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 0 13 1,833
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 0 1 10 589
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 0 0 15 501
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 20 0 1 5 119
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 57 0 2 9 157
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 1 156 0 1 21 592
A framework for exploring the macroeconomic determinants of systematic risk 0 0 0 184 0 2 11 541
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 0 51 0 1 15 115
An Empirical Investigation of Continuous-Time Equity Return Models 0 0 0 497 1 2 31 1,305
Analytic Evaluation of Volatility Forecasts 0 0 0 815 0 1 13 1,894
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 1 1,581 0 2 15 3,595
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 1 2 5 109 9 27 175 529
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 119 0 2 11 457
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 0 1 3 154 1 5 28 540
Consistent Inference for Predictive Regressions in Persistent Economic Systems 0 0 0 28 0 4 18 48
Consistent Inference for Predictive Regressions in Persistent VAR Economies 0 0 0 56 0 0 11 252
Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions 0 0 0 18 0 0 9 34
Construction and Interpretation of Model-Free Implied Volatility 0 0 0 278 1 3 34 984
Construction and Interpretation of Model-Free Implied Volatility 0 0 1 120 0 1 16 360
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 0 0 1 12 13
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 1 3 7 307
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 0 1 22 951
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 171 0 1 11 502
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 421 0 1 16 969
Cross-Sectional Dispersion of Risk in Trading Time 0 0 0 8 0 1 25 54
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 2 554 3 7 33 1,980
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 32 0 1 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 1 2 18 288
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models 0 0 0 70 0 1 11 401
Duration-Based Volatility Estimation 0 1 5 300 1 4 29 710
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 499 0 2 24 1,091
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 1 304 1 3 23 1,137
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 1 2 23 863
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 2 6 30 1,637
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 1 18 572
Financial Risk Measurement for Financial Risk Management 0 0 1 183 1 1 40 587
Financial Risk Measurement for Financial Risk Management 0 0 0 207 2 3 39 626
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 0 21 1,324
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 549 0 0 20 1,689
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 1 1 3 59 8 15 74 272
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 1 7 2 5 25 94
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 1 1 9 47 7 11 144 331
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 75 0 2 16 365
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 1 78 1 3 23 315
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 63 0 1 26 363
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 291 1 5 23 1,061
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 480 0 2 39 2,302
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 1 357 3 7 34 1,300
Modeling and Forecasting Realized Volatility 0 0 3 1,264 3 6 73 3,072
Modeling and Forecasting Realized Volatility 0 0 4 999 2 3 49 2,229
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 0 3 19 704
Option Panels in Pure-Jump Settings 0 0 0 24 0 1 9 80
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 30 1 2 18 220
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 7 0 0 11 77
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 0 1 12 164
Parametric and Nonparametric Volatility Measurement 0 0 0 830 0 0 23 2,134
Parametric and Nonparametric Volatility Measurement 0 0 0 692 0 1 20 1,626
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 1 1 31 1,222
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 0 0 27 926
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 0 0 17 872
Real-Time Detection of Local No-Arbitrage Violations 1 1 1 14 1 1 9 38
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 1 150 2 5 21 529
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 1 2 15 693
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 0 2 19 822
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 0 1 17 1,021
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 4 26 945
Realized Volatility and Multipower Variation 0 0 0 116 0 2 11 288
Realized beta: Persistence and predictability 0 0 1 222 1 2 24 664
Realized volatility 0 1 5 332 2 12 50 1,250
Reflecting on the VPIN Dispute 0 0 0 53 4 14 50 183
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 1 2 172 0 5 34 597
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 0 356 5 23 67 1,058
Short-Term Market Risks Implied by Weekly Options 0 3 3 36 4 11 26 164
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 1,039
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 3 22 556
Stochastic Volatility 0 0 1 214 0 1 19 318
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 1 4 16 1,398
Stochastic Volatility: Origins and Overview 0 0 1 112 0 1 15 243
Stochastic Volatility: Origins and Overview 0 0 1 248 0 1 12 327
Stochastic Volatility: Origins and Overview 0 0 1 342 0 1 22 715
Stochastic volatility 0 0 0 163 1 2 12 370
Tails of Cross-Sectional Return Distributions at High Frequencies 0 0 2 17 1 4 63 103
Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions 0 0 0 18 0 1 12 44
The Distribution of Exchange Rate Volatility 1 1 1 553 2 4 22 1,467
The Distribution of Exchange Rate Volatility 0 0 0 531 0 1 12 1,328
The Distribution of Exchange Rate Volatility 0 0 0 323 2 3 16 883
The Distribution of Stock Return Volatility 0 0 0 839 0 0 15 2,254
The Distribution of Stock Return Volatility 0 0 0 906 1 5 25 2,426
The Factor Structure of Jump Risk 0 1 4 23 0 1 34 37
The Fine Structure of Equity-Index Option Dynamics 0 0 0 45 0 3 10 124
The Pricing of Short-Term market Risk: Evidence from Weekly Options 0 0 0 45 2 4 21 172
The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets 0 0 1 55 0 1 12 194
The Risk Premia Embedded in Index Options 0 0 2 39 0 0 20 196
The Risk Premia Embedded in Index Options 0 0 0 109 0 0 25 280
Time-Varying Periodicity in Intraday Volatility 0 0 2 48 0 2 20 114
Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span 0 0 0 37 0 0 14 137
VPIN and the Flash Crash 0 1 2 134 15 40 103 537
Volatility Forecasting 0 0 1 562 1 3 34 1,036
Volatility Forecasting 1 1 2 952 1 2 33 1,310
Volatility forecasting 0 0 1 339 1 2 28 763
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 1 3 69 0 2 35 151
Total Working Papers 6 17 84 27,416 104 341 2,677 77,451

