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 1 1 7 1,818
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 0 1 3 577
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 1 1 5 486
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 2 4 110
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 0 155 0 0 0 570
A framework for exploring the macroeconomic determinants of systematic risk 0 1 1 184 0 1 3 530
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 1 51 0 0 6 100
An Empirical Investigation of Continuous-Time Equity Return Models 0 0 0 497 0 0 2 1,273
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 0 1 1 1,579 1 2 8 3,577
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification 0 0 1 104 1 1 5 352
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 119 0 0 1 445
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX 0 0 5 151 0 1 12 512
Consistent Inference for Predictive Regressions in Persistent Economic Systems 0 0 1 28 0 1 2 30
Consistent Inference for Predictive Regressions in Persistent VAR Economies 0 0 0 56 0 0 3 240
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 1 1 277 0 1 9 947
Construction and Interpretation of Model-Free Implied Volatility 0 0 0 119 0 0 2 344
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 0 0 1 297
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 1 2 5 928
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 421 0 0 1 951
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
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 0 2 3 1,946
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 1 1 5 295 1 3 11 681
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 499 0 2 2 1,066
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 2 495 0 0 4 1,604
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 0 0 0 840
Financial Risk Measurement for Financial Risk Management 0 0 1 207 0 1 4 585
Financial Risk Measurement for Financial Risk Management 0 1 3 181 1 3 12 542
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 0 8 552
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 0 1 1,302
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 1 1 549 0 1 3 1,666
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 1 1 5 54 5 6 22 192
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 0 37 9 12 21 170
Intraday Trading Invariance in the E-mini S&P 500 Futures Market 0 0 0 6 0 1 2 67
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 1 1 2 75 1 1 5 348
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 0 0 63 1 1 4 337
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 2 289 0 1 4 1,036
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 1 2 356 1 2 6 1,266
Modeling and Forecasting Realized Volatility 1 1 3 994 2 6 12 2,177
Modeling and Forecasting Realized Volatility 0 0 3 1,261 3 5 24 2,995
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 1 2 684
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 35 1 1 3 152
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 29 0 0 1 201
Parametric and Nonparametric Volatility Measurement 0 0 0 692 0 0 5 1,605
Parametric and Nonparametric Volatility Measurement 0 0 4 830 0 0 6 2,110
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 3 1,190
Practical volatility and correlation modeling for financial market risk management 0 2 2 397 0 3 5 854
Real-Time Detection of Local No-Arbitrage Violations 0 1 3 13 3 6 17 28
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 0 0 3 508
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 0 0 1 801
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 0 2 5 675
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 2 278 1 1 6 1,003
Real-time price discovery in stock, bond and foreign exchange markets 0 1 1 144 1 2 3 559
Realized Beta: Persistence and Predictability 0 0 1 516 0 3 7 919
Realized Volatility and Multipower Variation 0 1 1 116 0 2 3 276
Realized beta: Persistence and predictability 1 2 3 221 1 3 8 639
Realized volatility 0 0 4 327 0 7 36 1,193
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 2 2 4 169 2 2 16 560
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 1 2 2 356 2 3 9 989
Short-Term Market Risks Implied by Weekly Options 0 0 0 33 0 1 8 136
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 0 3 1,022
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 0 1 4 531
Stochastic Volatility 0 0 0 213 0 0 3 298
Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature 0 0 0 7 0 1 7 1,377
Stochastic Volatility: Origins and Overview 0 0 0 111 0 1 1 225
Stochastic Volatility: Origins and Overview 0 0 0 247 0 0 2 313
Stochastic Volatility: Origins and Overview 0 0 0 341 0 0 1 693
Stochastic volatility 0 0 0 163 0 0 5 356
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 1 323 0 4 6 864
The Distribution of Exchange Rate Volatility 0 1 1 552 0 1 6 1,445
The Distribution of Exchange Rate Volatility 0 1 2 531 0 1 3 1,315
The Distribution of Stock Return Volatility 0 0 0 839 1 2 4 2,238
