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 2 973 0 2 8 1,819
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 0 1 5 486
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 1 2 5 579
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 0 4 110
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 0 155 1 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 5 100
An Empirical Investigation of Continuous-Time Equity Return Models 0 0 0 497 1 1 2 1,274
Analytic Evaluation of Volatility Forecasts 0 0 0 815 0 0 3 1,881
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 1 1 2 1,580 2 4 9 3,580
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 0 1 104 1 3 6 354
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 119 1 1 2 446
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 0 0 3 151 0 0 10 512
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 1 1 4 241
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 0 0 119 0 0 1 344
Construction and Interpretation of Model-Free Implied Volatility 1 1 2 278 2 2 8 949
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 2 3 4 300
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 1 2 6 929
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 0 1 2 952
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 1 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 1 270
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 2 390
Duration-Based Volatility Estimation 0 1 4 295 0 1 9 681
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 499 1 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 0 304 0 0 0 840
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 495 2 3 5 1,607
Financial Risk Measurement for Financial Risk Management 0 0 1 207 0 0 4 585
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 1 5 553
Financial Risk Measurement for Financial Risk Management 0 0 3 181 1 3 14 544
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 1 1 2 1,303
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 1 549 0 2 5 1,668
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 0 6 0 0 2 67
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 1 1 38 7 23 33 184
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 3 5 56 1 11 24 198
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 77 0 0 4 292
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 1 1 75 1 2 3 349
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 63 0 1 3 337
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 478 0 0 5 2,262
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 289 0 0 4 1,036
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 2 356 0 1 5 1,266
Modeling and Forecasting Realized Volatility 0 0 1 1,261 0 4 22 2,996
Modeling and Forecasting Realized Volatility 0 2 4 995 1 5 15 2,180
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 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 0 0 0 29 0 0 1 201
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 1 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 0 0 5 1,605
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 421 0 0 6 898
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 0 0 1,190
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 0 0 5 854
Real-Time Detection of Local No-Arbitrage Violations 0 0 1 13 0 3 12 28
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 1 1 802
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 1 3 8 678
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 2 278 0 1 5 1,003
Real-time price discovery in stock, bond and foreign exchange markets 0 0 1 144 0 1 3 559
Realized Beta: Persistence and Predictability 0 0 1 516 0 0 7 919
Realized Volatility and Multipower Variation 0 0 1 116 1 1 4 277
Realized beta: Persistence and predictability 0 1 3 221 0 1 7 639
Realized volatility 0 0 3 327 3 4 37 1,197
Reflecting on the VPIN Dispute 0 0 0 53 0 0 1 132
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 2 4 169 1 4 17 562
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 1 2 356 0 4 9 991
Short-Term Market Risks Implied by Weekly Options 0 0 0 33 2 2 10 138
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 1 163 2 3 7 534
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 1 2 5 1,024
Stochastic Volatility 0 0 0 213 1 1 4 299
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 0 1 5 1,378
Stochastic Volatility: Origins and Overview 0 0 0 341 0 0 1 693
Stochastic Volatility: Origins and Overview 0 0 0 247 1 2 4 315
Stochastic Volatility: Origins and Overview 0 0 0 111 1 2 3 227
Stochastic volatility 0 0 0 163 1 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 1 552 0 0 4 1,445
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 2 3 9 867
The Distribution of Stock Return Volatility 0 0 0 839 0 1 4 2,238
The Distribution of Stock Return Volatility 0 0 0 906 0 1 4 2,401
