Torben G. Andersen

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns

Year: 1996
Journal: Journal of Finance
Authors: Torben G. Andersen; Tim Bollerslev

An Empirical Investigation of Continuous-Time Equity Return Models

Year: 2001
Journal: Journal of Finance
Authors: Torben G. Andersen; Luca Benzoni; Jesper Lund

Micro Effects of Macro Announcements: Realtime Price Discovery in Foreign Exchange

Year: 2002
Journal: American Economic Review
Authors: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Clara Vega

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Year: 2005
Journal: Risk Management
Authors: Torben G. Andersen; Tim Bollerslev; Peter F. Christoffersen; Francis X. Diebold

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Year: 2005
Journal: American Economic Review
Authors: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Jin Ginger Wu

Realtime Price Discovery in Stock, Bond, and Foreign Exchange Markets

Year: 2005
Journal: Journal of International Economics
Authors: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Clara Vega

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

Year: 2005
Journal: Review of Economics and Statistics
Authors: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold

Volatility Forecasting

Year: 2005
Journal: No Journal Matched
Authors: Torben G. Andersen; Tim Bollerslev; Peter F. Christoffersen; Francis X. Diebold

Do Bonds Span Volatility Risk in the US Treasury Market? A Specification Test for Affine Term Structure Models

Year: 2007
Journal: Journal of Finance
Authors: Torben G. Andersen; Luca Benzoni

Construction and Interpretation of Modelfree Implied Volatility

Year: 2007
Journal: No Journal Matched
Authors: Torben G. Andersen; Oleg Bondarenko

No-Arbitrage Semimartingale Restrictions for Continuous-Time Volatility Models Subject to Leverage Effects, Jumps, and IID Noise: Theory and Testable Distributional Implications

Year: 2007
Journal: Journal of Econometrics
Authors: Torben G. Andersen; Tim Bollerslev; Dobrislav Dobrev

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

Year: 2009
Journal: Journal of Econometrics
Authors: Torben G. Andersen; Dobrislav Dobrev; Ernst Schaumburg

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

Year: 2011
Journal: Econometric Theory
Authors: Torben G. Andersen; Dobrislav Dobrev; Ernst Schaumburg

Parametric Inference and Dynamic State Recovery from Option Panels

Year: 2012
Journal: Econometrica
Authors: Torben G. Andersen; Nicola Fusari; Viktor Todorov

Financial Risk Measurement for Financial Risk Management

Year: 2012
Journal: No Journal Matched
Authors: Torben G. Andersen; Tim Bollerslev; Peter F. Christoffersen; Francis X. Diebold

The Pricing of Short-Term Market Risk: Evidence from Weekly Options

Year: 2015
Journal: Journal of Finance
Authors: Torben G. Andersen; Nicola Fusari; Viktor Todorov

Cross-Sectional Dispersion of Risk in Trading Time

Year: 2019
Journal: No Journal Matched
Authors: Torben G. Andersen; Martin Thyrsgaard; Viktor Todorov

Consistent Inference for Predictive Regressions in Persistent Economic Systems

Year: 2021
Journal: Journal of Econometrics
Authors: Torben G. Andersen; Rasmus T. Varneskov

Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions

Year: 2021
Journal: No Journal Matched
Authors: Torben G. Andersen; Rasmus T. Varneskov

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Year: 2021
Journal: Journal of Econometrics
Authors: Torben G. Andersen; Rasmus T. Varneskov