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 0 2 7 1,821
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 3 3 8 582
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 3 6 11 492
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 57 0 0 1 148
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 20 0 4 8 114
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 0 155 3 3 4 574
A framework for exploring the macroeconomic determinants of systematic risk 0 0 1 184 4 4 6 534
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 1 51 1 2 5 102
An Empirical Investigation of Continuous-Time Equity Return Models 0 0 0 497 11 16 18 1,290
Analytic Evaluation of Volatility Forecasts 0 0 0 815 0 1 2 1,882
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 2 1,580 0 0 7 3,580
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 0 1 104 6 9 13 363
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 119 1 1 3 447
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 0 0 1 151 0 1 6 513
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 4 6 9 247
Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions 0 0 0 18 0 1 1 26
Construction and Interpretation of Model-Free Implied Volatility 0 1 1 120 1 4 4 348
Construction and Interpretation of Model-Free Implied Volatility 0 0 2 278 4 7 13 956
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 1 1 5 301
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 5 6 11 935
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 421 2 3 5 955
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 171 1 1 2 492
Cross-Sectional Dispersion of Risk in Trading Time 0 0 0 8 2 3 3 32
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 1 1 1 553 8 8 11 1,955
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 32 4 4 5 221
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models 0 0 0 34 0 2 2 272
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models 0 0 0 70 1 3 4 393
Duration-Based Volatility Estimation 1 1 3 296 2 2 9 683
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 499 5 6 9 1,073
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 1 2 3 1,116
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 4 7 10 1,614
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 1 1 1 841
Financial Risk Measurement for Financial Risk Management 0 0 1 207 4 7 10 592
Financial Risk Measurement for Financial Risk Management 0 0 0 247 6 8 12 561
Financial Risk Measurement for Financial Risk Management 0 1 4 182 7 11 24 555
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 2 9 11 1,312
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 1 549 3 6 10 1,674
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 1 2 3 40 6 13 43 197
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 3 56 6 10 27 208
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 0 6 1 3 4 70
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 77 1 2 5 294
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 1 75 3 4 7 353
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 63 2 3 5 340
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 2 4 291 2 5 8 1,041
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 1 479 4 7 11 2,269
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 2 356 1 1 6 1,267
Modeling and Forecasting Realized Volatility 1 1 2 1,262 11 16 31 3,012
Modeling and Forecasting Realized Volatility 2 2 5 997 6 9 21 2,189
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 2 4 7 689
Option Panels in Pure-Jump Settings 0 0 0 24 1 2 2 73
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 1 1 4 153
Parametric Inference and Dynamic State Recovery from Option Panels 0 1 1 30 0 2 2 203
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 7 1 1 3 67
Parametric and Nonparametric Volatility Measurement 0 0 0 692 2 5 7 1,610
Parametric and Nonparametric Volatility Measurement 0 0 3 830 0 1 6 2,112
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 3 6 6 1,196
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 421 3 5 9 903
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 3 9 14 863
Real-Time Detection of Local No-Arbitrage Violations 0 0 1 13 3 5 15 33
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 3 5 6 513
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 1 2 9 680
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 0 2 3 804
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 2 279 1 3 7 1,006
Real-time price discovery in stock, bond and foreign exchange markets 0 0 1 144 1 1 4 560
Realized Beta: Persistence and Predictability 0 0 0 516 1 4 10 923
Realized Volatility and Multipower Variation 0 0 1 116 0 1 5 278
Realized beta: Persistence and predictability 0 0 2 221 3 5 9 644
Realized volatility 0 0 1 327 2 10 26 1,207
Reflecting on the VPIN Dispute 0 0 0 53 1 4 4 136
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 2 4 171 1 7 18 569
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 2 356 2 2 9 993
Short-Term Market Risks Implied by Weekly Options 0 0 0 33 1 2 6 140
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 3 4 10 538
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 5 8 1,029
Stochastic Volatility 0 0 0 213 7 8 12 307
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 0 6 11 1,384
Stochastic Volatility: Origins and Overview 0 1 1 342 4 5 5 698
Stochastic Volatility: Origins and Overview 0 1 1 248 2 4 8 319
Stochastic Volatility: Origins and Overview 0 1 1 112 1 4 7 231
Stochastic volatility 0 0 0 163 1 2 9 360
Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions 0 0 0 18 1 1 3 33
The Distribution of Exchange Rate Volatility 0 0 1 323 1 3 12 870
