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 0 964 0 6 20 1,723
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 3 5 19 425
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 1 206 5 5 18 531
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 18 1 2 9 97
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 55 1 1 9 138
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 1 1 155 6 10 23 533
A framework for exploring the macroeconomic determinants of systematic risk 0 0 0 182 6 13 43 492
A robust neighborhood truncation approach to estimation of integrated quarticity 0 1 2 48 0 1 3 87
An Empirical Investigation of Continuous-Time Equity Return Models 0 1 2 494 3 6 19 1,188
Analytic Evaluation of Volatility Forecasts 0 0 1 813 1 1 12 1,839
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 1 1,569 4 14 41 3,466
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 0 5 93 4 9 41 303
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 1 113 0 0 5 426
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 0 0 6 125 4 8 36 447
Consistent Inference for Predictive Regressions in Persistent Economic Systems 0 0 24 24 0 1 17 17
Consistent Inference for Predictive Regressions in Persistent VAR Economies 0 1 1 53 1 2 16 196
Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions 0 0 13 13 1 1 13 13
Construction and Interpretation of Model-Free Implied Volatility 0 0 0 115 4 9 25 312
Construction and Interpretation of Model-Free Implied Volatility 0 0 4 273 2 7 34 896
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 2 8 16 267
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 1 371 4 4 17 897
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 419 1 3 7 942
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 170 3 5 12 458
Cross-Sectional Dispersion of Risk in Trading Time 0 0 0 7 0 1 8 20
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 1 550 5 14 46 1,849
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 0 0 0 32 3 8 16 196
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models 0 0 0 34 4 4 9 251
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models 0 1 2 70 2 3 20 363
Duration-Based Volatility Estimation 1 1 7 268 3 3 25 597
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 1 496 6 10 45 984
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 2 2 8 1,067
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 0 2 11 785
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 490 2 4 10 1,592
Financial Risk Measurement for Financial Risk Management 0 1 3 194 2 7 35 547
Financial Risk Measurement for Financial Risk Management 1 1 5 176 10 13 44 480
Financial Risk Measurement for Financial Risk Management 1 2 5 236 5 11 43 490
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 1 8 36 1,246
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 3 547 0 3 28 1,613
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 1 35 3 3 24 129
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 0 5 1 3 14 45
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 1 11 25 25 6 25 65 65
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 1 73 3 9 32 271
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 75 4 5 19 251
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 61 4 8 43 276
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 286 1 9 28 952
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 475 6 36 69 2,154
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 0 352 3 7 37 1,217
Modeling and Forecasting Realized Volatility 0 1 4 1,246 1 5 31 2,924
Modeling and Forecasting Realized Volatility 0 0 1 987 1 1 9 2,139
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 2 231 6 10 34 640
Option Panels in Pure-Jump Settings 0 0 0 23 1 1 6 64
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 35 5 6 16 121
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 0 6 1 1 7 61
Parametric Inference and Dynamic State Recovery from Option Panels 0 0 1 28 0 4 29 149
Parametric and Nonparametric Volatility Measurement 0 1 2 815 5 16 44 2,050
Parametric and Nonparametric Volatility Measurement 0 0 0 688 6 7 17 1,577
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 417 1 2 14 864
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 567 1 1 16 1,174
Practical volatility and correlation modeling for financial market risk management 0 1 1 394 1 3 15 809
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 1 146 5 9 31 456
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 179 2 3 13 792
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 217 1 3 10 664
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 271 1 8 45 912
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 143 1 2 13 551
Realized Beta: Persistence and Predictability 0 1 3 507 1 3 14 891
Realized Volatility and Multipower Variation 0 0 0 113 1 1 8 270
Realized beta: Persistence and predictability 0 0 3 214 2 4 35 578
Realized volatility 1 4 15 307 7 18 70 991
Reflecting on the VPIN Dispute 0 0 0 49 0 1 4 119
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 2 160 3 4 23 519
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 0 351 3 7 28 904
Short-Term Market Risks Implied by Weekly Options 0 0 2 25 1 5 25 99
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 1 1 3 353 5 5 22 996
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 1 161 2 3 18 512
Stochastic Volatility 0 0 1 205 2 3 8 278
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 0 2 6 1,341
