Torben Andersen

  • 11051 Citations
1994 …2020

Research output per year

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Research Output

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Working paper
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., Cebiro─člu, G. & Hautsch, N., Jan 10 2016, 34 p.

Research output: Working paper

2015
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

2009

Dissecting the Market Pricing of Return Volatility

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

Research output: Working paper

2008

Duration-Based Volatility Estimation

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

Research output: Working paper