Torben G. Andersen

Northwestern University - Kellogg School of Management

Professor

2001 Sheridan Road

Evanston, IL 60208

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Aarhus University - CREATES

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

  • Northwestern University - Kellogg School of Management

  • National Bureau of Economic Research (NBER)

  • Aarhus University - CREATES

SCHOLARLY PAPERS

54

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1,633

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2,806

Scholarly Papers (54)

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1.

Volatility Forecasting

Downloads 2,739 ( 5,912)
Citation 7

Volatility Forecasting

Number of pages: 114 Posted: 28 Feb 2005
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 2,436 (6,987)

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Volatility Forecasting

NBER Working Paper No. w11188
Number of pages: 113 Posted: 20 May 2005 Last Revised: 29 Jul 2021
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 303 (125,810)
Citation 3

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2.

Modeling and Forecasting Realized Volatility

Downloads 2,358 ( 7,520)
Citation 236

Modeling and Forecasting Realized Volatility

Number of pages: 47 Posted: 02 May 2001
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 2,194 (8,273)
Citation 203

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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

Modeling and Forecasting Realized Volatility

NBER Working Paper No. w8160
Number of pages: 47 Posted: 09 Mar 2001 Last Revised: 19 Apr 2021
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 164 (226,817)
Citation 42

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3.

VPIN and the Flash Crash

Journal of Financial Markets, Vol. 17, pp. 1-46, 2014
Number of pages: 44 Posted: 09 Jul 2011 Last Revised: 18 Feb 2014
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 2,298 (7,836)
Citation 13

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VPIN, PIN, High-Frequency Trading, Order Flow Toxicity, Order Imbalance, Flash Crash, VIX, Volatility Forecasting

4.

Realized Volatility

FRB of Chicago Working Paper No. 2008-14
Number of pages: 29 Posted: 12 Feb 2008 Last Revised: 05 Dec 2008
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 2,101 (9,048)
Citation 9

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Realized Volatility, Stochastic Volatility, Quadratic Variation, Bipower Variation, Variance Swap, Impled Volatility

5.

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Downloads 1,847 ( 11,176)
Citation 96

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Number of pages: 41 Posted: 21 Jan 2005
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,636 (13,287)
Citation 2

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Practical Volatility and Correlation Modeling for Financial Market Risk Management

NBER Working Paper No. w11069
Number of pages: 41 Posted: 16 Feb 2005 Last Revised: 07 Oct 2021
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 211 (181,059)
Citation 11

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6.

Financial Risk Measurement for Financial Risk Management

Downloads 1,333 ( 18,579)
Citation 32

Financial Risk Measurement for Financial Risk Management

PIER Working Paper No. 11-037
Number of pages: 130 Posted: 07 Nov 2011
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,236 (20,484)
Citation 1

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Market risk, volatility, GARCH

Financial Risk Measurement for Financial Risk Management

NBER Working Paper No. w18084
Number of pages: 130 Posted: 19 May 2012 Last Revised: 31 May 2021
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 97 (337,542)
Citation 5

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7.

Stochastic Volatility

Downloads 1,287 ( 19,544)
Citation 5

Stochastic Volatility

Number of pages: 55 Posted: 21 Dec 2007 Last Revised: 16 Jul 2010
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 1,064 (25,569)
Citation 1

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Stochastic Volatility, Realized Volatility, Impled Volatility, Options, Smirk, Smile, Term Structure of Interest Rates, Affine Models

Stochastic Volatility

CREATES Research Paper No. 2010-10
Number of pages: 57 Posted: 28 Feb 2010
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 223 (171,720)
Citation 4

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Stochastic Volatility, Realized Volatility, Implied Volatility, Options, Volatility Smirk, Volatility Smile, Dynamic Term Structure Models, Affine Models

8.

Realized Beta: Persistence and Predictability

Number of pages: 63 Posted: 07 May 2004
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Jin (Ginger) Wu
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and University of Georgia - Department of Banking and Finance
Downloads 1,250 (20,481)
Citation 45

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quadratic variation and covariation, realized volatility, asset pricing, CAPM, equity betas, long memory, nonlinear fractional cointegration, continuous-time methods

9.

