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Andersen, Torben G.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
17,777 |
Total
Citations
3,093 |
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1.
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Volatility Forecasting
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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
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Posted:
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28 Feb 05
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Last Revised:
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29 Jul 10
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1,935
(3,030)
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13
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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
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122
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13
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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
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1,813
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13
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2.
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Modeling and Forecasting Realized Volatility
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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
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Posted:
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09 Mar 01
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Last Revised:
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10 Dec 08
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1,830
(3,310)
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393
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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
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1,747
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393
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Continuous-Time Methods, Quadratic Variation, Realized Volatility, Realized Correlation, High-Frequency Data, Exchange Rates, Vector Autoregression, Long Memory, Volatility Forecasting, Correlation Forecasting, Density Forecasting, Risk Management, Value at Risk
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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
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83
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393
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3.
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Practical Volatility and Correlation Modeling for Financial Market Risk Management
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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
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Posted:
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21 Jan 05
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Last Revised:
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13 Mar 05
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1,621
(4,122)
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27
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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
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128
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27
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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
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1,493
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27
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None
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4.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
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12 Feb 08
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Last Revised:
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05 Dec 08
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1,472
(4,881)
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16
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Realized Volatility, Stochastic Volatility, Quadratic Variation, Bipower Variation, Variance Swap, Impled Volatility
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5.
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Stochastic Volatility
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
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Posted:
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21 Dec 07
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Last Revised:
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16 Jul 10
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1,076
(8,338)
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1
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
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157
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1
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Stochastic Volatility, Realized Volatility, Implied Volatility, Options, Volatility Smirk, Volatility Smile, Dynamic Term Structure Models, Affine Models
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
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| Posted: |
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21 Dec 07
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Last Revised:
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16 Jul 10
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919
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1
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Stochastic Volatility, Realized Volatility, Impled Volatility, Options, Smirk, Smile, Term Structure of Interest Rates, Affine Models
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6.
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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
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893
(11,194)
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38
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quadratic variation and covariation, realized volatility, asset pricing, CAPM, equity betas, long memory, nonlinear fractional cointegration, continuous-time methods
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7.
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Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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06 Nov 03
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Last Revised:
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01 Dec 03
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889
(11,276)
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127
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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294
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127
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Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, high-frequency data, volatility forecasting, HAR-RV model
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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595
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127
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Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, high-frequency data, volatility forecasting, HAR-RV model
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8.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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| Posted: |
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09 Jul 11
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Last Revised:
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23 May 13
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776
(13,944)
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2
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VPIN, PIN, High-Frequency Trading, Order Flow Toxicity, Order Imbalance, Flash Crash, VIX, Volatility Forecasting
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9.
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Financial Risk Measurement for Financial Risk Management
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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
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Posted:
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07 Nov 11
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Last Revised:
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19 May 12
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760
(14,377)
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44
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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
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44
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44
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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
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716
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44
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Market risk, volatility, GARCH
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10.
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Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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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
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Posted:
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30 Jun 04
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Last Revised:
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17 Jul 09
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749
(14,641)
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151
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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
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37
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151
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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
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712
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151
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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting
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11.
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Parametric and Nonparametric Volatility Measurement
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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31 Jul 02
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Last Revised:
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18 Aug 02
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729
(15,247)
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144
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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34
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144
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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695
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144
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12.
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Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
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Posted:
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15 Mar 06
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Last Revised:
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03 Sep 10
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690
(16,509)
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17
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
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24
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17
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
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| Posted: |
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15 Mar 06
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Last Revised:
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25 Jun 08
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666
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17
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Interest Rate Volatility, Hedging, Volatility Risk, Unspanned Stochastic Volatility, Affine Models, Term Structure Models
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13.
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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
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630
(18,844)
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301
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Realized Volatility, Integrated Volatility, Quadratic Variation, Long-Memory, High-Frequency Data, Risk Management, Forecasting
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14.
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A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
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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
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Posted:
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08 Feb 05
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Last Revised:
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15 Mar 05
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553
(22,504)
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24
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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
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32
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24
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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
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521
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24
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Realized volatility, realized beta, conditional CAPM, business cycle
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15.
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Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
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hide multiple versions |
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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
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Posted:
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17 May 02
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Last Revised:
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27 Oct 10
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547
(22,838)
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221
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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
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36
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221
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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
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511
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221
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Exchange Rates, Macroeconomic News Announcements, Jumps, Market Microstructure, High-Frequency Data, Expectations Data, Anticipations Data, Order Flow, Asset Return Volatility, Forecasting
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16.
