Grants per year
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, BA, 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
- 2 Finished
Research Output
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Tail risk and return predictability for the Japanese equity market
Andersen, T. G., Todorov, V. & Ubukata, M., May 2021, In: Journal of Econometrics. 222, 1, p. 344-363 20 p.Research output: Contribution to journal › Article › peer-review
1 Scopus citations -
Volatility measurement with pockets of extreme return persistence
Andersen, T. G., Li, Y., Todorov, V. & Zhou, B., 2021, (Accepted/In press) In: Journal of Econometrics.Research output: Contribution to journal › Article › peer-review
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Consistent inference for predictive regressions in persistent economic systems
Andersen, T. G. & Varneskov, R. T., 2020, (Accepted/In press) In: Journal of Econometrics.Research output: Contribution to journal › Article › peer-review
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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 › peer-review
1 Scopus citations -
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 › peer-review
1 Scopus citations