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

Downloads 1,152 ( 23,102)
Citation 32

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

Number of pages: 41 Posted: 06 Nov 2003
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 787 (39,063)
Citation 35

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Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, high-frequency data, volatility forecasting, HAR-RV model

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

Number of pages: 42 Posted: 01 Dec 2003
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 365 (102,411)
Citation 39

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Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, high-frequency data, volatility forecasting, HAR-RV model

10.

Intraday Trading Invariance in the E-Mini S&P 500 Futures Market

Number of pages: 50 Posted: 22 Nov 2015 Last Revised: 08 Aug 2018
Torben G. Andersen, Oleg Bondarenko, Albert S. Kyle and Anna A. Obizhaeva
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance, University of Maryland and New Economic School (NES)
Downloads 978 (29,264)
Citation 25

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market microstructure, invariance, high-frequency trading, liquidity, volatility, volume, time series, intraday patterns

11.

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

Downloads 951 ( 30,472)
Citation 80

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

Number of pages: 51 Posted: 30 Jun 2004
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 855 (34,824)
Citation 12

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

NBER Working Paper No. w11312
Number of pages: 56 Posted: 09 Jun 2005 Last Revised: 17 Jul 2009
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 96 (339,843)
Citation 8

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12.

Exploring Return Dynamics via Corridor Implied Volatility

Review of Financial Studies, Vol. 28 (10), pp. 2902-2945, 2015
Number of pages: 37 Posted: 21 Mar 2011 Last Revised: 10 Oct 2015
Torben G. Andersen, Oleg Bondarenko and Maria T. Gonzalez-Perez
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance and Bank of Spain
Downloads 843 (36,058)
Citation 33

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VIX, Model-Free Implied Volatility, Corridor Implied Volatility, Time Series Coherence

13.

Parametric and Nonparametric Volatility Measurement

Downloads 812 ( 37,931)
Citation 138

Parametric and Nonparametric Volatility Measurement

Number of pages: 69 Posted: 31 Jul 2002
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 743 (42,227)
Citation 2

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Parametric and Nonparametric Volatility Measurement

NBER Working Paper No. t0279
Number of pages: 68 Posted: 18 Aug 2002 Last Revised: 08 Oct 2021
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 69 (414,763)
Citation 33

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14.

The Distribution of Realized Exchange Rate Volatility

Number of pages: 32 Posted: 02 May 2001
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 795 (39,085)
Citation 98

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Realized Volatility, Integrated Volatility, Quadratic Variation, Long-Memory, High-Frequency Data, Risk Management, Forecasting

15.

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

Downloads 744 ( 42,749)
Citation 33

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

AFA 2007 Chicago Meetings Paper, FRB of Chicago Working Paper No. 2006-15
Number of pages: 61 Posted: 15 Mar 2006 Last Revised: 25 Jun 2008
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 708 (45,084)
Citation 2

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Interest Rate Volatility, Hedging, Volatility Risk, Unspanned Stochastic Volatility, Affine Models, Term Structure Models

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

NBER Working Paper No. w12962
Number of pages: 59 Posted: 15 Mar 2007 Last Revised: 03 Jun 2021
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 36 (554,791)
Citation 4

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16.

Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence

Review of Finance, Vol. 19, pp. 1-54, 2015
Number of pages: 43 Posted: 12 Jul 2013 Last Revised: 06 Apr 2015
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 715 (45,192)
Citation 11

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VPIN, Order Flow Toxicity, Order Imbalance, Accuracy of Trade Classification, Volatility Forecasting

17.

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Downloads 690 ( 47,322)
Citation 367

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Number of pages: 38 Posted: 17 May 2002
Clara Vega, Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Board of Governors of the Federal Reserve System, Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 598 (56,324)
Citation 2

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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

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

NBER Working Paper No. w8959
Number of pages: 38 Posted: 24 May 2002 Last Revised: 26 Jun 2021
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 92 (349,217)
Citation 52

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18.

