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 1 8 13 1,829
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 3 5 12 587
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 1 7 17 499
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 57 0 5 5 153
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 20 0 2 8 116
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 1 1 1 156 5 13 17 587
A framework for exploring the macroeconomic determinants of systematic risk 0 0 1 184 0 5 10 539
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 1 51 0 7 11 109
An Empirical Investigation of Continuous-Time Equity Return Models 0 0 0 497 1 10 27 1,300
Analytic Evaluation of Volatility Forecasts 0 0 0 815 0 3 5 1,885
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 1 3 1,581 0 7 13 3,587
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 1 2 2 106 18 47 59 410
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 119 1 7 9 454
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 1 1 2 152 1 11 16 524
Consistent Inference for Predictive Regressions in Persistent Economic Systems 0 0 0 28 0 10 11 40
Consistent Inference for Predictive Regressions in Persistent VAR Economies 0 0 0 56 1 5 12 252
Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions 0 0 0 18 3 4 5 30
Construction and Interpretation of Model-Free Implied Volatility 0 0 2 278 1 13 24 969
Construction and Interpretation of Model-Free Implied Volatility 0 0 1 120 0 7 11 355
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 0 0 8 8 9
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 1 1 6 302
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 0 7 16 942
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 171 0 8 9 500
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 421 0 8 12 963
Cross-Sectional Dispersion of Risk in Trading Time 0 0 0 8 4 9 12 41
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 1 1 2 554 2 8 19 1,963
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 32 0 6 10 227
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models 0 0 0 34 0 10 12 282
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models 0 0 0 70 1 4 8 397
Duration-Based Volatility Estimation 0 3 5 299 1 14 20 697
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 499 3 12 21 1,085
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 0 4 7 1,120
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 1 10 11 851
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 1 7 17 1,621
Financial Risk Measurement for Financial Risk Management 0 0 3 182 3 16 33 571
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 8 17 569
Financial Risk Measurement for Financial Risk Management 0 0 0 207 1 23 32 615
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 7 17 1,319
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 1 549 1 9 19 1,683
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 1 1 1 7 1 6 10 76
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 1 1 4 41 8 66 107 263
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 1 1 4 57 14 34 59 242
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 1 75 0 7 14 360
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 77 5 14 18 308
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 63 2 9 13 349
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 479 1 13 23 2,282
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 3 291 2 5 12 1,046
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 2 356 2 10 15 1,277
Modeling and Forecasting Realized Volatility 2 2 7 999 6 16 35 2,205
Modeling and Forecasting Realized Volatility 0 0 1 1,262 10 35 59 3,047
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 1 7 13 696
Option Panels in Pure-Jump Settings 0 0 0 24 2 6 8 79
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 0 6 9 159
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 30 0 7 9 210
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 7 1 4 5 71
Parametric and Nonparametric Volatility Measurement 0 0 0 830 3 11 13 2,123
Parametric and Nonparametric Volatility Measurement 0 0 0 692 1 5 10 1,615
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 421 1 8 14 911
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 6 11 17 1,207
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 0 6 18 869
Real-Time Detection of Local No-Arbitrage Violations 0 0 1 13 1 4 16 37
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 2 6 12 519
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 0 6 13 686
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 2 11 14 815
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 2 7 12 1,013
Real-time price discovery in stock, bond and foreign exchange markets 0 0 1 144 2 8 12 568
Realized Beta: Persistence and Predictability 0 0 0 516 4 9 17 932
Realized Volatility and Multipower Variation 0 0 1 116 0 2 6 280
Realized beta: Persistence and predictability 0 0 2 221 4 11 19 655
Realized volatility 1 1 2 328 3 13 37 1,220
Reflecting on the VPIN Dispute 0 0 0 53 3 9 13 145
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 4 171 2 8 19 577
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 2 356 2 9 17 1,002
Short-Term Market Risks Implied by Weekly Options 0 0 0 33 2 3 8 143
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 5 12 1,034
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 11 20 549
Stochastic Volatility 0 0 0 213 3 5 15 312
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 1 6 14 1,390
Stochastic Volatility: Origins and Overview 0 0 1 112 0 7 14 238
Stochastic Volatility: Origins and Overview 0 0 1 342 2 9 14 707
Stochastic Volatility: Origins and Overview 0 0 1 248 0 5 12 324
Stochastic volatility 0 0 0 163 1 3 9 363
Tails of Cross-Sectional Return Distributions at High Frequencies 1 1 16 16 8 33 76 76
Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions 0 0 0 18 2 8 11 41
The Distribution of Exchange Rate Volatility 0 0 1 531 0 6 11 1,324
The Distribution of Exchange Rate Volatility 0 0 1 552 1 8 14 1,457
The Distribution of Exchange Rate Volatility 0 0 0 323 1 6 16 876
The Distribution of Stock Return Volatility 0 0 0 839 0 5 12 2,248
The Distribution of Stock Return Volatility 0 0 0 906 1 6 11 2,411
The Factor Structure of Jump Risk 1 3 22 22 7 19 23 23
The Fine Structure of Equity-Index Option Dynamics 0 0 0 45 0 5 5 119
The Pricing of Short-Term market Risk: Evidence from Weekly Options 0 0 0 45 1 10 13 162
The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets 0 0 1 54 3 6 13 191
The Risk Premia Embedded in Index Options 0 0 0 109 3 10 21 274
The Risk Premia Embedded in Index Options 0 0 3 38 2 8 21 190
Time-Varying Periodicity in Intraday Volatility 0 0 1 46 1 7 15 106
Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span 0 0 0 37 1 7 11 133
VPIN and the Flash Crash 0 0 1 132 11 24 29 461
Volatility Forecasting 0 0 1 562 5 16 23 1,023
Volatility Forecasting 0 0 0 950 3 10 24 1,296
Volatility forecasting 0 1 2 339 4 20 22 755
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 2 3 68 6 18 27 139
Total Working Papers 12 22 121 27,371 219 1,030 1,795 76,191