The Distribution of Exchange Rate Volatility 0 0 1 531 0 2 5 1,318
The Distribution of Exchange Rate Volatility 0 0 1 552 3 4 8 1,449
The Distribution of Stock Return Volatility 0 0 0 839 2 5 8 2,243
The Distribution of Stock Return Volatility 0 0 0 906 4 4 6 2,405
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 1 1 4 152
The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets 0 0 1 54 2 3 10 185
The Risk Premia Embedded in Index Options 0 2 3 38 2 8 13 182
The Risk Premia Embedded in Index Options 0 0 0 109 6 9 11 264
Time-Varying Periodicity in Intraday Volatility 0 0 1 46 4 5 9 99
Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span 0 0 0 37 3 3 5 126
VPIN and the Flash Crash 0 1 1 132 1 4 5 437
Volatility Forecasting 0 0 0 950 7 9 15 1,286
Volatility Forecasting 1 1 1 562 5 6 8 1,007
Volatility forecasting 0 0 1 338 0 0 3 735
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 0 1 66 3 6 10 121
Total Working Papers 8 23 81 27,315 245 433 840 75,113
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 0 6 0 0 2 15
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 0 1 5 492
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 0 0 14 1 1 2 84
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 0 98 4 4 9 388
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 0 360 0 2 5 1,002
An Empirical Investigation of Continuous‐Time Equity Return Models 0 0 2 111 6 10 16 397
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 35 53 107 4,891
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 0 0 19 1 2 4 144
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 1 1 1 116
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS 0 0 0 1 1 1 1 2
Comment 0 0 0 29 0 0 2 146
Consistent inference for predictive regressions in persistent economic systems 0 0 0 3 2 2 4 22
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 1 170 5 6 10 585
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 0 231 0 0 1 679
Discussion 0 0 0 13 0 0 1 90
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 1 1 52 4 5 5 347
Editor Report 2005 0 0 0 8 0 0 0 87
Editor's Report 2004 0 0 0 2 2 2 2 50
Editorial Announcement 0 0 0 55 0 1 1 187
Editors' Report 2006 0 0 0 3 2 2 3 55
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 0 0 0 363 8 10 12 798
Estimating continuous-time stochastic volatility models of the short-term interest rate 1 1 7 789 7 9 23 1,584
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 18 5 6 17 144
Exploring Return Dynamics via Corridor Implied Volatility 0 0 1 15 1 3 8 92
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 1 3 8 563 1 4 16 1,399
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 5 7 15 1,293
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 0 3 74 1 1 11 261
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 2 198 13 18 26 679
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS 0 0 0 1 0 0 2 12
Intraday Periodic Volatility Curves 1 2 5 8 2 6 11 16
Intraday and interday volatility in the Japanese stock market 0 2 3 229 1 3 9 909
Intraday cross-sectional distributions of systematic risk 0 0 3 4 2 2 11 17
Intraday periodicity and volatility persistence in financial markets 0 0 12 1,296 18 28 60 2,649
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 134 7 15 20 574
Local mispricing and microstructural noise: A parametric perspective 0 0 3 6 3 6 12 23
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 4 9 18 600 26 49 95 1,999
Modeling and Forecasting Realized Volatility 0 0 0 1,158 25 47 72 3,705
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 3 143 0 3 8 516
Parametric Inference and Dynamic State Recovery From Option Panels 0 0 1 9 1 2 3 136
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 4 359 6 13 37 1,239
Realized volatility forecasting and market microstructure noise 0 1 4 142 1 6 11 540
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk 0 0 0 1 1 2 6 31
Reflecting on the VPIN dispute 0 0 0 22 5 8 10 125
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 0 0 5 760 7 10 22 1,775
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 1 3 14 691 9 21 51 1,905
SIMULATION-BASED ECONOMETRIC METHODS 0 0 1 68 2 4 7 191
Short-Term Market Risks Implied by Weekly Options 0 0 0 16 1 2 9 113
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 2 6 9 739
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 3 16 4 6 27 71
Testing for parameter instability and structural change in persistent predictive regressions 1 1 4 6 2 3 9 19
The Distribution of Realized Exchange Rate Volatility 1 2 5 213 10 14 25 685
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets 0 1 2 20 2 6 19 86
The distribution of realized stock return volatility 2 3 9 866 14 17 41 2,240
The fine structure of equity-index option dynamics 0 0 0 19 5 5 10 121
The risk premia embedded in index options 2 3 10 167 9 17 34 541
Time-Varying Periodicity in Intraday Volatility 0 0 0 4 0 3 6 25
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 1 2 3 10
Unified inference for nonlinear factor models from panels with fixed and large time span 0 0 0 8 3 4 7 111
VPIN and the flash crash 0 0 1 74 0 3 7 474
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 0 0 2 169 2 2 8 654
Volatility measurement with pockets of extreme return persistence 0 0 0 0 4 5 7 15
Total Journal Articles 14 33 141 10,585 280 471 985 38,571

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 1 60 5 5 18 346
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 250 2 2 3 767
Realized Beta: Persistence and Predictability 0 0 7 10 1 6 27 38
Volatility and Correlation Forecasting 1 2 7 681 7 12 37 2,367
Total Chapters 1 2 15 1,001 15 25 85 3,518

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