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 2 14 1,833
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 1 1 11 589
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 0 1 15 501
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 20 0 0 8 118
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 57 0 0 7 155
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 1 156 0 2 21 591
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 2 14 114
An Empirical Investigation of Continuous-Time Equity Return Models 0 0 0 497 1 2 31 1,304
Analytic Evaluation of Volatility Forecasts 0 0 0 815 1 2 13 1,894
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 2 1,581 0 2 15 3,593
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 0 3 107 7 59 156 509
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 119 1 2 11 456
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 0 0 2 153 0 3 23 535
Consistent Inference for Predictive Regressions in Persistent Economic Systems 0 0 0 28 0 1 14 44
Consistent Inference for Predictive Regressions in Persistent VAR Economies 0 0 0 56 0 0 12 252
Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions 0 0 0 18 0 1 9 34
Construction and Interpretation of Model-Free Implied Volatility 0 0 1 120 0 1 15 359
Construction and Interpretation of Model-Free Implied Volatility 0 0 1 278 1 4 35 982
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 1 1 7 305
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 0 0 0 11 12
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 1 4 23 951
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 421 0 2 16 968
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 171 1 2 11 502
Cross-Sectional Dispersion of Risk in Trading Time 0 0 0 8 0 2 24 53
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 2 554 1 2 28 1,974
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 32 1 3 14 231
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models 0 0 0 34 0 1 16 286
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 10 400
Duration-Based Volatility Estimation 1 1 5 300 1 4 26 707
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 499 0 1 23 1,089
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 1 1 304 0 4 20 1,134
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 2 5 28 1,633
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 1 3 22 862
Financial Risk Measurement for Financial Risk Management 0 0 0 207 0 1 38 623
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 0 19 571
Financial Risk Measurement for Financial Risk Management 0 0 2 183 0 2 43 586
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 2 22 1,324
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 549 0 2 21 1,689
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 2 58 2 11 62 259
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 1 7 0 5 22 89
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 3 8 46 1 23 144 321
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 75 1 2 16 364
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 1 78 1 2 21 313
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 63 0 2 25 362
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 291 4 5 24 1,060
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 2 480 0 4 38 2,300
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 1 1 357 0 5 27 1,293
Modeling and Forecasting Realized Volatility 0 0 4 999 0 3 47 2,226
Modeling and Forecasting Realized Volatility 0 2 3 1,264 2 9 72 3,068
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 2 18 702
Option Panels in Pure-Jump Settings 0 0 0 24 0 0 8 79
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 30 0 4 17 218
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 0 0 11 163
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 7 0 0 11 77
Parametric and Nonparametric Volatility Measurement 0 0 0 830 0 3 23 2,134
Parametric and Nonparametric Volatility Measurement 0 0 0 692 0 5 20 1,625
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 0 2 28 926
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 3 31 1,221
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 0 2 18 872
Real-Time Detection of Local No-Arbitrage Violations 0 0 0 13 0 0 9 37
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 1 1 150 2 5 18 526
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 1 3 15 692
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 0 2 19 820
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 0 3 17 1,020
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 144 0 0 12 571
Realized Beta: Persistence and Predictability 0 0 0 516 2 3 24 943
Realized Volatility and Multipower Variation 0 0 0 116 0 1 10 286
Realized beta: Persistence and predictability 0 0 1 222 0 2 23 662
Realized volatility 0 0 4 331 1 6 45 1,239
Reflecting on the VPIN Dispute 0 0 0 53 5 20 42 174
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 1 1 3 172 3 7 34 595
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 0 356 8 34 52 1,043
Short-Term Market Risks Implied by Weekly Options 2 2 2 35 4 8 21 157
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 0 1 21 553
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 1 15 1,038
Stochastic Volatility 0 1 1 214 1 3 20 318
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 1 1 17 1,395
Stochastic Volatility: Origins and Overview 0 0 1 112 0 1 16 242
Stochastic Volatility: Origins and Overview 0 0 1 342 0 1 21 714
Stochastic Volatility: Origins and Overview 0 0 1 248 0 0 12 326
Stochastic volatility 0 0 0 163 0 2 11 368
Tails of Cross-Sectional Return Distributions at High Frequencies 0 1 5 17 3 8 69 102
Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions 0 0 0 18 0 1 11 43
The Distribution of Exchange Rate Volatility 0 0 0 552 0 2 18 1,463
The Distribution of Exchange Rate Volatility 0 0 0 323 1 1 16 881
The Distribution of Exchange Rate Volatility 0 0 0 531 1 4 12 1,328
The Distribution of Stock Return Volatility 0 0 0 839 0 2 16 2,254
The Distribution of Stock Return Volatility 0 0 0 906 2 6 22 2,423
The Factor Structure of Jump Risk 0 0 3 22 0 1 33 36
The Fine Structure of Equity-Index Option Dynamics 0 0 0 45 1 2 8 122
The Pricing of Short-Term market Risk: Evidence from Weekly Options 0 0 0 45 2 2 20 170
The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets 0 1 1 55 0 2 11 193
The Risk Premia Embedded in Index Options 0 0 0 109 0 1 25 280
The Risk Premia Embedded in Index Options 0 0 3 39 0 1 23 196
Time-Varying Periodicity in Intraday Volatility 0 2 2 48 0 2 18 112
Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span 0 0 0 37 0 1 14 137
VPIN and the Flash Crash 1 2 3 134 14 31 78 511
Volatility Forecasting 0 0 1 951 0 2 34 1,308
Volatility Forecasting 0 0 1 562 1 1 33 1,034
Volatility forecasting 0 0 1 339 1 4 27 762
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 0 2 68 1 3 36 150
Total Working Papers 5 20 83 27,404 88 399 2,536 77,198