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 1 3 9 0 4 69 84
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 0 2 18 510
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 0 0 14 0 2 10 93
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 2 100 0 1 28 412
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 0 360 0 2 14 1,015
An Empirical Investigation of Continuous‐Time Equity Return Models 0 0 0 111 2 2 87 474
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor 0 0 0 10 0 1 9 32
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 10 31 201 5,045
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 0 2 21 3 13 67 210
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 0 4 5
Comment 0 0 0 29 1 2 6 152
Consistent inference for predictive regressions in persistent economic systems 0 0 1 4 0 0 12 32
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 0 170 0 2 42 621
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 0 231 1 1 9 688
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 0 52 0 1 20 363
Editor Report 2005 0 0 0 8 0 2 9 96
Editor's Report 2004 0 0 0 2 0 1 14 62
Editorial Announcement 0 0 0 55 0 0 5 192
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 0 2 37 826
Estimating continuous-time stochastic volatility models of the short-term interest rate 0 2 4 792 0 2 22 1,598
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 18 0 0 29 168
Exploring Return Dynamics via Corridor Implied Volatility 0 0 2 17 1 2 17 106
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 0 0 3 564 1 2 23 1,419
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 1 21 1,307
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 0 0 74 0 0 11 271
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 198 1 3 47 710
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS 0 0 0 1 1 1 8 20
Intraday Periodic Volatility Curves 0 0 10 17 5 21 61 73
Intraday and interday volatility in the Japanese stock market 0 0 0 229 2 4 16 924
Intraday cross-sectional distributions of systematic risk 0 0 0 4 2 2 17 32
Intraday periodicity and volatility persistence in financial markets 2 4 7 1,303 14 41 125 2,748
Jump-robust volatility estimation using nearest neighbor truncation 0 0 1 135 3 8 43 604
Local mispricing and microstructural noise: A parametric perspective 0 3 4 10 1 7 32 49
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 2 6 28 620 14 29 155 2,114
Modeling and Forecasting Realized Volatility 0 0 0 1,158 5 28 212 3,876
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 2 145 2 3 19 532
On-line detection of changes in the shape of intraday volatility curves 0 2 2 2 1 6 30 30
Parametric Inference and Dynamic State Recovery From Option Panels 0 0 1 10 0 0 9 144
Real-time price discovery in global stock, bond and foreign exchange markets 2 3 6 365 5 14 63 1,293
Realized volatility forecasting and market microstructure noise 0 0 2 143 1 4 33 568
Real‐time detection of local no‐arbitrage violations 0 0 0 0 0 2 15 17
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk 0 0 1 2 2 2 30 59
Reflecting on the VPIN dispute 0 0 2 24 5 16 106 223
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 0 1 2 762 5 12 43 1,809
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 0 5 23 711 2 19 120 2,005
SIMULATION-BASED ECONOMETRIC METHODS 0 1 1 69 0 1 11 198
Short-Term Market Risks Implied by Weekly Options 0 4 5 21 5 14 35 147
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 0 1 13 750
Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction 0 0 1 1 0 1 8 8
THE ECONOMETRICS OF FINANCIAL MARKETS 0 0 0 61 0 1 8 261
Tail risk and return predictability for the Japanese equity market 1 1 3 19 4 10 36 101
Testing for parameter instability and structural change in persistent predictive regressions 0 0 1 6 0 0 20 36
Testing mean stationarity of intraday volatility curves 0 1 1 1 0 2 33 38
The Distribution of Realized Exchange Rate Volatility 0 1 3 215 0 6 50 722
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets 0 0 3 22 0 0 21 102
The distribution of realized stock return volatility 0 0 8 872 1 5 58 2,283
The fine structure of equity-index option dynamics 0 0 0 19 0 2 12 128
The risk premia embedded in index options 1 1 9 173 2 6 49 576
Time-Varying Periodicity in Intraday Volatility 0 0 1 5 2 4 27 50
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 0 0 5 14
Unified inference for nonlinear factor models from panels with fixed and large time span 0 0 0 8 1 2 14 122
VIX maturity interpolation 0 0 0 1 2 4 25 28
VPIN and the flash crash 0 2 6 80 22 102 201 672
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 0 0 2 171 0 2 13 665
Volatility measurement with pockets of extreme return persistence 0 0 0 0 0 2 21 31
Total Journal Articles 8 39 152 10,714 129 463 2,644 40,817

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 1 4 59 400
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 2 252 1 4 29 794
Realized Beta: Persistence and Predictability 0 1 5 15 1 8 26 63
Stochastic Volatility: Origins and Overview 0 0 0 0 0 0 7 7
Volatility and Correlation Forecasting 0 2 12 692 4 11 94 2,451
Total Chapters 0 4 21 1,021 7 27 215 3,715

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Statistics updated 2026-10-11