Torben Andersen

  • 11051 Citations
1994 …2020

Research output per year

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Research Output

2020

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 journalComment/debate

Tail risk and return predictability for the Japanese equity market

Andersen, T. G., Todorov, V. & Ubukata, M., 2020, (Accepted/In press) In : Journal of Econometrics.

Research output: Contribution to journalArticle

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 journalArticle

1 Scopus citations
2019

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 journalArticle

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 journalArticle

2 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 journalArticle

2 Scopus citations
2017

Short-Term Market Risks Implied by Weekly Options

Andersen, T. G., Fusari, N. & Todorov, V., Jun 2017, In : Journal of Finance. 72, 3, p. 1335-1386 52 p.

Research output: Contribution to journalArticle

20 Scopus citations
2016

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

Volatility, Information Feedback and Market Microstructure Noise: A Tale of Two Regimes

Andersen, T. G., Cebiroğlu, G. & Hautsch, N., Jan 10 2016, 34 p.

Research output: Working paper

2015

Assessing measures of order flow toxicity and early warning signals for market turbulence

Andersen, T. & Bondarenko, O., Mar 1 2015, In : Review of Finance. 19, 1, p. 1-54 54 p.

Research output: Contribution to journalArticle

17 Scopus citations

Exploring Return Dynamics via Corridor Implied Volatility

Andersen, T. G., Bondarenko, O. & Gonzalez-Perez, M. T., Oct 2015, In : Review of Financial Studies. 28, 10, p. 2902-2945 44 p.

Research output: Contribution to journalReview article

31 Scopus citations

Parametric Inference and Dynamic State Recovery From Option Panels

Andersen, T. G., Fusari, N. & Todorov, V., May 1 2015, In : Econometrica. 83, 3, p. 1081-1145 65 p.

Research output: Contribution to journalArticle

25 Scopus citations

The fine structure of equity-index option dynamics

Andersen, T. G., Bondarenko, O., Todorov, V. & Tauchen, G., Aug 1 2015, In : Journal of Econometrics. 187, 2, p. 532-546 15 p.

Research output: Contribution to journalArticle

8 Scopus citations

The risk premia embedded in index options

Andersen, T. G., Fusari, N. & Todorov, V., Sep 1 2015, In : Journal of Financial Economics. 117, 3, p. 558-584 27 p.

Research output: Contribution to journalArticle

50 Scopus citations
2014

A robust neighborhood truncation approach to estimation of integrated quarticity

Andersen, T. G., Dobrev, D. & Schaumburg, E., Feb 2014, In : Econometric Theory. 30, 1, p. 3-59 57 p.

Research output: Contribution to journalArticle

18 Scopus citations

Reflecting on the VPIN dispute

Andersen, T. G. & Bondarenko, O., Jan 1 2014, In : Journal of Financial Markets. 17, 1, p. 53-64 12 p.

Research output: Contribution to journalArticle

13 Scopus citations

VPIN and the flash crash

Andersen, T. G. & Bondarenko, O., Jan 1 2014, In : Journal of Financial Markets. 17, 1, p. 1-46 46 p.

Research output: Contribution to journalArticle

36 Scopus citations
2013

Financial Risk Measurement for Financial Risk Management

Andersen, T. G., Bollerslev, T., Christoffersen, P. F. & Diebold, F. X., 2013, Handbook of the Economics of Finance. PB ed. Elsevier B.V., p. 1127-1220 94 p. (Handbook of the Economics of Finance; vol. 2, no. PB).

Research output: Chapter in Book/Report/Conference proceedingChapter

29 Scopus citations
2012

Jump-robust volatility estimation using nearest neighbor truncation

Andersen, T. G., Dobrev, D. & Schaumburg, E., Jul 1 2012, In : Journal of Econometrics. 169, 1, p. 75-93 19 p.

Research output: Contribution to journalArticle

187 Scopus citations

VPIN and the flash crash

Andersen, T. G. & Bondarenko, O., Nov 20 2012, (Accepted/In press) In : Journal of Financial Markets.

