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 1 2 2 966 3 10 33 1,756
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 0 4 25 450
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 206 3 7 21 552
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 1 19 0 0 5 102
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 1 56 0 0 5 143
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 0 155 0 0 29 562
A framework for exploring the macroeconomic determinants of systematic risk 0 0 0 182 0 2 28 520
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 1 49 0 0 3 90
An Empirical Investigation of Continuous-Time Equity Return Models 0 0 2 496 2 4 42 1,230
Analytic Evaluation of Volatility Forecasts 0 0 0 813 1 1 10 1,849
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 6 1,575 2 9 52 3,518
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 2 4 97 2 7 21 324
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 1 114 0 0 4 430
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 0 0 2 127 1 2 16 463
Consistent Inference for Predictive Regressions in Persistent Economic Systems 0 0 2 26 0 0 8 25
Consistent Inference for Predictive Regressions in Persistent VAR Economies 0 0 1 54 2 2 15 211
Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions 0 1 4 17 1 2 8 21
Construction and Interpretation of Model-Free Implied Volatility 0 0 1 116 0 0 22 334
Construction and Interpretation of Model-Free Implied Volatility 1 1 2 275 3 7 20 916
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 0 1 19 286
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 371 0 1 15 912
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 1 420 0 0 3 945
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 170 1 6 16 474
Cross-Sectional Dispersion of Risk in Trading Time 0 0 0 7 0 0 6 26
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 0 550 6 18 49 1,898
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 32 1 1 10 206
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 7 258
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 17 380
Duration-Based Volatility Estimation 0 0 9 277 6 9 33 630
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 496 3 6 41 1,025
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 2 5 12 1,079
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 1 2 34 819
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 490 0 0 2 1,594
Financial Risk Measurement for Financial Risk Management 0 0 0 176 2 5 28 508
Financial Risk Measurement for Financial Risk Management 0 0 1 237 1 2 21 511
Financial Risk Measurement for Financial Risk Management 1 1 5 199 2 3 14 561
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 5 6 36 1,282
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 1 548 2 8 21 1,634
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 2 5 8 33 6 10 45 110
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 0 35 2 3 5 134
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 0 5 1 1 8 53
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 1 2 2 77 1 3 19 270
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 73 2 7 36 307
Jump-robust volatility estimation using nearest neighbor truncation 0 0 1 62 2 2 30 306
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 286 4 9 32 984
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 475 3 10 43 2,197
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 2 354 0 0 34 1,251
Modeling and Forecasting Realized Volatility 0 0 1 988 0 0 8 2,147
Modeling and Forecasting Realized Volatility 0 0 5 1,251 1 3 23 2,947
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 1 232 0 5 28 668
Option Panels in Pure-Jump Settings 0 0 1 24 0 0 4 68
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 28 4 7 22 171
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 6 0 1 2 63
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 1 1 8 129
Parametric and Nonparametric Volatility Measurement 0 0 0 815 1 3 18 2,068
Parametric and Nonparametric Volatility Measurement 0 0 3 691 1 1 15 1,592
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 1 568 0 2 4 1,178
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 417 0 2 8 872
Practical volatility and correlation modeling for financial market risk management 0 0 0 394 1 2 8 817
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 1 147 0 5 19 475
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 1 180 2 2 6 798
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 217 0 0 2 666
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 3 274 2 5 51 963
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 143 0 0 4 555
Realized Beta: Persistence and Predictability 0 0 1 508 0 0 10 901
Realized Volatility and Multipower Variation 0 0 1 114 0 0 2 272
Realized beta: Persistence and predictability 0 1 2 216 2 7 26 604
Realized volatility 0 0 10 317 10 20 80 1,071
Reflecting on the VPIN Dispute 0 0 2 51 0 1 7 126
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 0 160 1 1 6 525
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 2 353 4 10 37 941
Short-Term Market Risks Implied by Weekly Options 0 1 2 27 2 4 13 112
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 1 354 1 1 10 1,006
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 0 161 1 2 5 517
Stochastic Volatility 0 0 2 207 0 0 5 283
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 1 3 11 1,352
Stochastic Volatility: Origins and Overview 0 1 1 340 1 2 4 686
