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Torben G. Andersen

SSRN Author Rank: 778 by Downloads and 68 by Citations

 Professor
 

Northwestern University - Kellogg School of Management


 2001 Sheridan Road
 Evanston, IL 60208
 United States
 email address
 

National Bureau of Economic Research (NBER)


 1050 Massachusetts Avenue
 Cambridge, MA 02138
 United States
 email address
 

University of Aarhus - CREATES


 School of Economics and Management
 Building 1322, Bartholins Alle 10
 DK-8000 Aarhus C
 Denmark
 email address

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. Torben G. Andersen's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
22,902
Total
Citations
3,127
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.   Incl. Electronic Paper
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
28 Feb 05
Last Revised:
29 Jul 10
2,315
(3,794)
13

2.   Incl. Electronic Paper
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Labys, Paul
Charles River Associates (CRA) - Utah Office
Posted:
09 Mar 01
Last Revised:
10 Dec 08
2,023
(4,792)
407

3.   Incl. Electronic Paper
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
21 Jan 05
Last Revised:
13 Mar 05
1,715
(6,392)
25

4.  
Realized Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
FRB of Chicago Working Paper No. 2008-14
Number of Pages in PDF File: 29
Andersen, Torben G.
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Posted:
12 Feb 08
Last Revised:
05 Dec 08
1,638
(6,428)
15

5.  
VPIN and the Flash Crash | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Markets, Vol. 17, pp. 1-46, 2014
Number of Pages in PDF File: 44
Andersen, Torben G.
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Posted:
09 Jul 11
Last Revised:
18 Feb 14
1,369
(7,390)
3

6.   Incl. Electronic Paper
Andersen, Torben G.
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Posted:
21 Dec 07
Last Revised:
16 Jul 10
1,163
(12,187)
1

7.   Incl. Electronic Paper
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
07 Nov 11
Last Revised:
19 May 12
1,158
(12,270)
44

8.  
Realized Beta: Persistence and Predictability | Show Abstract | Download This Paper | Open PDF in Browser |
PIER Working Paper No. 04-018
Number of Pages in PDF File: 63
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Wu, Jin (Ginger)
University of Georgia - Department of Banking and Finance
Posted:
07 May 04
985
(14,352)
40

9.   Incl. Electronic Paper
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
06 Nov 03
Last Revised:
01 Dec 03
984
(15,710)
126

10.   Incl. Electronic Paper
Andersen, Torben G.
Vega, Clara
Board of Governors of the Federal Reserve System
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
30 Jun 04
Last Revised:
17 Jul 09
815
(20,803)
150

11.   Incl. Electronic Paper
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
31 Jul 02
Last Revised:
18 Aug 02
759
(23,076)
150

12.   Incl. Electronic Paper
Andersen, Torben G.
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Posted:
15 Mar 06
Last Revised:
03 Sep 10
713
(25,207)
17

13.  
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Labys, Paul
Charles River Associates (CRA) - Utah Office
Posted:
02 May 01
667
(26,246)
312

14.   Incl. Electronic Paper
Vega, Clara
Board of Governors of the Federal Reserve System
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
17 May 02
Last Revised:
27 Oct 10
593
(32,495)
217

15.   Incl. Electronic Paper
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Wu, Jin (Ginger)
University of Georgia - Department of Banking and Finance
Posted:
08 Feb 05
Last Revised:
15 Mar 05
590
(32,707)
27

16.   Incl. Electronic Paper
Andersen, Torben G.
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Posted:
28 Sep 07
Last Revised:
12 Oct 11
480
(42,837)
7

17.  
Exploring Return Dynamics via Corridor Implied Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
Review of Financial Studies, Vol. 28 (10), pp. 2902-2945, 2015
Number of Pages in PDF File: 37
Andersen, Torben G.
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Gonzalez-Perez, Maria T.
Universidad Complutense de Madrid - Colegio Universitario de Estudios Financieros (CUNEF)
Posted:
21 Mar 11
Last Revised:
10 Oct 15
477
(31,874)
 

18.  
Andersen, Torben G.
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Posted:
12 Jul 13
Last Revised:
06 Apr 15
405
(39,253)
 

19.  
Reflecting on the VPIN Dispute | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Markets, Vol. 17, pp. 53-64, 2014
Number of Pages in PDF File: 12
Andersen, Torben G.
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Posted:
05 Aug 13
Last Revised:
18 Feb 14
399
(44,333)
 

20.   Incl. Electronic Paper
Andersen, Torben G.
Vega, Clara
Board of Governors of the Federal Reserve System
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
05 Dec 06
Last Revised:
18 Aug 08
331
(66,998)
145

21.   Incl. Electronic Paper
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
16 Feb 06
Last Revised:
05 Sep 10
308
(72,712)
229

22.  
A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Econometrics, Vol. 160, Issue 1, pp. 176-189, January 2011, CREATES Research Paper 2007-14
Number of Pages in PDF File: 31
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Huang, Xin
Board of Governors of the Federal Reserve System
Posted:
23 Jun 08
Last Revised:
07 Jan 12
271
(80,033)
12

