine structure of equity-index option dynamics 0 0 0 19 0 3 6 116
The risk premia embedded in index options 0 3 8 164 3 11 23 527
Time-Varying Periodicity in Intraday Volatility 0 0 1 4 1 1 5 23
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 1 1 4 9
Unified inference for nonlinear factor models from panels with fixed and large time span 0 0 0 8 1 2 4 108
VPIN and the flash crash 0 0 1 74 0 1 5 471
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 0 0 2 169 0 3 7 652
Volatility measurement with pockets of extreme return persistence 0 0 0 0 0 0 5 10
Total Journal Articles 9 30 145 10,561 63 201 708 38,163


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 0 3 60 0 5 19 341
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 250 0 1 3 765
Realized Beta: Persistence and Predictability 0 0 7 10 5 9 27 37
Volatility and Correlation Forecasting 1 2 9 680 2 9 36 2,357
Total Chapters 1 2 20 1,000 7 24 85 3,500


Statistics updated 2025-10-06