Research output: Contribution to journalArticle

2011

A Corridor Fix for VIX: Developing a Coherent Model-Free Option-Implied Volatility Measure

Andersen, T. G., Bondarenko, O. & Gonzalez-Perez, M. T., Jan 2011, 54 p.

Research output: Working paper

A reduced form framework for modeling volatility of speculative prices based on realized variation measures

Andersen, T. G., Bollerslev, T. & Huang, X., Jan 1 2011, In : Journal of Econometrics. 160, 1, p. 176-189 14 p.

Research output: Contribution to journalArticle

89 Scopus citations

Realized volatility forecasting and market microstructure noise

Andersen, T. G., Bollerslev, T. & Meddahi, N., Jan 1 2011, In : Journal of Econometrics. 160, 1, p. 220-234 15 p.

Research output: Contribution to journalArticle

81 Scopus citations

Stochastic Volatility

Andersen, T. G. & Benzoni, L., 2011, Complex Systems in Finance and Econometrics. Meyers, R. A. (ed.). Springer, p. 694-726

Research output: Chapter in Book/Report/Conference proceedingChapter

2010

Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

Andersen, T. G., Bollerslev, T., Frederiksen, P. & Nielsen, M. Ø., Mar 1 2010, In : Journal of Applied Econometrics. 25, 2, p. 233-261 29 p.

Research output: Contribution to journalArticle

87 Scopus citations

Do bonds span volatility risk in the U.S. treasury market? A specification test for affine term structure models

Andersen, T. G. & Benzoni, L., Apr 1 2010, In : Journal of Finance. 65, 2, p. 603-653 51 p.

Research output: Contribution to journalArticle

28 Scopus citations

Parametric and Nonparametric Measurements of Volatility: Volume 1: Tools and Techniques

Andersen, T. G., Bollerslev, T. & Diebold, F. X., 2010, Handbook of Financial Econometrics: Volume 1: Tools and Techniques. Aït-Sahalia, Y. & Hansen, L. P. (eds.). Amsterdam: North-Holland, p. 67-137

Research output: Chapter in Book/Report/Conference proceedingChapter

Parametric and Nonparametric Volatility Measurement

Andersen, T. G., Bollersley, T. & Diebold, F. X., Dec 1 2010, Handbook of Financial Econometrics, Vol 1. Elsevier Inc, p. 67-137 71 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

106 Scopus citations

Realized Volatility and Multipower Variation

Andersen, T. G. & Todorov, V. S., 2010, Encyclopedia of Quantitative Finance. Cont, R., Barndorff-Nielsen, O. & Renault, E. (eds.). John Wiley & Sons, Ltd.

Research output: Chapter in Book/Report/Conference proceedingEntry for encyclopedia/dictionary

2009

Dissecting the Market Pricing of Return Volatility

Andersen, T. G. & Bondarenko, O., May 2009, 39 p.

Research output: Working paper

Handbook of Financial Time Series

Andersen, T. G., Davis, R. A., Kreiss, J-P. & Mikosch, T., 2009, Berlin: Springer-Verlag.

Research output: Book/ReportBook

Introduction

Andersen, T. G., Davis, R. A., Kreiss, J-P. & Mikosch, T., 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J-P. & Mikosch, T. (eds.). Berlin: Springer-Verlag, p. 1-13

Research output: Chapter in Book/Report/Conference proceedingChapter

Realized Volatility

Andersen, T. G. & Benzoni, L., 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J-P. & Mikosch, T. (eds.). Berlin: Springer-Verlag, p. 555-575

Research output: Chapter in Book/Report/Conference proceedingChapter

Stochastic Volatility

Andersen, T. G. & Benzoni, L., 2009, Encyclopedia of Complexity and Systems Science. Meyers, R. & Mizrach, B. (eds.). 1st ed. Springer-Verlag New York Publishers, p. 8783-8815 33 p.

