← All authors Torben G. Andersen Northwestern University (from arXiv:2307.10872, 2023) · ORCID · OpenAlex
76 papers in scope · 76 published · 1 on the econ.EM arXiv · 27,074 citations · h-index 41 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Yang Zu H. Peter Boswijk Jun Yu Viktor Todorov Bo Zhou Iliyan Georgiev Anders Rahbek Giuseppe Cavaliere Peter Christensen Mikkel Bennedsen Carsten Chong Kim Christensen Tetsuya Takabatake Chen Zhang Giacomo Toscano Bas J. M. Werker Maria Elvira Mancino Giulia Livieri Stefano Marmi Christina Dan Wang Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 76)
Introduction to the Issue on High Frequency Econometrics
published 2025 · Journal of Econometrics
On-line detection of changes in the shape of intraday volatility curves
published 2025 · Journal of Econometrics · 1 citations
Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction
published 2025 · Journal of Time Series Analysis
VIX maturity interpolation
published 2025 · Review of Derivatives Research
with Oleg Bondarenko, María T. González-Pérez
published 2025 · Quantitative Economics · 2 citations · first circulated 2023
Testing mean stationarity of intraday volatility curves
published 2025 · Quantitative Economics · 3 citations · first circulated 2023
Predictive modeling of financial data
published 2023 · Journal of Econometrics · 1 citations
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor
published 2023 · Journal of Time Series Analysis
Intraday Periodic Volatility Curves
published 2023 · Journal of the American Statistical Association · 30 citations
Intraday cross-sectional distributions of systematic risk
published 2022 · Journal of Econometrics · 14 citations
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
published 2022 · Econometric Theory · 6 citations · first circulated 2020
with Rasmus T. Varneskov
Testing for parameter instability and structural change in persistent predictive regressions
published 2021 · Journal of Econometrics · 11 citations · first circulated 2020
with Rasmus T. Varneskov
Overview: Time series analysis of higher moments and distributions of financial data
published 2021 · Journal of Econometrics
with Chia-Lin Chang, Shiqing Ling
Local mispricing and microstructural noise: A parametric perspective” [J. Econometrics 230 (2022) 510–534
published 2021 · Journal of Econometrics · 22 citations
Volatility measurement with pockets of extreme return persistence
published 2021 · Journal of Econometrics · 47 citations · first circulated 2020
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk
published 2021 · Quantitative Economics · 42 citations
Consistent inference for predictive regressions in persistent economic systems
published 2020 · Journal of Econometrics · 19 citations · first circulated 2019
with Rasmus T. Varneskov
A Descriptive Study of High-Frequency Trade and Quote Option Data*
published 2020 · Journal of Financial Econometrics · 29 citations · first circulated 2019
Tail risk and return predictability for the Japanese equity market
published 2020 · Journal of Econometrics · 52 citations
SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS
published 2020 · Econometric Theory · 20 citations
Unified inference for nonlinear factor models from panels with fixed and large time span
published 2019 · Journal of Econometrics · 4 citations
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
published 2019 · Journal of Business and Economic Statistics · 28 citations
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS
published 2018 · Econometric Theory · 6 citations
Time-Varying Periodicity in Intraday Volatility
published 2018 · Journal of the American Statistical Association · 69 citations
Short‐Term Market Risks Implied by Weekly Options
published 2017 · The Journal of Finance · 143 citations
The risk premia embedded in index options
published 2015 · Journal of Financial Economics · 306 citations · first circulated 2014
Exploring Return Dynamics via Corridor Implied Volatility
published 2015 · Review of Financial Studies · 140 citations
with Oleg Bondarenko, María T. González-Pérez
Parametric Inference and Dynamic State Recovery From Option Panels
published 2015 · Econometrica · 146 citations · first circulated 2012
The fine structure of equity-index option dynamics
published 2015 · Journal of Econometrics · 29 citations · first circulated 2013
ARCH and GARCH Models
published 2014 · Wiley StatsRef: Statistics Reference Online · 27 citations · first circulated 2004
with Tim Bollerslev, Ali S. Hadi
Volatility Modeling
published 2014 · Wiley StatsRef: Statistics Reference Online
Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence
published 2014 · European Finance Review · 64 citations
with Oleg Bondarenko
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
published 2013 · Econometric Theory · 36 citations
with Dobrislav Dobrev, Ernst Schaumburg
Reflecting on the VPIN dispute
published 2013 · Journal of Financial Markets · 5 citations
with Oleg Bondarenko
WITHDRAWN: VPIN and the flash crash
published 2012 · Journal of Financial Markets · 2 citations
with Oleg Bondarenko
Jump-robust volatility estimation using nearest neighbor truncation
published 2012 · Journal of Econometrics · 467 citations · first circulated 2009
with Dobrislav Dobrev, Ernst Schaumburg
VPIN and the Flash Crash
