Author Page for Torben G. Andersen

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 2,651 (10,898)

Abstract:

Volatility Forecasting

NBER Working Paper No. w11188

Number of pages: 113 Posted: 20 May 2005 Last Revised: 29 Jul 2022

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 692 (79,376)

Citation 4

Abstract:

2.

Modeling and Forecasting Realized Volatility

Downloads 2,748 (10,502)

Citation 389

2

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 2,391 (12,863)

Citation 199

Abstract:

Modeling and Forecasting Realized Volatility

NBER Working Paper No. w8160

Number of pages: 47 Posted: 09 Mar 2001 Last Revised: 26 Oct 2022

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 357 (177,460)

Citation 190

Abstract:

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 2,635 (11,218)

Citation 13

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 2,633 (11,231)

Citation 13

Abstract:

5.

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Downloads 1,991 (17,601)

Citation 32

2

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 1,706 (21,981)

Citation 2

Abstract:

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: 01 Oct 2022

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 285 (226,251)

Citation 30

Abstract:

6.

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 1,575 (25,364)

Citation 21

Abstract:

7.

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 1,153 (39,436)

Abstract:

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 361 (175,229)

Citation 4

Abstract:

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 1,457 (28,479)

Citation 59

Abstract:

9.

Financial Risk Measurement for Financial Risk Management

Downloads 1,443 (28,908)

Citation 16

2

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 1,302 (32,998)

Citation 1

Abstract:

Financial Risk Measurement for Financial Risk Management

NBER Working Paper No. w18084

Number of pages: 130 Posted: 19 May 2012 Last Revised: 01 Jun 2023

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 141 (437,843)

Citation 15

Abstract:

10.

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

Downloads 1,279 (34,465)

Citation 40

2

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 853 (60,214)

Citation 1

Abstract:

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 426 (145,224)

Citation 39

Abstract:

11.

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 1,106 (42,656)

Citation 60

Abstract:

12.

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

Downloads 1,044 (46,212)

Citation 27

2

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 900 (55,957)

Citation 15

Abstract:

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: 30 Nov 2022

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 144 (430,392)

Citation 12

Abstract:

13.

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 981 (50,462)

Citation 11

Abstract:

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 940 (53,509)

Citation 52

Abstract:

15.

Parametric and Nonparametric Volatility Measurement

Downloads 888 (57,859)

Citation 35

2

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 768 (69,268)

Citation 2

Abstract:

Parametric and Nonparametric Volatility Measurement

NBER Working Paper No. t0279

Number of pages: 68 Posted: 18 Aug 2002 Last Revised: 08 Apr 2023

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 120 (499,221)

Citation 33

Abstract:

16.

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, 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, The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, 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 838 (62,699)

Citation 1

Abstract:

17.

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

Downloads 815 (65,071)

Citation 54

2

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 648 (86,428)

Citation 2

Abstract:

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 2022

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 167 (379,264)

Citation 52

Abstract:

18.

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

Downloads 809 (65,722)

Citation 17

2

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 746 (71,999)

Citation 2

Abstract:

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: 04 Dec 2022

Torben G. Andersen and Luca Benzoni

Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department

Downloads 63 (756,511)

Citation 15

Abstract:

19.

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

Downloads 765 (70,750)

Citation 184

2

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: 06 Mar 2022

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 424 (146,034)

Citation 85

Abstract:

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 341 (186,612)

Citation 99

Abstract:

20.

Construction and Interpretation of Model-Free Implied Volatility

Downloads 722 (76,321)

Citation 7

2

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 568 (102,319)

Citation 2

Abstract:

Construction and Interpretation of Model-Free Implied Volatility

NBER Working Paper No. w13449

Number of pages: 35 Posted: 28 Sep 2007 Last Revised: 02 Oct 2022

Torben G. Andersen and Oleg Bondarenko

Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance

Downloads 154 (407,120)

Citation 5

Abstract:

21.

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 720 (76,596)

Citation 7

Abstract:

22.

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Downloads 685 (81,589)

Citation 6

2

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 598 (95,781)

Abstract:

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 2022

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 87 (628,444)

Citation 6

Abstract:

23.

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 623 (92,161)

Citation 5

Abstract:

24.

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

Downloads 551 (107,603)

Citation 71

3

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 309 (207,656)

Citation 15

Abstract:

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 242 (267,349)

Citation 56

Abstract:

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:

25.

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 417 (150,547)

Citation 14

Abstract:

26.

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 - Kellogg School of Management and Duke University - Economics Group

Downloads 394 (160,503)

Citation 9

Abstract:

27.

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 - Kellogg School of Management and Virginia Tech Econ Department

Downloads 372 (171,091)

Citation 1

Abstract:

28.

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

Downloads 361 (176,855)

Citation 37

3

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 216 (298,831)

Citation 5

Abstract:

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 92 (606,361)

Citation 32

Abstract:

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 2022

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 53 (826,476)

Abstract:

29.

The Distribution of Exchange Rate Volatility

Downloads 343 (187,105)

Citation 14

2

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 203 (317,210)

Citation 14

Abstract:

The Distribution of Exchange Rate Volatility

NBER Working Paper No. w6961

Number of pages: 49 Posted: 23 Jun 1999 Last Revised: 09 Jan 2022

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 140 (440,413)

Abstract:

30.

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 316 (204,214)

Abstract:

31.

Testing for Stationarity of Volatility Curves

Number of pages: 66 Posted: 25 Jul 2023

Torben G. Andersen, Yingwen Tan, Viktor Todorov and Zhiyuan Zhang

Northwestern University - Kellogg School of Management, Shanghai University of Finance and Economics - School of Statistics and Management, Northwestern University - Kellogg School of Management and Shanghai University of Finance and Economics - School of Statistics and Management

Downloads 288 (225,455)

Citation 2

Abstract:

32.