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* 1 1 1 7 3 9 10 24
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 0 11 16 503
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 0 0 14 0 2 4 86
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 1 2 2 100 2 9 15 397
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 0 360 2 7 10 1,009
An Empirical Investigation of Continuous‐Time Equity Return Models 0 0 2 111 4 63 77 460
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor 0 0 1 10 0 5 8 28
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 8 56 145 4,947
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 0 0 19 6 18 22 162
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 2 117
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS 0 0 0 1 0 2 3 4
Comment 0 0 0 29 1 2 3 148
Consistent inference for predictive regressions in persistent economic systems 0 0 0 3 1 5 9 27
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 1 170 0 27 35 612
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 0 231 1 4 5 683
Discussion 0 0 0 13 0 2 3 92
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 1 52 3 11 16 358
Editor Report 2005 0 0 0 8 1 4 4 91
Editor's Report 2004 0 0 0 2 4 8 10 58
Editorial Announcement 0 0 0 55 1 1 2 188
Editors' Report 2006 0 0 0 3 1 5 7 60
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 0 0 0 363 2 24 36 822
Estimating continuous-time stochastic volatility models of the short-term interest rate 0 0 5 789 0 9 27 1,593
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 18 1 16 29 160
Exploring Return Dynamics via Corridor Implied Volatility 0 0 1 15 2 5 12 97
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 1 1 8 564 1 12 26 1,411
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 6 17 1,299
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 0 3 74 0 8 18 269
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 2 198 0 21 47 700
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS 0 0 0 1 2 6 7 18
Intraday Periodic Volatility Curves 0 3 7 11 0 11 19 27
Intraday and interday volatility in the Japanese stock market 0 0 2 229 0 6 12 915
Intraday cross-sectional distributions of systematic risk 0 0 3 4 4 9 17 26
Intraday periodicity and volatility persistence in financial markets 0 1 10 1,297 2 24 79 2,673
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 134 3 15 33 589
Local mispricing and microstructural noise: A parametric perspective 0 1 4 7 4 14 25 37
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 5 5 23 605 15 43 129 2,042
Modeling and Forecasting Realized Volatility 0 0 0 1,158 10 52 117 3,757
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 2 143 0 7 14 523
On-line detection of changes in the shape of intraday volatility curves 0 0 0 0 2 13 13 13
Parametric Inference and Dynamic State Recovery From Option Panels 0 0 1 9 0 4 7 140
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 5 360 5 20 53 1,259
Realized volatility forecasting and market microstructure noise 0 0 3 142 1 7 17 547
Real‐time detection of local no‐arbitrage violations 0 0 0 0 1 4 11 11
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk 0 0 0 1 6 10 14 41
Reflecting on the VPIN dispute 0 1 1 23 3 25 34 150
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 0 1 3 761 1 15 33 1,790
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 1 4 15 695 6 24 66 1,929
SIMULATION-BASED ECONOMETRIC METHODS 0 0 1 68 0 4 11 195
Short-Term Market Risks Implied by Weekly Options 0 0 0 16 2 11 19 124
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 2 10 19 749
Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction 0 0 0 0 0 1 2 2
THE ECONOMETRICS OF FINANCIAL MARKETS 0 0 0 61 0 4 4 257
Tail risk and return predictability for the Japanese equity market 0 0 2 16 1 7 31 78
Testing for parameter instability and structural change in persistent predictive regressions 0 0 3 6 8 12 20 31
Testing mean stationarity of intraday volatility curves 0 0 0 0 1 17 27 27
The Distribution of Realized Exchange Rate Volatility 0 1 5 214 2 15 37 700
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets 0 1 2 21 0 5 21 91
The distribution of realized stock return volatility 0 1 9 867 3 12 44 2,252
The fine structure of equity-index option dynamics 0 0 0 19 1 4 12 125
The risk premia embedded in index options 0 2 11 169 3 16 49 557
Time-Varying Periodicity in Intraday Volatility 0 0 0 4 2 12 17 37
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 1 4 6 14
Unified inference for nonlinear factor models from panels with fixed and large time span 0 0 0 8 0 6 11 117
VIX maturity interpolation 0 0 1 1 3 8 15 15
VPIN and the flash crash 1 2 3 76 13 33 40 507
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 0 0 2 169 1 5 13 659
Volatility measurement with pockets of extreme return persistence 0 0 0 0 0 8 13 23
Total Journal Articles 10 28 146 10,614 152 856 1,729 39,452

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 3 62 2 32 47 378
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 1 251 1 10 13 777
Realized Beta: Persistence and Predictability 1 1 8 11 1 6 31 44
Stochastic Volatility: Origins and Overview 0 0 0 0 0 3 3 3
Volatility and Correlation Forecasting 2 2 7 683 10 45 73 2,412
Total Chapters 4 6 19 1,007 14 96 167 3,614

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