Torben Andersen

  • 11051 Citations
1994 …2020

Research output per year

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Research Output

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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
2011

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

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
2009

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: 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

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

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