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 keywords
- Asset pricing
- Econometrics
- Equity Markets (Stock Market)
- Financial engineering
- International finance
- Investments and portfolio choice
- Microeconomics
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Grants
- 2 Finished
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Corrigendum to “Local mispricing and microstructural noise: A parametric perspective” [J. Econometrics 230 (2022) 510–534, (S0304407621001780), (10.1016/j.jeconom.2021.06.006)]
Andersen, T. G., Archakov, I., Cebiroglu, G. & Hautsch, N., Feb 2023, In: Journal of Econometrics. 232, 2, p. 598-603 6 p.Research output: Contribution to journal › Comment/debate › peer-review
Open Access -
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
Andersen, T. G. & Varneskov, R. T., Dec 3 2022, In: Econometric Theory. 38, 6, p. 1253-1307 55 p.Research output: Contribution to journal › Article › peer-review
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Intraday cross-sectional distributions of systematic risk
Andersen, T. G., Riva, R., Thyrsgaard, M. & Todorov, V., 2022, (Accepted/In press) In: Journal of Econometrics.Research output: Contribution to journal › Article › peer-review
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Local mispricing and microstructural noise: A parametric perspective
Andersen, T. G., Archakov, I., Cebiroglu, G. & Hautsch, N., Oct 2022, In: Journal of Econometrics. 230, 2, p. 510-534 25 p.Research output: Contribution to journal › Article › peer-review
1 Scopus citations -
Overview: Time series analysis of higher moments and distributions of financial data
Andersen, T. G., Chang, C. L. & Ling, S., Mar 2022, In: Journal of Econometrics. 227, 1, p. 1-3 3 p.Research output: Contribution to journal › Editorial › peer-review