published 2011 · Journal of Financial Markets
with Oleg Bondarenko
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
published 2010 · The Journal of Finance · 131 citations · first circulated 2006
with Luca Benzoni
Realized volatility forecasting and market microstructure noise
published 2010 · Journal of Econometrics · 262 citations
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
published 2010 · Journal of Econometrics · 49 citations · first circulated 2008
with Tim Bollerslev, Xin Huang
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice
published 2010 · Economics Books · 107 citations
Continuous‐time models, realized volatilities, and testable distributional implications for daily stock returns
published 2009 · Journal of Applied Econometrics · 76 citations · first circulated 2007
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
published 2007 · The Review of Economics and Statistics · 1470 citations · first circulated 2005
Editors' Report 2006
published 2007 · Journal of Business and Economic Statistics
Real-time price discovery in global stock, bond and foreign exchange markets
published 2007 · Journal of International Economics · 1183 citations · first circulated 2004
Editorial Announcement
published 2006 · Journal of Business and Economic Statistics
Editor Report 2005
published 2006 · Journal of Business and Economic Statistics · 1 citations
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
published 2006 · Journal of Econometrics · 311 citations
with Tim Bollerslev, Dobrislav Dobrev
Comment
published 2006 · Journal of Business and Economic Statistics · 10 citations
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
published 2005 · American Economic Review · 179 citations
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
published 2004 · Econometrica · 339 citations
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS*
published 2004 · International Economic Review · 226 citations
Modeling and Forecasting Realized Volatility
published 2003 · Econometrica · 3968 citations · first circulated 2001
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
published 2003 · American Economic Review · 1413 citations · first circulated 2002
An Empirical Investigation of Continuous‐Time Equity Return Models
published 2002 · The Journal of Finance · 941 citations · first circulated 2001
with Luca Benzoni, Jesper Lund
The distribution of realized stock return volatility
published 2001 · Journal of Financial Economics · 2362 citations · first circulated 2000
The Distribution of Realized Exchange Rate Volatility
published 2001 · Journal of the American Statistical Association · 2207 citations
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns
published 2001 · The Journal of Finance · 112 citations
with Tim Bollerslev, Ashish Das
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
published 2000 · Multinational Finance Journal · 178 citations
Intraday and interday volatility in the Japanese stock market
published 2000 · Journal of International Financial Markets Institutions and Money · 185 citations
with Tim Bollerslev, Jun Cai
Some Reflections on Analysis of High-Frequency Data
published 2000 · Journal of Business and Economic Statistics · 80 citations
SIMULATION-BASED ECONOMETRIC METHODS
published 2000 · Econometric Theory · 41 citations
Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon
published 1999 · Journal of Empirical Finance · 349 citations
with Tim Bollerslev, Steve Lange
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
published 1999 · Journal of Econometrics · 224 citations
with Hyung-Jin Chung, Bent E. Sørensen
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
published 1998 · International Economic Review · 3492 citations
with Tim Bollerslev
Towards a unified framework for high and low frequency return volatility modeling
published 1998 · Statistica Neerlandica · 31 citations
with Tim Bollerslev
THE ECONOMETRICS OF FINANCIAL MARKETS
published 1998 · Econometric Theory · 87 citations
Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
published 1998 · The Journal of Finance · 1224 citations · first circulated 1996
with Tim Bollerslev
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns
published 1997 · The Journal of Finance · 636 citations · first circulated 1996
with Tim Bollerslev
Intraday periodicity and volatility persistence in financial markets
published 1997 · Journal of Empirical Finance · 1366 citations
with Tim Bollerslev
Estimating continuous-time stochastic volatility models of the short-term interest rate
published 1997 · Journal of Econometrics · 520 citations
with Jesper Lund
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
published 1997 · Journal of Econometrics · 38 citations
with Bent E. Sørensen
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
published 1996 · Journal of Business and Economic Statistics · 476 citations
with Bent E. Sørensen, Bent E. Sorensen
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
published 1996 · The Journal of Finance · 1020 citations
[Bayesian Analysis of Stochastic Volatility Models]: Comment
published 1994 · Journal of Business and Economic Statistics · 8 citations
A wage-bargaining model for Denmark
published 1991 · Applied Economics · 1 citations
with Ole Risager
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