Stochastic Volatility: Origins and Overview 0 0 0 246 1 2 8 309
Stochastic Volatility: Origins and Overview 1 1 1 110 4 7 21 206
Stochastic volatility 1 2 2 159 2 5 18 332
Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions 0 0 2 16 0 0 3 27
The Distribution of Exchange Rate Volatility 0 0 0 321 0 1 1 855
The Distribution of Exchange Rate Volatility 0 0 1 523 3 10 38 1,265
The Distribution of Exchange Rate Volatility 1 1 2 547 3 8 17 1,405
The Distribution of Stock Return Volatility 0 0 0 904 2 5 29 2,360
The Distribution of Stock Return Volatility 0 0 0 837 0 0 10 2,231
The Fine Structure of Equity-Index Option Dynamics 0 0 1 45 0 1 4 110
The Pricing of Short-Term market Risk: Evidence from Weekly Options 0 0 0 44 2 5 15 132
The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets 1 1 1 49 2 3 22 160
The Risk Premia Embedded in Index Options 0 0 0 108 3 6 40 216
The Risk Premia Embedded in Index Options 0 1 4 31 3 10 52 128
Time-Varying Periodicity in Intraday Volatility 0 0 3 42 1 1 11 79
Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span 0 0 0 37 3 3 14 116
VPIN and the Flash Crash 0 1 1 125 0 2 12 419
Volatility Forecasting 0 0 0 945 0 1 13 1,254
Volatility Forecasting 1 3 9 548 4 8 43 947
Volatility forecasting 0 1 1 330 0 2 19 695
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 0 4 58 1 1 8 92
Total Working Papers 11 30 133 26,925 144 349 1,847 72,047
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 0 105 1 2 16 468
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 0 0 14 0 0 1 81
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 1 1 4 96 2 4 35 355
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 0 360 0 1 10 982
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 11 27 128 4,520
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 0 1 15 3 5 20 107
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 0 112
Comment 0 0 0 27 0 0 0 141
Consistent inference for predictive regressions in persistent economic systems 0 0 1 1 0 0 9 12
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 1 167 0 1 8 560
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 0 226 0 0 4 665
Discussion 0 0 0 13 0 0 0 88
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 1 50 1 1 10 327
Editor Report 2005 0 0 0 7 0 0 0 85
Editor's Report 2004 0 0 0 2 0 0 0 48
Editorial Announcement 0 0 0 55 0 0 2 186
Editors' Report 2006 0 0 0 2 0 0 0 50
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 0 0 1 359 1 4 10 768
Estimating continuous-time stochastic volatility models of the short-term interest rate 0 0 7 766 5 7 35 1,490
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 14 0 2 9 109
Exploring Return Dynamics via Corridor Implied Volatility 0 1 3 10 0 2 11 76
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 2 3 9 540 3 7 41 1,343
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 2 6 33 1,236
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 0 0 69 1 2 4 245
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 1 2 195 3 5 16 635
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS 0 0 0 1 0 0 0 8
Intraday and interday volatility in the Japanese stock market 0 1 8 220 0 7 23 859
Intraday periodicity and volatility persistence in financial markets 2 9 20 1,226 4 19 77 2,431
Jump-robust volatility estimation using nearest neighbor truncation 2 5 14 130 5 11 57 501
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 5 566 1 2 29 1,841
Modeling and Forecasting Realized Volatility 0 0 1 1,158 5 12 59 3,528
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 4 121 10 17 45 471
Parametric Inference and Dynamic State Recovery From Option Panels 0 0 0 6 3 3 15 95
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 3 347 5 12 32 1,140
Realized volatility forecasting and market microstructure noise 0 0 4 119 3 10 33 439
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk 0 0 0 0 0 0 2 9
Reflecting on the VPIN dispute 0 0 0 20 0 1 5 105
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 0 0 4 745 2 3 36 1,729
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 1 3 15 630 11 18 91 1,704
SIMULATION-BASED ECONOMETRIC METHODS 1 1 3 65 1 1 5 179
Short-Term Market Risks Implied by Weekly Options 0 0 3 10 0 0 11 86
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 0 0 6 723
THE ECONOMETRICS OF FINANCIAL MARKETS 0 0 1 54 0 0 5 225
Tail risk and return predictability for the Japanese equity market 0 0 3 8 0 1 10 23
The Distribution of Realized Exchange Rate Volatility 1 1 3 199 2 5 18 636
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets 0 1 3 11 0 4 18 41
The distribution of realized stock return volatility 1 5 28 836 12 29 113 2,075
The fine structure of equity-index option dynamics 0 0 0 17 1 1 4 106
The risk premia embedded in index options 0 2 17 113 3 14 68 389
Time-Varying Periodicity in Intraday Volatility 0 0 0 3 0 0 2 11
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 0 0 0 5
Unified inference for nonlinear factor models from panels with fixed and large time span 0 2 3 5 2 4 16 69
VPIN and the flash crash 1 5 7 64 1 9 40 407
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 0 0 0 164 1 1 4 639
Total Journal Articles 13 42 180 9,935 105 260 1,226 35,163


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 47 2 7 31 232
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 1 246 1 2 17 744
Volatility and Correlation Forecasting 1 6 19 629 5 20 61 2,189
Total Chapters 1 7 21 922 8 29 109 3,165


Statistics updated 2022-09-05