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Construction and Interpretation of Model-Free Implied Volatility
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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Posted:
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28 Sep 07
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Last Revised:
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12 Oct 11
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405
(33,905)
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8
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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| Posted: |
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23 Jun 08
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Last Revised:
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12 Oct 11
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360
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8
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Model-Free Implied Volatility, Corridor Implied Volatility, Realized Volatility, VIX, Volatility Forecasting, Risk-Neutral Density
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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45
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8
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17.
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Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
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Show Abstracts |
Hide Abstracts |
Versions (3)
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hide multiple versions |
Export Bibliographic Info |
|
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
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Posted:
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05 Dec 06
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Last Revised:
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18 Aug 08
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277
(53,431)
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147
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Vega, Clara
Board of Governors of the Federal Reserve System
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106
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147
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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting
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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
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0
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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting
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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
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171
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147
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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting
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18.
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Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
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hide multiple versions |
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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16 Feb 06
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Last Revised:
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05 Sep 10
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273
(54,292)
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226
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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238
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118
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Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, highfrequency data, volatility forecasting, macroeconomic news, HAR-RV model, HAR-RV-CJ model
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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35
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226
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19.
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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)
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| Posted: |
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21 Mar 11
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Last Revised:
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06 Dec 12
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262
(56,871)
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VIX, Model-Free Implied Volatility, Corridor Implied Volatility, Time Series Coherence
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20.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Huang, Xin
University of Oklahoma
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| Posted: |
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23 Jun 08
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Last Revised:
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07 Jan 12
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215
(70,259)
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11
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Stochastic Volatility, Realized Variation, Bipower Variation, Jumps, Hazard Rates, Overnight Volatility
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21.
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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
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| Posted: |
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23 Jun 08
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Last Revised:
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02 Dec 08
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201
(75,191)
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19
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Return distributions, continuous-time models, mixture-of-distributions hypothesis, financial-time sampling, high-frequency data, volatility signature plots, realized volatilities, jumps, leverage and volatility feedback effects
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22.
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The Distribution of Exchange Rate Volatility
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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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
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Posted:
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23 Jun 99
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Last Revised:
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12 Oct 10
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191
(79,074)
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295
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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
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113
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294
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Financial Market Volatility, High-Frequency Data, Realized Volatility, Quadratic Variation, Exchange Rates, Long-Memory
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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
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78
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295
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23.
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Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation
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Versions (3)
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Dobrev, Dobrislav
Federal Reserve Board Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
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Posted:
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18 Nov 09
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Last Revised:
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05 Aug 10
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121
(118,552)
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22
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Dobrev, Dobrislav
Federal Reserve Board Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
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61
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22
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Integrated Volatility, Jump Robust
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Dobrev, Dobrislav
Federal Reserve Board Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
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15
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22
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Dobrev, Dobrislav
Federal Reserve Board Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
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45
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22
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High-frequency data, Integrated variance, Finite activity jumps, Realized volatility, Jump robustness, Nearest neighbor truncation
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24.
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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
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119
(120,033)
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303
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25.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance
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98
(138,463)
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17
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26.
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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
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79
(159,204)
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39
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27.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Todorov, Viktor
Northwestern University
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71
(169,659)
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1
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realized volatility, multipower variation, jumps, quadratic variation, volatility estimation, volatility forecasting, jump testing, continuous-time stochastic volatility model
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28.
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An Empirical Investigation of Continuous-Time Equity Return Models
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Versions (2)
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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
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Posted:
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29 Sep 01
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Last Revised:
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18 Jun 08
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70
(171,029)
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146
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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
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0
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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
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70
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146
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29.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance
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57
(190,554)
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148
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30.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Das, Ashish
affiliation not provided to SSRN
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53
(197,209)
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2
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31.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance
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50
(202,445)
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109
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32.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Dobrev, Dobrislav
Federal Reserve Board
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41
(219,985)
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38
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33.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Meddahi, Nour
University of Montreal - Department of Economics
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33
(237,888)
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37
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34.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Svarer, Michael
University of Aarhus - Department of Economics
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6
(325,548)
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4
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business cycle, incentives, insurance, unemployment benefits,
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35.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Dobrev, Dobrislav
Federal Reserve Board Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
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5
(328,297)
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36.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Fusari, Nicola
Northwestern University - Kellogg School of Management Todorov, Viktor
Northwestern University
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0
(353,049)
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2
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37.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management
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bipower variation, integrated variance, jump process, power variation, quadratic variation, realized variance, realized volatility, semimartingale, volatility
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38.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Sorensen, Bent E.
University of Houston - Department of Economics
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39.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Lund, Jesper
Copenhagen Business School - Department of Finance
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40.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management
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41.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management
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