23.   Incl. Electronic Paper
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Labys, Paul
Charles River Associates (CRA) - Utah Office
Posted:
23 Jun 99
Last Revised:
12 Oct 10
217
(105,354)
303

24.  
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Frederiksen, Per Skaarup
BlackRock, Inc
Nielsen, Morten Ørregaard
Queen's University - Department of Economics
Sommer, Margit
School of Economics and Management
Posted:
23 Jun 08
Last Revised:
02 Dec 08
211
(105,354)
17

25.  
The Fine Structure of Equity-Index Option Dynamics | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Econometrics, Vol. 187, pp. 532-546, 2015
Number of Pages in PDF File: 33
Andersen, Torben G.
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Todorov, Viktor
Tauchen, George
Duke University - Economics Group
Posted:
08 Nov 13
Last Revised:
10 Oct 15
165
(106,303)
 

26.  
Andersen, Torben G.
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Posted:
27 Sep 13
Last Revised:
01 Oct 13
165
(115,693)
 

27.   Incl. Electronic Paper
Andersen, Torben G.
Dobrev, Dobrislav
Board of Governors of the Federal Reserve System
Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
Posted:
18 Nov 09
Last Revised:
05 Aug 10
143
(153,688)
25

28.  
The Distribution of Stock Return Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
NBER Working Paper No. w7933
Number of Pages in PDF File: 41
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Ebens, Heiko
Johns Hopkins University - Department of Economics
Posted:
30 Sep 00
142
(144,339)
303

29.   Incl. Electronic Paper
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Labys, Paul
Charles River Associates (CRA) - Utah Office
Posted:
10 Mar 00
Last Revised:
24 Mar 16
111
(186,666)
41

30.  
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Posted:
14 Jul 00
103
(189,213)
15

31.  
Realized Volatility and Multipower Variation | Show Abstract | Download This Paper | Open PDF in Browser |
CREATES Research Paper 2009-49
Number of Pages in PDF File: 16
Andersen, Torben G.
Todorov, Viktor
Posted:
29 Oct 09
83
(214,056)
2

32.   Incl. Electronic Paper
Andersen, Torben G.
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Posted:
29 Sep 01
Last Revised:
18 Jun 08
77
(236,992)
143

33.  
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Posted:
17 Jul 00
65
(254,205)
146

34.  
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Das, Ashish
affiliation not provided to SSRN
Posted:
29 Jun 00
58
(269,207)
1

35.  
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Dobrev, Dobrislav
Board of Governors of the Federal Reserve System
Posted:
21 Mar 07
56
(278,204)
36

36.  
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Posted:
20 Nov 96
55
(278,204)
108

37.  
Analytical Evaluation of Volatility Forecasts | Show Abstract | Add to Cart |
International Economic Review Vol. 45, No. 4, pp. 1079-1110, November 2004
Number of Pages in PDF File: 32
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Meddahi, Nour
University of Montreal - Department of Economics
Posted:
27 Oct 04
33
(346,389)
38

38.  
Andersen, Torben G.
Dobrev, Dobrislav
Board of Governors of the Federal Reserve System
Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
Posted:
20 Jun 11
11
(431,875)
2

39.  
The Pricing of Short-Term Market Risk: Evidence from Weekly Options | Show Abstract | Add to Cart |
NBER Working Paper No. w21491
Number of Pages in PDF File: 54
Andersen, Torben G.
Fusari, Nicola
Todorov, Viktor
Posted:
25 Aug 15
8
(411,964)
 

40.  
Business Cycle Dependent Unemployment Insurance | Show Abstract | Add to Cart |
CEPR Discussion Paper No. DP7334
Number of Pages in PDF File: 48
Andersen, Torben G.
Svarer, Michael
University of Aarhus - Department of Economics
Posted:
15 Jul 09
6
(471,196)
4

41.  
Andersen, Torben G.
Fusari, Nicola
Todorov, Viktor
Posted:
04 May 12
4
(456,730)
3

42.  
Andersen, Torben G.
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Kyle, Albert S.
University of Maryland
Obizhaeva, Anna A.
New Economic School (NES)
Posted:
22 Nov 15
Last Revised:
19 Mar 16
0
(110,887)
 

43.  
Discussion | Show Abstract |
Journal of Financial Econometrics, Vol. 2, No. 1, pp. 37-48, 2004
Andersen, Torben G.
Posted:
29 Feb 08
 

44.  
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study | Show Abstract |
Kellogg Graduate School of Management Working Paper No. 175
Andersen, Torben G.
Sørensen, Bent E.
University of Houston - Department of Economics
Posted:
20 Dec 98
 

45.  
Andersen, Torben G.
Posted:
12 Jun 96
 

46.  
Andersen, Torben G.
Posted:
27 Jun 94
 


Records 1 - 46 of 46 matches
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