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Downloads 635 ( 52,825)
Citation 37

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Number of pages: 18 Posted: 08 Feb 2005
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Jin (Ginger) Wu
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and University of Georgia - Department of Banking and Finance
Downloads 575 (59,165)

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Realized volatility, realized beta, conditional CAPM, business cycle

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

NBER Working Paper No. w11134
Number of pages: 18 Posted: 15 Mar 2005 Last Revised: 05 Jun 2021
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Jin (Ginger) Wu
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and University of Georgia - Department of Banking and Finance
Downloads 60 (446,428)
Citation 6

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19.

Reflecting on the VPIN Dispute

Journal of Financial Markets, Vol. 17, pp. 53-64, 2014
Number of pages: 12 Posted: 05 Aug 2013 Last Revised: 18 Feb 2014
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 623 (54,391)
Citation 6

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VPIN, PIN, High-Frequency Trading, Order Flow Toxicity, Order Imbalance, Flash Crash, VIX, Volatility Forecasting

20.

Construction and Interpretation of Model-Free Implied Volatility

Downloads 581 ( 59,070)
Citation 6

Construction and Interpretation of Model-Free Implied Volatility

Number of pages: 37 Posted: 23 Jun 2008 Last Revised: 12 Oct 2011
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 502 (70,243)
Citation 1

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Model-Free Implied Volatility, Corridor Implied Volatility, Realized Volatility, VIX, Volatility Forecasting, Risk-Neutral Density

Construction and Interpretation of Model-Free Implied Volatility

NBER Working Paper No. w13449
Number of pages: 35 Posted: 28 Sep 2007 Last Revised: 07 Oct 2021
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 79 (383,856)
Citation 5

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21.

Local Mispricing and Microstructural Noise: A Parametric Perspective

Number of pages: 46 Posted: 23 Feb 2017 Last Revised: 29 Sep 2020
Torben G. Andersen, Ilya Archakov, Gökhan Cebiroglu and Nikolaus Hautsch
Northwestern University - Kellogg School of Management, University of Vienna - Faculty of Business, Economics and Statistics, University of Vienna, Faculty of Business and Economics and University of Vienna - Department of Statistics and Operations Research
Downloads 462 (78,458)
Citation 5

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Volatility estimation; market microstructure noise; price reversal; momentum trading; contrarian trading

22.

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

Downloads 420 ( 87,836)
Citation 142

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

CREATES Research Paper No. 2007-18
Number of pages: 50 Posted: 23 Jun 2008
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 299 (127,668)
Citation 99

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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

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

NBER Working Paper No. w11775
Number of pages: 49 Posted: 16 Feb 2006 Last Revised: 05 Sep 2021
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 121 (289,367)
Citation 36

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23.

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Downloads 419 ( 88,048)
Citation 77

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

FRB International Finance Discussion Paper No. 871
Number of pages: 40 Posted: 05 Dec 2006
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 211 (181,059)
Citation 56

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

CREATES Research Paper No. 2007-20
Number of pages: 38 Posted: 23 Jun 2008
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 208 (183,476)
Citation 15

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Journal of International Economics, Vol. 73, No. 2, 2007, FRB International Finance Discussion Paper No. 871
Posted: 03 Jun 2008
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

24.

A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures

Journal of Econometrics, Vol. 160, Issue 1, pp. 176-189, January 2011, CREATES Research Paper 2007-14
Number of pages: 31 Posted: 23 Jun 2008 Last Revised: 07 Jan 2012
Torben G. Andersen, Tim Bollerslev and Xin Huang
Northwestern University - Kellogg School of Management, Duke University - Finance and Board of Governors of the Federal Reserve System
Downloads 330 (115,447)
Citation 9

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Stochastic Volatility, Realized Variation, Bipower Variation, Jumps, Hazard Rates, Overnight Volatility

25.

A Descriptive Study of High-Frequency Trade and Quote Option Data

Number of pages: 80 Posted: 07 Sep 2019 Last Revised: 27 Aug 2020
Torben G. Andersen, Ilya Archakov, Leon Eric Grund, Nikolaus Hautsch, Yifan Li, Yifan Li, Sergey Nasekin, Ingmar Nolte, Manh Cuong Pham, Manh Cuong Pham, Stephen J. Taylor and Viktor Todorov
Northwestern University - Kellogg School of Management, University of Vienna - Faculty of Business, Economics and Statistics, University of Vienna, University of Vienna - Department of Statistics and Operations Research, Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics, Lancaster University - Department of Accounting and Finance and Independent
Downloads 327 (116,599)
Citation 1

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Options Data, High Frequency Data, Market Microstructure

26.

