Grants per year
Personal profile
Research Interests
His work centers on the modeling of volatility fluctuations in financial returns with applications to asset and derivatives pricing, portfolio selection, and the term structure of interest rates. His current work explores the use of large sets of high-frequency data for volatility forecasting, portfolio choice and risk management.
Education/Academic qualification
Economics, PhD, Yale University
… → 1992
Economics, MPhil, Yale University
… → 1988
Economics and Mathematics, MA, University of Aarhus, Denmark
… → 1985
Economics, MA, University of Aarhus, Denmark
… → 1980
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Volatility
Mathematics
Equity
Mathematics
Jump
Mathematics
Stochastic Volatility Model
Mathematics
Realized Volatility
Mathematics
Market Microstructure
Mathematics
Implied Volatility
Mathematics
Volatility Forecasting
Mathematics
Network
Recent external collaboration on country level. Dive into details by clicking on the dots.
Grants 2015 2018
- 2 Finished
Econometrics
Derivative markets
Derivatives
Canada
Organizing
Pricing
Econometrics
Derivatives
Inference
Crash
Research Output 1994 2019
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
Andersen, T., Fusari, N. & Todorov, V., Jan 1 2019, In : Journal of Business and Economic Statistics.Research output: Contribution to journal › Article
Equity
Risk Premium
premium
Pricing
pricing
1
Citation
(Scopus)
Time-Varying Periodicity in Intraday Volatility
Andersen, T., Thyrsgaard, M. & Todorov, V., Jan 1 2019, In : Journal of the American Statistical Association.Research output: Contribution to journal › Article
Volatility
Periodicity
Time-varying
Intraday volatility
Empirical Characteristic Function
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, T., Fusari, N., Todorov, V. & Varneskov, R. T., Jan 1 2019, In : Journal of Econometrics.Research output: Contribution to journal › Article
Inference
Factors
Limit distribution
Penalty
Scenarios
10
Citations
(Scopus)
Short-Term Market Risks Implied by Weekly Options
Andersen, T., Fusari, N. & Todorov, V., Jun 1 2017, In : Journal of Finance. 72, 3, p. 1335-1386 52 p.Research output: Contribution to journal › Article
Market risk
Market volatility
Jump
Jump risk
Equity returns
Intraday Trading Invariance in the E-mini S&P 500 Futures Market
Andersen, T. G., Bondarenko, O., Kyle, A. S. & Obizhaeva, A. A., Mar 15 2016, Social Science Research Network (SSRN), 46 p.Research output: Working paper
Futures markets
Invariance
Trade size
Futures contracts
Factors