The Distribution of Stock Return Volatility 0 0 0 906 1 1 6 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 0 0 6 150
The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets 0 1 1 54 1 3 6 181
The Risk Premia Embedded in Index Options 1 1 2 36 3 4 6 173
The Risk Premia Embedded in Index Options 0 0 0 109 0 1 2 255
Time-Varying Periodicity in Intraday Volatility 0 1 1 46 0 1 7 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 0 1 432
Volatility Forecasting 0 0 2 950 0 1 8 1,274
Volatility Forecasting 0 0 3 561 0 0 8 1,000
Volatility forecasting 0 1 3 338 0 1 7 735
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 0 1 66 0 1 9 114
Total Working Papers 9 28 90 27,286 47 122 520 74,582
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 6 15
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 0 0 1 488
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 0 0 14 0 0 0 82
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 1 98 0 0 6 383
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 0 360 0 0 5 999
An Empirical Investigation of Continuous‐Time Equity Return Models 0 1 3 111 0 3 10 387
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor 0 0 2 10 2 2 5 23
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 9 21 82 4,828
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 0 0 0 19 2 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 1 2 146
Consistent inference for predictive regressions in persistent economic systems 0 0 0 3 0 0 1 18
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 1 1 1 170 1 1 8 578
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 1 231 0 1 3 679
Discussion 0 0 0 13 0 0 0 89
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 7 342
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 0 0 0 786
Estimating continuous-time stochastic volatility models of the short-term interest rate 1 2 8 786 2 3 18 1,569
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 1 4 18 2 5 18 138
Exploring Return Dynamics via Corridor Implied Volatility 0 0 0 14 0 2 4 88
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 3 4 9 560 3 5 12 1,390
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 0 0 0 0 0 3 10 1,285
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) 0 0 0 71 0 3 4 254
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 2 2 198 3 6 10 659
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS 0 0 0 1 0 0 1 11
Intraday Periodic Volatility Curves 0 1 5 5 0 1 9 9
Intraday and interday volatility in the Japanese stock market 0 0 3 227 0 1 7 904
Intraday cross-sectional distributions of systematic risk 0 2 3 4 0 3 12 14
Intraday periodicity and volatility persistence in financial markets 1 6 18 1,294 4 15 41 2,612
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 134 1 1 6 557
Local mispricing and microstructural noise: A parametric perspective 1 2 3 6 1 4 7 17
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 4 8 588 4 18 49 1,940
Modeling and Forecasting Realized Volatility 0 0 0 1,158 2 8 33 3,650
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 2 4 143 1 3 8 512
Parametric Inference and Dynamic State Recovery From Option Panels 1 1 1 9 1 1 2 134
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 2 357 3 11 27 1,220
Realized volatility forecasting and market microstructure noise 0 1 4 140 1 3 10 533
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk 0 0 1 1 0 0 13 29
Reflecting on the VPIN dispute 0 0 0 22 0 1 4 117
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 0 0 8 759 1 2 11 1,760
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 1 4 17 686 4 10 48 1,876
SIMULATION-BASED ECONOMETRIC METHODS 1 1 1 68 1 2 2 186
Short-Term Market Risks Implied by Weekly Options 0 0 2 16 1 2 7 107
Some Reflections on Analysis of High-Frequency Data 0 0 0 0 2 3 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 1 2 4 16 6 8 19 58
Testing for parameter instability and structural change in persistent predictive regressions 0 2 3 5 0 3 6 15
The Distribution of Realized Exchange Rate Volatility 0 1 4 211 0 1 14 668
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets 0 0 2 19 3 5 14 76
The distribution of realized stock return volatility 0 3 6 862 0 4 28 2,219
The fine structure of equity-index option dynamics 0 0 0 19 0 0 3 113
The risk premia embedded in index options 2 3 7 161 4 8 19 516
Time-Varying Periodicity in Intraday Volatility 0 0 1 4 1 1 6 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 0 0 2 106
VPIN and the flash crash 0 1 3 74 0 2 7 470
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 1 1 2 169 2 2 5 649
Volatility measurement with pockets of extreme return persistence 0 0 0 0 0 0 9 10
Total Journal Articles 16 49 146 10,531 67 181 656 37,962


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 0 3 23 336
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 250 0 0 4 764
Realized Beta: Persistence and Predictability 4 6 7 10 6 13 19 28
Volatility and Correlation Forecasting 1 2 12 678 4 9 39 2,348
Total Chapters 5 8 23 998 10 25 85 3,476


Statistics updated 2025-07-04