Research output: Chapter in Book/Report/Conference proceedingEntry for encyclopedia/dictionary

Stochastic Volatility: Origins and Overview

Shephard, N. & Andersen, T. G., 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A. & Kreiss, J-P. (eds.). Berlin: Springer-Verlag, p. 233-254

Research output: Chapter in Book/Report/Conference proceedingChapter

2008

Duration-Based Volatility Estimation

Andersen, T. G., Dobrev, D. & Schaumburg, E., Jun 25 2008, 64 p.

Research output: Working paper

Realized Volatility

Andersen, T. G., 2008, The New Palgrave Dictionary of Economics. Durlauf, S. N. & Blume, L. E. (eds.). 2nd ed. Palgrave Macmillan

Research output: Chapter in Book/Report/Conference proceedingEntry for encyclopedia/dictionary

Volatility Modeling

Andersen, T. G., 2008, Encyclopedia of Quantitative Risk Analysis and Assessment. Melnick, E. L. & Everitt, B. S. (eds.). 1st ed. John Wiley & Sons, Ltd., Vol. 4.

Research output: Chapter in Book/Report/Conference proceedingEntry for encyclopedia/dictionary

2007

Construction and Interpretation of Model-free Implied Volatility

Andersen, T. G. & Bondarenko, O., 2007, Volatility As An Asset Class. Nelken, I. (ed.). Risk Publications, p. 141-181 41 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Editors' report 2006

Andersen, T. G., Lewbel, A. & Ng, S., Oct 1 2007, In : Journal of Business and Economic Statistics. 25, 4, 1 p.

Research output: Contribution to journalEditorial

136 Scopus citations

Real-time price discovery in global stock, bond and foreign exchange markets

Andersen, T., Bollerslev, T., Diebold, F. X. & Vega, C., Nov 1 2007, In : Journal of International Economics. 73, 2, p. 251-277 27 p.

Research output: Contribution to journalArticle

421 Scopus citations

Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility

Andersen, T. G., Bollerslev, T. & Diebold, F. X., Nov 1 2007, In : Review of Economics and Statistics. 89, 4, p. 701-720 20 p.

Research output: Contribution to journalArticle

664 Scopus citations
2006

Chapter 15 Volatility and Correlation Forecasting

Andersen, T. G., Bollerslev, T., Christoffersen, P. F. & Diebold, F. X., Dec 1 2006, Handbook of Economic Forecasting. Elliott, G., Granger, C. W. J. & Timmermann, G. (eds.). p. 777-878 102 p. (Handbook of Economic Forecasting; vol. 1).

Research output: Chapter in Book/Report/Conference proceedingChapter

185 Scopus citations

Comment

Andersen, T. G., Bollerslev, T., Frederiksen, P. H. & Nielsen, M. Ø., Apr 1 2006, In : Journal of Business and Economic Statistics. 24, 2, p. 173-179 7 p.

Research output: Contribution to journalComment/debate

8 Scopus citations

Editor report 2005

Andersen, T. G., Oct 1 2006, In : Journal of Business and Economic Statistics. 24, 4, 1 p.

Research output: Contribution to journalEditorial

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Andersen, T. G., Bollerslev, T., Kristoffersen, P. F. & Diebold, F. X., 2006, The Risks of Financial Institutions. Carey, M. & Stutz, R. M. (eds.). Chicago: University of Chicago Press, p. 513-548

Research output: Chapter in Book/Report/Conference proceedingChapter

Realized Beta: Persistence and Predictability: Advances in Econometrics, Volume 20

Andersen, T. G., Bollerslev, T., Diebold, F. X. & Wu, G., 2006, Econometric Analysis of Financial and Economic Time Series - Part B: Advances in Econometrics, Volume 20. Fomby, T. B. & Terrell, D. (eds.). Amsterdam: Elsevier, p. 1-40

Research output: Chapter in Book/Report/Conference proceedingChapter

78 Scopus citations