Torben Andersen

  • 9760 Citations
19942019
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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
Stochastic Volatility Model Mathematics
Jump Mathematics
Realized Volatility Mathematics
Market Microstructure Mathematics
Volatility Forecasting Mathematics
Leverage Effect Mathematics
Return volatility Business & Economics

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Grants 2015 2018

Econometrics
Derivative markets
Derivatives
Canada
Organizing
Pricing
Econometrics
Derivatives
Inference
Crash

Research Output 1994 2019

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 journalArticle

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 journalArticle

Inference
Factors
Limit distribution
Penalty
Scenarios
9 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 journalArticle

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
Options markets
Factors
Equity
Tail risk
Pricing