The Distribution of Exchange Rate Volatility

Downloads 273 (141,033)
Citation 129

The Distribution of Exchange Rate Volatility

NYU Working Paper No. FIN-99-059
Number of pages: 30 Posted: 11 Nov 2008
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 164 (226,817)
Citation 10

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Financial Market Volatility, High-Frequency Data, Realized Volatility, Quadratic Variation, Exchange Rates, Long-Memory

The Distribution of Exchange Rate Volatility

NBER Working Paper No. w6961
Number of pages: 49 Posted: 23 Jun 1999 Last Revised: 12 Oct 2010
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 109 (311,785)

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27.

The Fine Structure of Equity-Index Option Dynamics

Journal of Econometrics, Vol. 187, pp. 532-546, 2015
Number of pages: 33 Posted: 08 Nov 2013 Last Revised: 10 Oct 2015
Torben G. Andersen, Oleg Bondarenko, Viktor Todorov and George Tauchen
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance, Northwestern University and Duke University - Economics Group
Downloads 272 (141,579)
Citation 7

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high-frequency data, implied volatility, jump activity, Kolmogorov-Smirnov test, stable process, stochastic volatility, VIX index

28.

Comments on 'Testing VPIN on Big Data - Response to Reflecting on the VPIN Dispute'

Number of pages: 6 Posted: 27 Sep 2013 Last Revised: 01 Oct 2013
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 266 (144,885)

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VPIN, High-Frequency Trading, Order Flow Toxicity, Flash Crash, Volatility Forecasting

29.

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

CREATES Research Paper No. 2007-21
Number of pages: 74 Posted: 23 Jun 2008 Last Revised: 02 Dec 2008
Torben G. Andersen, Tim Bollerslev, Per Skaarup Frederiksen, Morten Ørregaard Nielsen, Margit Sommer and Margit Sommer
Northwestern University - Kellogg School of Management, Duke University - Finance, BlackRock, Inc, Aarhus University - Department of Economics and Business Economics and School of Economics and Management, University of AarhusSchool of Economics and Management
Downloads 242 (159,053)
Citation 15

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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

30.

The Distribution of Stock Return Volatility

NBER Working Paper No. w7933
Number of pages: 41 Posted: 30 Sep 2000 Last Revised: 07 Mar 2021
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Heiko Ebens
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 226 (169,910)
Citation 67

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31.

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

Downloads 205 (186,200)
Citation 38

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

FRB of New York Staff Report No. 465
Number of pages: 37 Posted: 05 Aug 2010
Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 117 (296,463)
Citation 5

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Integrated Volatility, Jump Robust

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

CREATES Research Paper No. 2009-52
Number of pages: 38 Posted: 18 Nov 2009
Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 61 (442,768)
Citation 32

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High-frequency data, Integrated variance, Finite activity jumps, Realized volatility, Jump robustness, Nearest neighbor truncation

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

NBER Working Paper No. w15533
Number of pages: 37 Posted: 24 Nov 2009 Last Revised: 12 Jun 2021
Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 27 (609,972)

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32.

Answering the Critics: Yes, Arch Models Do Provide Good Volatility Forecasts

NBER Working Paper No. w6023
Number of pages: 37 Posted: 14 Jul 2000 Last Revised: 21 Apr 2008
Torben G. Andersen and Tim Bollerslev
Northwestern University - Kellogg School of Management and Duke University - Finance
Downloads 155 (237,636)
Citation 11

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33.

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

Downloads 150 (244,104)
Citation 40

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

NBER Working Paper No. w7488
Number of pages: 23 Posted: 10 Mar 2000 Last Revised: 19 Jun 2021
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 124 (284,146)
Citation 2

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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

Multinational Finance Journal, Vol. 4, No. 3/4, p. 159-179, 2000
Number of pages: 21 Posted: 08 Jul 2015
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 26 (616,983)
Citation 2

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high-frequency data; integrated volatility; realized volatility; risk management

34.

