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Andersen, Torben G.


 SSRN Author Rank: 693 by Downloads
 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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. Andersen, Torben G.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
20,165
Total
Citations
3,218
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.
Northwestern University - Kellogg School of Management
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
2,099
(3,314)
13

2.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
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
1,911
(3,886)
411

3.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
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
1,659
(4,975)
28

4.  
Realized Volatility | Show Abstract | Download |
FRB of Chicago Working Paper No. 2008-14
Working Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Posted:
12 Feb 08
Last Revised:
05 Dec 08
1,570
(5,498)
16

5.  
VPIN and the Flash Crash | Show Abstract | Download |
Journal of Financial Markets, Vol. 17, pp. 1-46, 2014
Accepted Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Posted:
09 Jul 11
Last Revised:
18 Feb 14
1,172
(8,995)
3

6.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Posted:
21 Dec 07
Last Revised:
16 Jul 10
1,120
(9,665)
1

7.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
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
973
(12,112)
46

8.  
Realized Beta: Persistence and Predictability | Show Abstract | Download |
PIER Working Paper No. 04-018
Working Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
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
946
(12,614)
41

9.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
06 Nov 03
Last Revised:
01 Dec 03
936
(12,799)
128

10.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
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
780
(16,869)
155

11.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
31 Jul 02
Last Revised:
18 Aug 02
742
(18,117)
150

12.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Posted:
15 Mar 06
Last Revised:
03 Sep 10
701
(19,696)
18

13.  
The Distribution of Realized Exchange Rate Volatility | Show Abstract | Download |
PIER Working Paper No. 01-003
Working Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
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
654
(21,776)
318

14.   Incl. Electronic Paper
Vega, Clara
Board of Governors of the Federal Reserve System
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
17 May 02
Last Revised:
27 Oct 10
568
(26,431)
228

15.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
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
566
(26,556)
26

16.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Posted:
28 Sep 07
Last Revised:
12 Oct 11
445
(36,443)
8

17.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
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 14
369
(45,916)
1

18.  
Reflecting on the VPIN Dispute | Show Abstract | Download |
Journal of Financial Markets, Vol. 17, pp. 53-64, 2014
Accepted Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Posted:
05 Aug 13
Last Revised:
18 Feb 14
309
(56,794)
 

19.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
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
298
(59,413)
151

20.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
16 Feb 06
Last Revised:
05 Sep 10
287
(61,754)
235

21.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Posted:
12 Jul 13
Last Revised:
20 Aug 14
277
(64,311)
2

22.  
A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures | Show Abstract | Download |
Journal of Econometrics, Vol. 160, Issue 1, pp. 176-189, January 2011, CREATES Research Paper 2007-14
Accepted Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Huang, Xin
University of Oklahoma
Posted:
23 Jun 08
Last Revised:
07 Jan 12
255
(70,303)
13

23.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Frederiksen, Per Skaarup
BlackRock, Inc
Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics
Sommer, Margit
School of Economics and Management
Posted:
23 Jun 08
Last Revised:
02 Dec 08
208
(86,984)
20

24.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
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
199
(90,860)
311

25.  
The Distribution of Stock Return Volatility | Show Abstract | Download |
NBER Working Paper No. w7933
Working Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
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
136
(128,108)
315

26.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Dobrev, Dobrislav
Board of Governors of the Federal Reserve System (FRB)
Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
Posted:
18 Nov 09
Last Revised:
05 Aug 10
132
(131,217)
25

27.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Posted:
27 Sep 13
Last Revised:
01 Oct 13
127
(135,365)
 

28.  
The Fine Structure of Equity-Index Option Dynamics | Show Abstract | Download |
Journal of Econometrics, Forthcoming
Accepted Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Todorov, Viktor
Northwestern University
Tauchen, George
Duke University - Economics Group
Posted:
08 Nov 13
Last Revised:
04 Aug 14
113
(148,030)
 

29.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Posted:
14 Jul 00
101
(160,374)
17

30.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
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
84
(180,987)
41

31.  
Realized Volatility and Multipower Variation | Show Abstract | Download |
CREATES Research Paper 2009-49
Working Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Todorov, Viktor
Northwestern University
Posted:
29 Oct 09
80
(186,574)
2

32.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Lund, Jesper
Copenhagen Business School - Department of Finance
Posted:
29 Sep 01
Last Revised:
18 Jun 08
73
(197,016)
148

33.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Posted:
17 Jul 00
62
(215,218)
151

34.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Das, Ashish
affiliation not provided to SSRN
Posted:
29 Jun 00
58
(222,630)
1

35.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Posted:
20 Nov 96
55
(228,440)
110

36.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Dobrev, Dobrislav
Board of Governors of the Federal Reserve System (FRB)
Posted:
21 Mar 07
52
(234,496)
38

37.  
Analytical Evaluation of Volatility Forecasts | Show Abstract | Download |
International Economic Review Vol. 45, No. 4, pp. 1079-1110, November 2004
Accepted Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Meddahi, Nour
University of Montreal - Department of Economics
Posted:
27 Oct 04
33
(280,278)
38

38.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Dobrev, Dobrislav
Board of Governors of the Federal Reserve System (FRB)
Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
Posted:
20 Jun 11
8
(379,004)
2

39.  
Business Cycle Dependent Unemployment Insurance | Show Abstract | Download |
CEPR Discussion Paper No. DP7334
Working Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Svarer, Michael
University of Aarhus - Department of Economics
Posted:
15 Jul 09
6
(387,099)
4

40.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Fusari, Nicola
Northwestern University - Kellogg School of Management
Todorov, Viktor
Northwestern University
Posted:
04 May 12
1
(414,724)
3

41.  
Discussion | Show Abstract |
Journal of Financial Econometrics, Vol. 2, No. 1, pp. 37-48, 2004
Accepted Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Posted:
29 Feb 08
 

42.  
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study | Show Abstract |
Kellogg Graduate School of Management Working Paper No. 175
Working Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Sorensen, Bent E.
University of Houston - Department of Economics
Posted:
20 Dec 98
 

43.  
Stochastic Volatility and Mean Drift in the Short Term Interest Rate Diffusion: Sources of Steepness, Level and Curvature in the Yield Curve | Show Abstract |
Department of Finance, Working Paper #214, J.L. Kellogg Graduate School of Management, Northwestern University
Working Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Lund, Jesper
Copenhagen Business School - Department of Finance
Posted:
09 Jul 98
 

44.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Posted:
12 Jun 96
 

45.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Posted:
27 Jun 94
 


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