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Torben Andersen

  • 10906 Citations
1994 …2020

Research output per year

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Personal profile

Research Interests

Professor Andersen has published widely in asset pricing, empirical finance, and empirical market microstructure. 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, Aarhus University

… → 1985

Economics, MA, Aarhus University

… → 1980

Research interests

  • Asset pricing
  • Econometrics
  • Equity Markets (Stock Market)
  • Financial engineering
  • International finance
  • Investments and portfolio choice
  • Microeconomics

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Grants

The Econometrics of Derivatives Markets

Andersen, T. & Todorov, V.

CME Group Foundation

7/1/17 → 7/31/17

Project: Research project

    • Econometric Tools for Analysis of Derivatives Data

    Andersen, T. & Todorov, V.

    National Science Foundation

    9/1/15 → 8/31/18

    Project: Research project

    • Research Output

    SPATIAL DEPENDENCE in OPTION OBSERVATION ERRORS

    Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T., Jan 1 2020, (Accepted/In press) In : Econometric Theory.

    Research output: Contribution to journal › Comment/debate

    • The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets

    Andersen, T. G., Fusari, N. & Todorov, V., Jul 2 2020, In : Journal of Business and Economic Statistics. 38, 3, p. 662-678 17 p.

    Research output: Contribution to journal › Article

    • INFERENCE for OPTION PANELS in PURE-JUMP SETTINGS

    Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T., Oct 1 2019, In : Econometric Theory. 35, 5, p. 901-942 42 p.

    Research output: Contribution to journal › Article

    Open Access
    • 2 Scopus citations

    Time-Varying Periodicity in Intraday Volatility

    Andersen, T. G., Thyrsgaard, M. & Todorov, V., Oct 2 2019, In : Journal of the American Statistical Association. 114, 528, p. 1695-1707 13 p.

    Research output: Contribution to journal › Article

    • 1 Scopus citations

    Unified inference for nonlinear factor models from panels with fixed and large time span

    Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T., Sep 2019, In : Journal of Econometrics. 212, 1, p. 4-25 22 p.

    Research output: Contribution to journal › Article

    • 2 Scopus citations