Volatility Measurement with Pockets of Extreme Return Persistence

Number of pages: 48 Posted: 04 Nov 2020
Torben G. Andersen, Yingying Li, Yingying Li, Viktor Todorov and Bo Zhou
Northwestern University - Kellogg School of Management, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, Northwestern University and Durham University Business School
Downloads 133 (268,456)
Citation 1

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extreme return persistence, high-frequency data, integrated volatility estimation, market microstructure noise, volatility forecasting.

35.

An Empirical Investigation of Continuous-Time Equity Return Models

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Citation 18

An Empirical Investigation of Continuous-Time Equity Return Models

NBER Working Paper No. w8510
Number of pages: 48 Posted: 29 Sep 2001 Last Revised: 04 Oct 2001
Torben G. Andersen, Luca Benzoni and Jesper Lund
Northwestern University - Kellogg School of Management, Federal Reserve Bank of Chicago - Research Department and Copenhagen Business School - Department of Finance
Downloads 121 (289,367)
Citation 18

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An Empirical Investigation of Continuous-Time Equity Return Models

Posted: 12 Nov 2002
Torben G. Andersen, Luca Benzoni and Jesper Lund
Northwestern University - Kellogg School of Management, Federal Reserve Bank of Chicago - Research Department and Copenhagen Business School - Department of Finance

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36.

Realized Volatility and Multipower Variation

CREATES Research Paper 2009-49
Number of pages: 16 Posted: 29 Oct 2009
Torben G. Andersen and Viktor Todorov
Northwestern University - Kellogg School of Management and Northwestern University
Downloads 119 (291,555)
Citation 7

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realized volatility, multipower variation, jumps, quadratic variation, volatility estimation, volatility forecasting, jump testing, continuous-time stochastic volatility model

37.

Dm-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

NBER Working Paper No. w5783
Number of pages: 69 Posted: 17 Jul 2000 Last Revised: 22 Apr 2021
Torben G. Andersen and Tim Bollerslev
Northwestern University - Kellogg School of Management and Duke University - Finance
Downloads 99 (330,613)
Citation 1

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38.

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

NBER Working Paper No. w5752
Number of pages: 44 Posted: 20 Nov 1996 Last Revised: 20 Sep 2021
Torben G. Andersen and Tim Bollerslev
Northwestern University - Kellogg School of Management and Duke University - Finance
Downloads 80 (377,278)
Citation 15

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39.

Testing for Market Microstructure Effects in Intraday Volatility: a Reassessment of the Tokyo FX Experiment

NBER Working Paper No. w6666
Number of pages: 28 Posted: 29 Jun 2000 Last Revised: 21 Mar 2021
Torben G. Andersen, Tim Bollerslev and Ashish Das
Northwestern University - Kellogg School of Management, Duke University - Finance and affiliation not provided to SSRN
Downloads 76 (388,514)

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40.

No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models Subject to Leverage Effects, Jumps and I.I.D. Noise: Theory and Testable Distributional Implications

NBER Working Paper No. w12963
Number of pages: 65 Posted: 21 Mar 2007 Last Revised: 04 Jun 2021
Torben G. Andersen, Tim Bollerslev and Dobrislav Dobrev
Northwestern University - Kellogg School of Management, Duke University - Finance and Board of Governors of the Federal Reserve System
Downloads 73 (397,347)
Citation 4

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41.

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

NBER Working Paper No. w21491
Number of pages: 54 Posted: 25 Aug 2015 Last Revised: 22 Sep 2021
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University
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42.