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 2 3 9 2 54 67 82
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 1 5 21 509
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 0 0 14 2 2 10 93
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 2 100 1 1 28 412
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 0 360 0 1 14 1,013
An Empirical Investigation of Continuous‐Time Equity Return Models 0 0 0 111 0 4 85 472
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor 0 0 0 10 0 2 8 31
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 15 55 197 5,029
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 0 2 21 5 26 60 202
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 3 118
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS 0 0 0 1 0 1 4 5
Comment 0 0 0 29 1 1 5 151
Consistent inference for predictive regressions in persistent economic systems 0 1 1 4 0 1 14 32
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 0 170 0 2 41 619
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 0 231 0 1 8 687
Discussion 0 0 0 13 0 0 5 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 21 363
Editor Report 2005 0 0 0 8 2 3 9 96
Editor's Report 2004 0 0 0 2 1 2 14 62
Editorial Announcement 0 0 0 55 0 1 6 192
Editors' Report 2006 0 0 0 3 0 0 8 61
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 0 0 0 363 2 2 39 826
Estimating continuous-time stochastic volatility models of the short-term interest rate 2 2 4 792 2 2 24 1,598
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 18 0 3 30 168
Exploring Return Dynamics via Corridor Implied Volatility 0 0 3 17 1 2 17 105
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 0 0 4 564 1 2 26 1,418
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 1 3 21 1,307
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 0 3 74 0 0 15 271
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 198 2 4 48 709
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS 0 0 0 1 0 0 7 19
Intraday Periodic Volatility Curves 0 3 11 17 9 23 51 61
Intraday and interday volatility in the Japanese stock market 0 0 2 229 1 2 17 921
Intraday cross-sectional distributions of systematic risk 0 0 0 4 0 1 16 30
Intraday periodicity and volatility persistence in financial markets 1 2 5 1,300 13 28 107 2,720
Jump-robust volatility estimation using nearest neighbor truncation 0 0 1 135 2 5 40 598
Local mispricing and microstructural noise: A parametric perspective 0 0 1 7 2 3 27 44
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 4 25 614 6 20 148 2,091
Modeling and Forecasting Realized Volatility 0 0 0 1,158 12 59 206 3,860
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 2 145 1 4 17 530
On-line detection of changes in the shape of intraday volatility curves 1 1 1 1 4 10 28 28
Parametric Inference and Dynamic State Recovery From Option Panels 0 0 1 10 0 0 10 144
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 4 362 2 17 57 1,281
Realized volatility forecasting and market microstructure noise 0 0 2 143 3 6 33 567
Real‐time detection of local no‐arbitrage violations 0 0 0 0 1 1 16 16
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk 0 0 1 2 0 4 28 57
Reflecting on the VPIN dispute 0 0 2 24 8 42 98 215
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 1 1 2 762 1 4 33 1,798
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 3 8 22 709 11 35 117 1,997
SIMULATION-BASED ECONOMETRIC METHODS 1 1 1 69 1 2 11 198
Short-Term Market Risks Implied by Weekly Options 2 3 3 19 6 9 32 139
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 1 1 17 750
Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction 0 0 1 1 1 1 8 8
THE ECONOMETRICS OF FINANCIAL MARKETS 0 0 0 61 0 0 7 260
Tail risk and return predictability for the Japanese equity market 0 2 2 18 5 10 32 96
Testing for parameter instability and structural change in persistent predictive regressions 0 0 1 6 0 1 21 36
Testing mean stationarity of intraday volatility curves 0 0 0 0 1 5 37 37
The Distribution of Realized Exchange Rate Volatility 1 1 4 215 5 8 51 721
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets 0 1 3 22 0 5 23 102
The distribution of realized stock return volatility 0 4 9 872 0 17 58 2,278
The fine structure of equity-index option dynamics 0 0 0 19 0 1 11 126
The risk premia embedded in index options 0 1 10 172 3 6 54 573
Time-Varying Periodicity in Intraday Volatility 0 1 1 5 0 6 24 46
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 0 0 6 14
Unified inference for nonlinear factor models from panels with fixed and large time span 0 0 0 8 1 1 15 121
VIX maturity interpolation 0 0 0 1 1 2 24 25
VPIN and the flash crash 0 2 4 78 42 85 141 612
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 0 1 2 171 1 3 15 664
Volatility measurement with pockets of extreme return persistence 0 0 0 0 0 3 19 29
Total Journal Articles 14 43 146 10,689 184 614 2,510 40,538

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 2 62 0 2 58 396
Practical Volatility and Correlation Modeling for Financial Market Risk Management 1 1 2 252 1 3 26 791
Realized Beta: Persistence and Predictability 0 2 4 14 3 8 27 58
Stochastic Volatility: Origins and Overview 0 0 0 0 0 1 7 7
Volatility and Correlation Forecasting 1 5 12 691 3 16 91 2,443
Total Chapters 2 8 20 1,019 7 30 209 3,695

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Statistics updated 2026-08-07