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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

University of Aarhus - 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)

  • University of Aarhus - CREATES

SCHOLARLY PAPERS

48

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Top 815

in Total Papers Downloads

24,226

CITATIONS
Rank 68

SSRN RANKINGS

Top 68

in Total Papers Citations

3,140

Scholarly Papers (48)

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1.

Volatility Forecasting

Downloads 2,398 ( 4,123)
Citation 13

Volatility Forecasting

PIER Working Paper No. 05-011; CFS Working Paper No. 2005/08
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 2,214 (4,622)
Citation 13

Abstract:

Volatility Forecasting

NBER Working Paper No. w11188
Number of pages: 113 Posted: 20 May 2005 Last Revised: 29 Jul 2010
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 184 (137,505)
Citation 13

Abstract:

2.

Modeling and Forecasting Realized Volatility

Downloads 2,109 ( 5,153)
Citation 408

Modeling and Forecasting Realized Volatility

PIER Working Paper No. 01-002
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 1,996 (5,504)
Citation 408

Abstract:

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
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 113 (206,725)
Citation 408

Abstract:

3.

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Downloads 1,742 ( 7,190)
Citation 26

Practical Volatility and Correlation Modeling for Financial Market Risk Management

PIER Working Paper No. 05-007, CFS Working Paper 2005/02
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 1,571 (8,314)
Citation 26

Abstract:

None

Practical Volatility and Correlation Modeling for Financial Market Risk Management

NBER Working Paper No. w11069
Number of pages: 41 Posted: 16 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 171 (147,056)
Citation 26

Abstract:

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 1,638 (7,136)
Citation 16

Abstract:

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

5.

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 1,369 (7,177)
Citation 3

Abstract:

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

6.

Financial Risk Measurement for Financial Risk Management

Downloads 1,206 ( 13,038)
Citation 46

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 1,125 (14,221)
Citation 46

Abstract:

Market risk, volatility, GARCH

Financial Risk Measurement for Financial Risk Management

NBER Working Paper No. w18084
Number of pages: 130 Posted: 19 May 2012
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 81 (259,408)
Citation 46

Abstract:

7.

Stochastic Volatility

Downloads 1,192 ( 13,279)
Citation 1

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 1,014 (16,679)
Citation 1

Abstract:

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 178 (141,738)
Citation 1

Abstract:

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

8.

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

Downloads 1,011 ( 17,059)
Citation 125

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

PIER Working Paper No. 03-025
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 677 (30,100)
Citation 125

Abstract:

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

CFS Working Paper No. 2003/35
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 334 (73,636)
Citation 125

Abstract:

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

9.

Realized Beta: Persistence and Predictability

PIER Working Paper No. 04-018
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 985 (15,919)
Citation 39

Abstract:

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

10.

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

Downloads 842 ( 22,430)
Citation 151

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

PIER Working Paper No. 04-028; Simon School Working Paper No. FR 04-13
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 789 (24,269)
Citation 151

Abstract:

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
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 53 (327,153)
Citation 151

Abstract:

11.

Parametric and Nonparametric Volatility Measurement

Downloads 771 ( 25,537)
Citation 153

Parametric and Nonparametric Volatility Measurement

PIER Working Paper No. 02-019
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 720 (27,650)
Citation 153

Abstract:

Parametric and Nonparametric Volatility Measurement

NBER Working Paper No. t0279
Number of pages: 68 Posted: 18 Aug 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 51 (333,327)
Citation 153

Abstract:

12.

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

Downloads 723 ( 27,944)
Citation 17

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 693 (29,127)
Citation 17

Abstract:

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
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 30 (410,566)
Citation 17

Abstract:

13.

The Distribution of Realized Exchange Rate Volatility

PIER Working Paper No. 01-003
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 667 (28,222)
Citation 314

Abstract:

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

14.

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

Downloads 611 ( 35,130)
Citation 215

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

PIER Working Paper No. 02-011
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 558 (39,047)
Citation 215

Abstract:

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
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 53 (327,153)
Citation 215

Abstract:

15.

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Downloads 605 ( 35,560)
Citation 26

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

PIER Working Paper No. 05-009; CFS Working Paper No. 2005/04
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 558 (39,047)
Citation 26

Abstract:

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
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 47 (345,816)
Citation 26

Abstract:

16.

Construction and Interpretation of Model-Free Implied Volatility

Downloads 498 ( 45,744)
Citation 8

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 444 (52,264)
Citation 8

Abstract:

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
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 54 (324,192)
Citation 8

Abstract:

17.

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 Universidad Complutense de Madrid - Colegio Universitario de Estudios Financieros (CUNEF)
Downloads 477 (32,367)
Citation 1

Abstract:

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

18.

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 405 (40,521)
Citation 1

Abstract:

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

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 399 (45,516)

Abstract:

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

20.

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

Downloads 352 ( 69,792)
Citation 146

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 191 (132,721)
Citation 146

Abstract:

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 161 (155,069)
Citation 146

Abstract:

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

Abstract:

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

21.