Consistent Inference for Predictive Regressions in Persistent Economic Systems

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Citation 9

Consistent Inference for Predictive Regressions in Persistent Economic Systems

Number of pages: 91 Posted: 02 Apr 2019 Last Revised: 15 Nov 2019
Torben G. Andersen and Rasmus Tangsgaard Varneskov
Northwestern University - Kellogg School of Management and Copenhagen Business School - Department of Finance
Downloads 52 (477,897)
Citation 8

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Endogeneity Bias, Fractional Integration, Frequency Domain Inference, Hypothesis Testing, Spurious Inference, Stochastic Volatility, VAR Models

Consistent Inference for Predictive Regressions in Persistent Economic Systems

NBER Working Paper No. w28568
Number of pages: 54 Posted: 22 Mar 2021 Last Revised: 03 Sep 2021
Torben G. Andersen and Rasmus Varneskov
Northwestern University - Kellogg School of Management and Copenhagen Business School
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43.

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

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Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Number of pages: 43 Posted: 25 Jun 2020 Last Revised: 15 Mar 2021
Torben G. Andersen and Rasmus Tangsgaard Varneskov
Northwestern University - Kellogg School of Management and Copenhagen Business School - Department of Finance
Downloads 42 (523,496)

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Cointegration, Fractional Integration, Frequency Domain Inference, Local Spectrum Procedure, Parameter Instability, Structural Change, Volatility Forecasting

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

NBER Working Paper No. w28570
Number of pages: 44 Posted: 14 Apr 2021 Last Revised: 18 Apr 2021
Torben G. Andersen and Rasmus Varneskov
Northwestern University - Kellogg School of Management and Copenhagen Business School
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44.

Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions

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Citation 1

Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions

Number of pages: 58 Posted: 23 Nov 2020
Torben G. Andersen and Rasmus Tangsgaard Varneskov
Northwestern University - Kellogg School of Management and Copenhagen Business School - Department of Finance
Downloads 34 (566,189)
Citation 1

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Cointegration, Fractional Integration, Frequency Domain Inference, Local Spectrum Procedure, Return Predictability, Rank Testing, VAR Models

Consistent Local Spectrum (Lcm) Inference for Predictive Return Regressions

NBER Working Paper No. w28569
Number of pages: 59 Posted: 22 Mar 2021 Last Revised: 25 Jul 2021
Torben G. Andersen and Rasmus Varneskov
Northwestern University - Kellogg School of Management and Copenhagen Business School
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45.

Analytical Evaluation of Volatility Forecasts

Number of pages: 32 Posted: 27 Oct 2004
Torben G. Andersen, Tim Bollerslev and Nour Meddahi
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Montreal - Department of Economics
Downloads 33 (558,368)
Citation 4
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46.

Parametric Inference and Dynamic State Recovery from Option Panels

NBER Working Paper No. w18046
Number of pages: 50 Posted: 04 May 2012 Last Revised: 24 Apr 2021
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University
Downloads 31 (569,287)
Citation 13

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47.

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

NBER Working Paper No. w17152
Number of pages: 68 Posted: 20 Jun 2011 Last Revised: 15 May 2021
Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 24 (613,051)

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48.

A Robust Neighborhood Truncation Approach to Estimation of Integrated Quarticity

FRB International Finance Discussion Paper No. 1078
Number of pages: 52 Posted: 30 May 2017
Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 11 (708,228)
Citation 1

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49.

Cross-Sectional Dispersion of Risk in Trading Time

NBER Working Paper No. w26329
Number of pages: 52 Posted: 30 Sep 2019 Last Revised: 11 Jun 2021
Torben G. Andersen, Martin Thyrsgaard and Viktor Todorov
Northwestern University - Kellogg School of Management, Northwestern University - Kellogg School of Management and Independent
Downloads 10 (715,987)

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50.

Business Cycle Dependent Unemployment Insurance

CEPR Discussion Paper No. DP7334
Number of pages: 48 Posted: 15 Jul 2009
Torben G. Andersen and Michael Svarer
Northwestern University - Kellogg School of Management and Aarhus University - Department of Economics and Business Economics
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business cycle, incentives, insurance, unemployment benefits,

51.

Discussion

Journal of Financial Econometrics, Vol. 2, No. 1, pp. 37-48, 2004
Posted: 29 Feb 2008
Torben G. Andersen
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

52.

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study

Kellogg Graduate School of Management Working Paper No. 175
Posted: 20 Dec 1998
Torben G. Andersen and Bent E. Sørensen
Northwestern University - Kellogg School of Management and University of Houston - Department of Economics

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