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List of works by Torben M. Andersen

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

scientific article published in February 2005

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

scientific article published in June 2011

An Empirical Investigation of Continuous-Time Equity Return Models

scientific article published in October 2001

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

scientific article published in April 1997

Construction and Interpretation of Model-Free Implied Volatility

scientific article published in September 2007

Cross-Sectional Dispersion of Risk in Trading Time

scientific article published in September 2019

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

scientific article published in October 1996

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

scientific article published in March 2007

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

scientific article published in January 2000

Financial Risk Measurement for Financial Risk Management

scientific article published in May 2012

Flexicurity Labour Market Performance in Denmark

scientific article published on 2 November 2007

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

scientific article published in September 1996

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

scientific article published in November 2009

Litteraturreview af effekter af indretning af arbejdsløshedsunderstøttelsessystemer

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

scientific article published in May 2002

Modeling and Forecasting Realized Volatility

scientific article published in March 2001

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

scientific article published in March 2007

Parametric Inference and Dynamic State Recovery from Option Panels

scientific article published in May 2012

Parametric and Nonparametric Volatility Measurement

Practical Volatility and Correlation Modeling for Financial Market Risk Management

scientific article published in January 2005

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

scientific article published in May 2005

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

scientific article published in November 2005

The Distribution of Exchange Rate Volatility

scientific article published in February 1999

The Distribution of Stock Return Volatility

scientific article published in October 2000

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

scientific article published in August 2015

Velfærdskommissionen – formål, resultater og erfaringer

scientific article

Volatility Forecasting

scientific article published in March 2005