Stochastic Volatility: Origins and Overview 0 0 0 109 7 7 11 185
Stochastic Volatility: Origins and Overview 0 0 0 246 1 3 13 301
Stochastic Volatility: Origins and Overview 0 0 0 339 1 1 4 682
Stochastic volatility 0 1 2 157 0 1 12 314
Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions 1 1 14 14 2 2 24 24
The Distribution of Exchange Rate Volatility 0 0 0 321 1 1 13 854
The Distribution of Exchange Rate Volatility 0 1 2 545 1 5 17 1,388
The Distribution of Exchange Rate Volatility 0 0 1 522 2 6 23 1,227
The Distribution of Stock Return Volatility 0 0 0 837 0 1 7 2,221
The Distribution of Stock Return Volatility 0 1 1 904 4 8 74 2,331
The Fine Structure of Equity-Index Option Dynamics 0 0 0 44 2 8 19 106
The Pricing of Short-Term market Risk: Evidence from Weekly Options 0 0 2 44 0 2 8 117
The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets 0 0 1 48 2 7 26 138
The Risk Premia Embedded in Index Options 1 2 5 27 2 11 32 76
The Risk Premia Embedded in Index Options 0 0 2 108 5 8 33 176
Time-Varying Periodicity in Intraday Volatility 0 1 2 39 3 6 10 68
Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span 0 1 1 37 2 8 40 102
VPIN and the Flash Crash 0 1 3 124 1 4 24 407
Volatility Forecasting 0 0 2 945 2 5 24 1,241
Volatility Forecasting 1 1 6 539 6 10 41 904
Volatility forecasting 0 0 1 329 7 12 45 676
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 1 5 54 2 4 23 84
Total Working Papers 9 41 214 26,792 251 577 2,304 70,200
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 1 105 3 6 26 452
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 0 1 14 0 0 4 80
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 2 7 92 6 12 28 320
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 2 360 0 1 13 972
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 10 34 169 4,392
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 2 2 14 2 9 28 87
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 2 112
Comment 0 0 1 27 1 1 3 141
Consistent inference for predictive regressions in persistent economic systems 0 0 0 0 2 3 3 3
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 0 166 2 3 23 552
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 1 2 226 0 2 11 661
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 49 1 3 14 317
Editor Report 2005 0 0 0 7 0 0 1 85
Editor's Report 2004 0 0 0 2 0 0 2 48
Editorial Announcement 0 0 0 55 0 0 2 184
Editors' Report 2006 0 0 0 2 1 1 3 50
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study 1 1 4 358 3 3 16 758
Estimating continuous-time stochastic volatility models of the short-term interest rate 0 0 7 759 2 2 18 1,455
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 13 1 2 22 100
Exploring Return Dynamics via Corridor Implied Volatility 0 1 1 7 0 4 9 65
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 0 1 14 531 0 6 51 1,302
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 2 7 64 1,203
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 0 1 69 0 1 6 241
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 3 193 3 4 23 619
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS 0 0 0 1 0 0 2 8
Intraday and interday volatility in the Japanese stock market 0 0 1 212 4 4 12 836
Intraday periodicity and volatility persistence in financial markets 2 5 26 1,206 10 20 98 2,354
Jump-robust volatility estimation using nearest neighbor truncation 1 4 10 116 6 11 44 444
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 1 10 561 5 12 71 1,812
Modeling and Forecasting Realized Volatility 0 0 0 1,157 10 28 93 3,469
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 7 117 3 7 44 426
Parametric Inference and Dynamic State Recovery From Option Panels 0 0 1 6 2 7 24 80
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 3 344 6 9 43 1,108
Realized volatility forecasting and market microstructure noise 0 1 2 115 11 13 26 406
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk 0 0 0 0 1 4 7 7
Reflecting on the VPIN dispute 0 0 0 20 0 2 7 100
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 2 6 25 741 5 15 59 1,693
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 0 2 3 615 6 14 53 1,613
SIMULATION-BASED ECONOMETRIC METHODS 0 0 0 62 1 3 7 174
Short-Term Market Risks Implied by Weekly Options 0 0 1 7 0 0 12 75
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 0 4 10 717
THE ECONOMETRICS OF FINANCIAL MARKETS 0 0 1 53 2 2 5 220
Tail risk and return predictability for the Japanese equity market 2 3 5 5 3 8 13 13
The Distribution of Realized Exchange Rate Volatility 0 1 1 196 4 5 24 618
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets 0 1 8 8 1 4 22 23
The distribution of realized stock return volatility 1 2 17 808 7 17 85 1,962
The fine structure of equity-index option dynamics 0 0 2 17 1 3 19 102
The risk premia embedded in index options 1 4 12 96 6 19 63 321
Time-Varying Periodicity in Intraday Volatility 1 3 3 3 2 4 6 9
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 1 1 1 5
Unified inference for nonlinear factor models from panels with fixed and large time span 0 1 1 2 0 4 30 53
VPIN and the flash crash 0 1 9 57 11 20 75 367
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 0 0 2 164 0 0 6 635
Total Journal Articles 12 43 198 9,755 147 345 1,502 33,937


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 46 7 14 39 201
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 2 245 3 8 26 727
Volatility and Correlation Forecasting 1 4 23 610 14 31 103 2,128
Total Chapters 1 5 28 901 24 53 168 3,056


Statistics updated 2021-09-05