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 1 3 963 2 7 15 1,699
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 205 1 7 17 509
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 1 3 11 406
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 55 0 2 8 126
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 18 0 1 6 87
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 1 1 2 153 12 27 37 496
A framework for exploring the macroeconomic determinants of systematic risk 1 1 1 182 2 6 11 447
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 0 46 0 1 8 83
An Empirical Investigation of Continuous-Time Equity Return Models 0 1 4 492 4 10 29 1,168
Analytic Evaluation of Volatility Forecasts 0 1 2 812 1 5 14 1,824
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 3 1,568 0 3 16 3,422
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 1 1 88 1 6 21 259
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 111 0 3 9 419
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 0 1 7 118 3 5 32 400
Consistent Inference for Predictive Regressions in Persistent VAR Economies 0 0 3 52 0 2 23 178
Construction and Interpretation of Model-Free Implied Volatility 0 0 6 267 4 10 26 852
Construction and Interpretation of Model-Free Implied Volatility 0 1 4 115 4 7 20 284
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 1 61 1 5 14 250
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 1 3 370 1 7 23 876
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 170 0 2 12 444
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 419 0 2 12 931
Cross-Sectional Dispersion of Risk in Trading Time 0 1 6 6 0 2 8 8
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 3 549 1 6 24 1,799
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 32 0 4 18 175
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models 0 0 0 34 2 6 19 239
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models 0 0 2 68 0 2 16 339
Duration-Based Volatility Estimation 5 5 8 257 7 9 25 563
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 2 493 2 5 22 930
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 1 303 2 5 15 1,057
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 0 2 9 773
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 2 488 2 5 15 1,578
Financial Risk Measurement for Financial Risk Management 0 0 4 171 3 6 37 432
Financial Risk Measurement for Financial Risk Management 1 2 7 231 4 12 50 441
Financial Risk Measurement for Financial Risk Management 0 1 2 191 2 8 24 510
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 2 7 19 1,204
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 543 0 2 14 1,578
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 5 5 1 6 25 25
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 3 33 2 11 32 93
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 4 75 0 3 11 230
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 2 72 0 5 14 234
Jump-robust volatility estimation using nearest neighbor truncation 0 0 3 61 4 6 21 232
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 474 1 10 34 2,080
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 4 286 3 14 31 921
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 1 3 352 1 12 33 1,172
Modeling and Forecasting Realized Volatility 0 0 1 986 2 6 27 2,124
Modeling and Forecasting Realized Volatility 0 0 2 1,242 2 8 27 2,887
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 2 229 2 9 19 604
Option Panels in Pure-Jump Settings 0 0 3 23 0 2 17 57
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 0 3 6 104
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 6 1 4 10 53
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 4 27 1 3 12 116
Parametric and Nonparametric Volatility Measurement 0 0 2 688 3 6 26 1,558
Parametric and Nonparametric Volatility Measurement 0 3 8 813 0 5 17 2,001
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 564 3 5 23 1,153
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 416 2 5 14 847
Practical volatility and correlation modeling for financial market risk management 0 0 1 393 5 10 22 789
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 1 1 145 0 6 25 418
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 217 0 3 14 654
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 179 0 1 8 778
Real-time price discovery in global stock, bond and foreign exchange markets 1 1 2 270 5 16 28 863
Real-time price discovery in stock, bond and foreign exchange markets 0 0 2 143 0 1 15 532
Realized Beta: Persistence and Predictability 0 0 6 504 1 5 28 873
Realized Volatility and Multipower Variation 0 0 2 113 2 4 20 260
Realized beta: Persistence and predictability 0 2 5 211 2 11 37 537
Realized volatility 2 7 25 292 7 20 75 910
Reflecting on the VPIN Dispute 0 0 1 49 0 2 10 113
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 4 158 0 5 27 493
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 1 351 4 10 25 871
Short-Term Market Risks Implied by Weekly Options 0 0 7 22 1 9 33 69
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 1 159 1 3 10 490
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 4 349 1 3 19 969
Stochastic Volatility 0 0 1 204 1 4 15 268
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 1 5 21 1,333
