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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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
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Consistent inference for predictive regressions in persistent economic systems
Andersen, T. G. & Varneskov, R. T., Sep 2021, In: Journal of Econometrics. 224, 1, p. 215-244 30 p.Research output: Contribution to journal › Article › peer-review
4 Scopus citations -
Local mispricing and microstructural noise: A parametric perspective
Andersen, T. G., Archakov, I., Cebiroglu, G. & Hautsch, N., 2021, (Accepted/In press) In: Journal of Econometrics.Research output: Contribution to journal › Article › peer-review
3 Scopus citations -
Recalcitrant betas: Intraday variation in the cross-sectional dispersion of systematic risk
Andersen, T. G., Thyrsgaard, M. & Todorov, V., May 2021, In: Quantitative Economics. 12, 2, p. 647-682 36 p.Research output: Contribution to journal › Article › peer-review
Open Access2 Scopus citations -
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
Open Access8 Scopus citations