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: 28 May 2024

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 286 (227,127)

Citation 23

Abstract:

33.

The Distribution of Stock Return Volatility

NBER Working Paper No. w7933

Number of pages: 41 Posted: 30 Sep 2000 Last Revised: 05 Sep 2022

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 285 (227,920)

Citation 163

Abstract:

34.

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 - Kellogg School of Management

Downloads 231 (281,479)

Citation 7

Abstract:

35.

An Empirical Investigation of Continuous-Time Equity Return Models

Downloads 224 (289,973)

Citation 35

2

An Empirical Investigation of Continuous-Time Equity Return Models

NBER Working Paper No. w8510

Number of pages: 48 Posted: 29 Sep 2001 Last Revised: 06 Apr 2022

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 224 (288,457)

Citation 35

Abstract:

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

Abstract:

36.

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

Downloads 221 (293,740)

Citation 12

2

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 2022

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 173 (367,488)

Citation 9

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 48 (866,706)

Citation 3

Abstract:

37.

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: 18 Dec 2022

Torben G. Andersen and Tim Bollerslev

Northwestern University - Kellogg School of Management and Duke University - Finance

Downloads 207 (312,636)

Citation 11

Abstract:

38.

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: 23 Mar 2023

Torben G. Andersen, Nicola Fusari and Viktor Todorov

Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University - Kellogg School of Management

Downloads 145 (427,373)

Citation 1

Abstract:

39.

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: 26 Oct 2022

Torben G. Andersen and Tim Bollerslev

Northwestern University - Kellogg School of Management and Duke University - Finance

Downloads 135 (452,520)

Citation 1

Abstract:

40.

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: 21 Sep 2022

Torben G. Andersen and Tim Bollerslev

Northwestern University - Kellogg School of Management and Duke University - Finance

Downloads 130 (466,584)

Citation 25

Abstract:

41.

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: 19 Sep 2022

Torben G. Andersen, Tim Bollerslev and Ashish Das

Northwestern University - Kellogg School of Management, Duke University - Finance and affiliation not provided to SSRN

Downloads 120 (499,787)

Abstract:

42.

Real-Time Detection of Local No-Arbitrage Violations

Number of pages: 41 Posted: 25 Jul 2023

Torben G. Andersen, Viktor Todorov and Bo Zhou

Northwestern University - Kellogg School of Management, Northwestern University - Kellogg School of Management and Virginia Tech Econ Department

Downloads 114 (516,273)

Abstract:

43.

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 Dec 2022

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 104 (552,739)

Citation 4

Abstract:

44.

Consistent Inference for Predictive Regressions in Persistent Economic Systems

Downloads 95 (587,880)

Citation 7

2

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 77 (676,492)

Citation 6

Abstract:

Consistent Inference for Predictive Regressions in Persistent Economic Systems

NBER Working Paper No. w28568

Number of pages: 54 Posted: 22 Mar 2021 Last Revised: 22 Jan 2023

Torben G. Andersen and Rasmus Varneskov

Northwestern University - Kellogg School of Management and Copenhagen Business School

Downloads 18 (1,201,774)

Citation 1

Abstract:

45.

Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions

Downloads 91 (604,043)

Citation 1

2

Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions

Number of pages: 55 Posted: 23 Nov 2020 Last Revised: 11 Aug 2022

Torben G. Andersen and Rasmus Tangsgaard Varneskov

Northwestern University - Kellogg School of Management and Copenhagen Business School - Department of Finance

Downloads 85 (637,737)

Citation 1

Abstract:

Consistent Local Spectrum (Lcm) Inference for Predictive Return Regressions

NBER Working Paper No. w28569

Number of pages: 78 Posted: 22 Mar 2021 Last Revised: 24 Jul 2023

Torben G. Andersen and Rasmus Varneskov

Northwestern University - Kellogg School of Management and Copenhagen Business School

Downloads 6 (1,343,942)

Abstract:

46.

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Downloads 82 (643,288)

Citation 3

2

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 69 (720,071)

Abstract:

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: 26 Jul 2023

Torben G. Andersen and Rasmus Varneskov

Northwestern University - Kellogg School of Management and Copenhagen Business School

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Citation 3

Abstract:

47.

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 2022

Torben G. Andersen, Nicola Fusari and Viktor Todorov

Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University - Kellogg School of Management

Downloads 63 (742,983)

Citation 13

Abstract:

48.

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 2022

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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Abstract:

49.

VIX Maturity Interpolation

Number of pages: 35 Posted: 25 Feb 2025

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 52 (816,740)

Abstract:

50.

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 36 (955,423)

Citation 1

Abstract:

51.

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 2023

Torben G. Andersen, Martin Thyrsgaard and Viktor Todorov

Northwestern University - Kellogg School of Management, Northwestern University - Kellogg School of Management and Independent

Downloads 28 (1,041,305)

Abstract:

52.

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

Downloads 7 (1,283,109)

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Abstract:

53.

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:

54.

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:

55.

Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility

J. OF FINANCE, Vol. 51 No. 1, March 1996

Posted: 12 Jun 1996

Torben G. Andersen

Northwestern University - Kellogg School of Management

Abstract:

56.

Return Volatility and Trading Volume: An Information Flow Intrepretation of Stochastic Volatility

Posted: 27 Jun 1994

Torben G. Andersen

Northwestern University - Kellogg School of Management

Torben G. Andersen

Professor

National Bureau of Economic Research (NBER)

Aarhus University - CREATES

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