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 6 151
The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets 0 0 1 54 0 2 7 182
The Risk Premia Embedded in Index Options 0 1 2 36 1 4 7 174
The Risk Premia Embedded in Index Options 0 0 0 109 0 0 2 255
Time-Varying Periodicity in Intraday Volatility 0 0 1 46 0 0 5 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 0 0 0 131 0 1 2 433
Volatility Forecasting 0 0 3 561 0 1 8 1,001
Volatility Forecasting 0 0 0 950 3 3 9 1,277
Volatility forecasting 0 0 3 338 0 0 6 735
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 0 1 66 1 1 7 115
Total Working Papers 2 15 80 27,292 55 145 545 74,680
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 2 6 0 0 5 15
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 3 3 4 491
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 1 98 0 1 7 384
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 0 360 1 1 5 1,000
An Empirical Investigation of Continuous‐Time Equity Return Models 0 0 3 111 0 0 10 387
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor 0 0 2 10 0 2 5 23
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 6 19 75 4,838
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 0 0 19 0 2 2 142
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 2 2 2 20
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 1 1 170 1 2 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 0 0 0 51 0 0 4 342
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 0 0 0 186
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 2 2 788
Estimating continuous-time stochastic volatility models of the short-term interest rate 0 3 8 788 1 8 21 1,575
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 3 18 0 2 15 138
Exploring Return Dynamics via Corridor Implied Volatility 1 1 1 15 1 1 5 89
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 0 3 8 560 3 8 16 1,395
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) 3 3 3 74 4 6 10 260
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 2 198 0 5 12 661
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS 0 0 0 1 0 1 2 12
Intraday Periodic Volatility Curves 0 1 5 6 0 1 9 10
Intraday and interday volatility in the Japanese stock market 0 0 3 227 2 2 8 906
Intraday cross-sectional distributions of systematic risk 0 0 3 4 1 1 12 15
Intraday periodicity and volatility persistence in financial markets 1 3 17 1,296 8 13 42 2,621
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 134 1 3 5 559
Local mispricing and microstructural noise: A parametric perspective 0 1 3 6 0 1 6 17
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 2 4 10 591 7 14 53 1,950
Modeling and Forecasting Realized Volatility 0 0 0 1,158 4 10 40 3,658
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 4 143 0 2 8 513
Parametric Inference and Dynamic State Recovery From Option Panels 0 1 1 9 0 1 1 134
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 3 358 2 9 30 1,226
Realized volatility forecasting and market microstructure noise 0 1 5 141 0 2 10 534
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk 0 0 1 1 0 0 11 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 7 760 0 6 14 1,765
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 1 3 17 688 4 12 46 1,884
SIMULATION-BASED ECONOMETRIC METHODS 0 1 1 68 0 2 3 187
Short-Term Market Risks Implied by Weekly Options 0 0 2 16 4 5 11 111
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 0 2 5 733
THE ECONOMETRICS OF FINANCIAL MARKETS 0 0 1 61 0 0 4 253
Tail risk and return predictability for the Japanese equity market 0 1 4 16 1 13 25 65
Testing for parameter instability and structural change in persistent predictive regressions 0 0 3 5 1 1 7 16
The Distribution of Realized Exchange Rate Volatility 0 0 3 211 1 3 12 671
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets 0 0 2 19 1 7 16 80
The distribution of realized stock return volatility 0 1 7 863 3 4 31 2,223
The fine structure of equity-index option dynamics 0 0 0 19 1 3 6 116
The risk premia embedded in index options 2 5 9 164 5 12 23 524
Time-Varying Periodicity in Intraday Volatility 0 0 1 4 0 1 5 22
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 0 0 3 8
Unified inference for nonlinear factor models from panels with fixed and large time span 0 0 0 8 1 1 3 107
VPIN and the flash crash 0 0 2 74 0 1 6 471
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 0 1 2 169 3 5 8 652
Volatility measurement with pockets of extreme return persistence 0 0 0 0 0 0 8 10
Total Journal Articles 10 37 151 10,552 73 205 699 38,100


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 3 5 23 341
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 250 0 1 3 765
Realized Beta: Persistence and Predictability 0 4 7 10 1 10 22 32
Volatility and Correlation Forecasting 0 2 11 679 3 11 39 2,355
Total Chapters 0 6 22 999 7 27 87 3,493


Statistics updated 2025-09-05