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

Downloads 334 ( 74,170)
Citation 227

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 267 (94,726)
Citation 121

Abstract:

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 2010
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 67 (289,959)
Citation 227

Abstract:

22.

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 271 (87,266)
Citation 12

Abstract:

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

23.

The Distribution of Exchange Rate Volatility

Downloads 227 (112,606)
Citation 305

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 137 (177,837)
Citation 304

Abstract:

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
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 90 (242,503)
Citation 305

Abstract:

24.

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 and Margit Sommer
Northwestern University - Kellogg School of Management, Duke University - Finance, BlackRock, Inc, Queen's University - Department of Economics and School of Economics and Management, University of Aarhus
Downloads 211 (116,086)
Citation 18

Abstract:

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

25.

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 165 (110,679)
Citation 1

Abstract:

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

26.

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 165 (116,086)

Abstract:

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

27.

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

Downloads 154 (160,967)
Citation 25

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 88 (246,101)
Citation 25

Abstract:

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 49 (339,605)
Citation 25

Abstract:

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
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 17 (482,073)
Citation 25

Abstract:

28.

The Distribution of Stock Return Volatility

NBER Working Paper No. w7933
Number of pages: 41 Posted: 30 Sep 2000 Last Revised: 19 Oct 2010
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 142 (153,356)
Citation 303

Abstract:

29.

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

Downloads 113 (205,827)
Citation 41

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

NBER Working Paper No. w7488
Number of pages: 23 Posted: 10 Mar 2000
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 93 (237,343)
Citation 41

Abstract:

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 20 (464,507)
Citation 41
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Abstract:

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

30.

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

NBER Working Paper No. w6023
Number of pages: 37 Posted: 14 Jul 2000
Torben G. Andersen and Tim Bollerslev
Northwestern University - Kellogg School of Management and Duke University - Finance
Downloads 103 (205,827)
Citation 16

Abstract:

31.

An Empirical Investigation of Continuous-Time Equity Return Models

Downloads 86 (247,750)
Citation 141

An Empirical Investigation of Continuous-Time Equity Return Models

NBER Working Paper No. w8510
Number of pages: 48 Posted: 29 Sep 2001
Torben G. Andersen, Luca Benzoni and Jesper Lund
Northwestern University - Kellogg School of Management, Federal Reserve Bank of Chicago - Research Department and affiliation not provided to SSRN
Downloads 86 (249,815)
Citation 141

Abstract:

An Empirical Investigation of Continuous-Time Equity Return Models

The Journal of Finance, Vol. 57, No. 2, pp. 1239-1284, June 2002
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 affiliation not provided to SSRN

Abstract:

32.

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 83 (224,506)
Citation 2

Abstract:

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

33.

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
Torben G. Andersen and Tim Bollerslev
Northwestern University - Kellogg School of Management and Duke University - Finance
Downloads 65 (267,090)
Citation 146

Abstract:

34.

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: 10 Oct 2010
Torben G. Andersen, Tim Bollerslev and Ashish Das
Northwestern University - Kellogg School of Management, Duke University - Finance and affiliation not provided to SSRN
Downloads 58 (286,650)
Citation 1

Abstract:

35.

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
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 56 (303,397)
Citation 36

Abstract:

36.

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: 04 Oct 2010
Torben G. Andersen and Tim Bollerslev
Northwestern University - Kellogg School of Management and Duke University - Finance
Downloads 55 (293,631)
Citation 110

Abstract:

37.

Analytical Evaluation of Volatility Forecasts

International Economic Review Vol. 45, No. 4, pp. 1079-1110, November 2004
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 (388,127)
Citation 38
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Abstract:

38.

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

NBER Working Paper No. w17152
Number of pages: 68 Posted: 20 Jun 2011
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
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Citation 2

Abstract:

39.

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

NBER Working Paper No. w21491
Number of pages: 54 Posted: 25 Aug 2015
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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Abstract:

40.

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 University of Aarhus - Department of Economics
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Citation 4
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Abstract:

business cycle, incentives, insurance, unemployment benefits,

41.

Parametric Inference and Dynamic State Recovery from Option Panels

NBER Working Paper No. w18046
Number of pages: 50 Posted: 04 May 2012
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University
Downloads 4 (464,839)
Citation 3

Abstract:

42.

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 0 (541,018)

Abstract:

43.

Volatility, Information Feedback and Market Microstructure Noise: A Tale of Two Regimes

Number of pages: 54 Posted: 23 Feb 2017 Last Revised: 08 Mar 2017
Torben G. Andersen, Gökhan Cebiroglu and Nikolaus Hautsch
Northwestern University - Kellogg School of Management, University of Vienna, Faculty of Business and Economics and University of Vienna - Department of Statistics and Operations Research
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Abstract:

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

44.

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

Number of pages: 46 Posted: 22 Nov 2015 Last Revised: 19 Mar 2016
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)
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Abstract:

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

45.

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

Abstract:

bipower variation, integrated variance, jump process, power variation, quadratic variation, realized variance, realized volatility, semimartingale, volatility

46.

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

Abstract:

Abstract:

Abstract:

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