Stochastic Volatility: Origins and Overview 0 0 1 108 0 2 10 170
Stochastic Volatility: Origins and Overview 0 1 1 246 1 5 16 283
Stochastic Volatility: Origins and Overview 0 0 1 339 1 4 14 676
Stochastic volatility 0 0 2 155 1 3 16 300
The Distribution of Exchange Rate Volatility 0 0 2 520 3 5 16 1,200
The Distribution of Exchange Rate Volatility 0 0 3 542 2 5 17 1,365
The Distribution of Exchange Rate Volatility 0 2 3 321 2 6 17 840
The Distribution of Stock Return Volatility 0 1 5 836 0 3 12 2,211
The Distribution of Stock Return Volatility 0 1 2 902 3 18 43 2,239
The Fine Structure of Equity-Index Option Dynamics 1 1 2 44 1 3 12 83
The Pricing of Short-Term market Risk: Evidence from Weekly Options 0 0 1 42 2 7 11 107
The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets 0 0 10 45 3 9 34 105
The Risk Premia Embedded in Index Options 0 1 4 20 2 10 22 38
The Risk Premia Embedded in Index Options 0 0 1 106 1 5 13 141
Time-Varying Periodicity in Intraday Volatility 0 1 5 36 0 5 22 57
Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span 0 0 3 36 0 2 19 57
VPIN and the Flash Crash 0 1 4 121 3 9 33 378
Volatility Forecasting 0 0 0 533 1 5 18 855
Volatility Forecasting 1 1 3 942 5 10 31 1,212
Volatility forecasting 0 0 0 328 2 7 26 624
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 0 5 48 0 2 19 58
Total Working Papers 13 45 248 26,545 156 568 1,931 67,496
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 Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 104 2 7 19 425
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 0 0 13 2 3 8 75
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 1 1 2 84 5 8 25 288
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 5 358 2 4 16 954
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 19 67 188 4,193
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 0 1 12 3 7 14 57
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 5 109
Comment 0 0 0 26 0 1 6 136
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 4 166 2 6 24 528
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 1 2 224 1 3 12 649
Discussion 0 0 0 13 0 1 5 88
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 48 2 5 17 299
Editor Report 2005 0 0 0 7 0 1 5 82
Editor's Report 2004 0 0 0 2 0 1 5 45
Editorial Announcement 0 0 0 55 0 1 5 181
Editors' Report 2006 0 0 0 2 1 2 7 46
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 0 0 0 354 0 1 9 739
Estimating continuous-time stochastic volatility models of the short-term interest rate 2 5 10 751 5 12 39 1,434
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 12 6 9 21 75
Exploring Return Dynamics via Corridor Implied Volatility 1 2 3 5 3 5 19 53
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 0 3 20 514 0 11 57 1,243
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 1 2 31 1,126
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 0 0 68 0 3 8 233
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 1 3 190 0 5 22 592
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS 0 0 1 1 0 1 5 5
Intraday and interday volatility in the Japanese stock market 0 0 8 211 1 3 22 819
Intraday periodicity and volatility persistence in financial markets 1 5 45 1,175 8 27 120 2,245
Jump-robust volatility estimation using nearest neighbor truncation 1 2 13 106 3 12 46 396
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 16 550 8 23 106 1,732
Modeling and Forecasting Realized Volatility 0 3 16 1,156 9 30 103 3,362
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 2 2 4 109 2 8 18 378
Parametric Inference and Dynamic State Recovery From Option Panels 0 0 0 5 0 3 15 52
Real-time price discovery in global stock, bond and foreign exchange markets 0 2 6 341 2 17 50 1,057
Realized volatility forecasting and market microstructure noise 1 1 4 112 4 7 24 374
Reflecting on the VPIN dispute 0 2 5 20 0 5 15 91
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 2 4 33 712 5 16 87 1,625
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 0 1 12 612 9 19 70 1,550
SIMULATION-BASED ECONOMETRIC METHODS 0 0 0 62 1 3 9 164
Short-Term Market Risks Implied by Weekly Options 0 0 3 6 4 8 32 61
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 0 1 13 706
THE ECONOMETRICS OF FINANCIAL MARKETS 0 0 1 52 1 2 9 213
The Distribution of Realized Exchange Rate Volatility 2 3 8 195 5 15 46 589
The distribution of realized stock return volatility 4 7 23 790 13 28 83 1,865
The fine structure of equity-index option dynamics 0 0 2 14 1 3 21 79
The risk premia embedded in index options 0 3 13 81 8 24 61 247
Time-Varying Periodicity in Intraday Volatility 0 0 0 0 0 1 1 1
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 0 1 2 4
Unified inference for nonlinear factor models from panels with fixed and large time span 0 0 1 1 4 7 18 18
VPIN and the flash crash 0 1 12 48 6 28 73 282
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 0 0 1 161 1 4 9 627
Total Journal Articles 17 50 277 9,532 149 462 1,625 32,192


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 9 42 5 16 53 157
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 8 243 3 7 32 694
Volatility and Correlation Forecasting 5 12 40 581 17 43 127 2,006
Total Chapters 5 14 57 866 25 66 212 2,857


Statistics updated 2020-07-04