Torben G. Andersen
Torben G. Andersen
Professor of Finance, Kellogg School, Northwestern University
Verified email at - Homepage
Cited by
Cited by
Modeling and forecasting realized volatility
TG Andersen, T Bollerslev, FX Diebold, P Labys
Econometrica 71 (2), 579-625, 2003
Answering the skeptics: Yes, standard volatility models do provide accurate forecasts
TG Andersen, T Bollerslev
International economic review, 885-905, 1998
The distribution of realized stock return volatility
TG Andersen, T Bollerslev, FX Diebold, H Ebens
Journal of financial economics 61 (1), 43-76, 2001
The distribution of realized exchange rate volatility
TG Andersen, T Bollerslev, FX Diebold, P Labys
Journal of the American statistical association 96 (453), 42-55, 2001
Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility
TG Andersen, T Bollerslev, FX Diebold
The review of economics and statistics 89 (4), 701-720, 2007
Micro effects of macro announcements: Real-time price discovery in foreign exchange
TG Anderson, T Bollerslev, FX Diebold, C Vega
American economic review 93 (1), 38-62, 2003
Intraday periodicity and volatility persistence in financial markets
TG Andersen, T Bollerslev
Journal of empirical finance 4 (2-3), 115-158, 1997
Deutsche mark–dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies
TG Andersen, T Bollerslev
the Journal of Finance 53 (1), 219-265, 1998
Return volatility and trading volume: An information flow interpretation of stochastic volatility
TG Andersen
The Journal of Finance 51 (1), 169-204, 1996
Real-time price discovery in global stock, bond and foreign exchange markets
TG Andersen, T Bollerslev, FX Diebold, C Vega
Journal of international Economics 73 (2), 251-277, 2007
An empirical investigation of continuous‐time equity return models
TG Andersen, L Benzoni, J Lund
The Journal of Finance 57 (3), 1239-1284, 2002
Heterogeneous information arrivals and return volatility dynamics: Uncovering the long‐run in high frequency returns
TG Andersen, T Bollerslev
The journal of Finance 52 (3), 975-1005, 1997
Estimating continuous-time stochastic volatility models of the short-term interest rate
TG Andersen, J Lund
Journal of econometrics 77 (2), 343-377, 1997
Volatility and correlation forecasting
TG Andersen, T Bollerslev, PF Christoffersen, FX Diebold
Handbook of economic forecasting 1, 777-878, 2006
Parametric and nonparametric volatility measurement
TG Andersen, T Bollerslev, FX Diebold
Handbook of financial econometrics: Tools and techniques, 67-137, 2010
Jump-robust volatility estimation using nearest neighbor truncation
TG Andersen, D Dobrev, E Schaumburg
Journal of Econometrics 169 (1), 75-93, 2012
GMM estimation of a stochastic volatility model: A Monte Carlo study
TG Andersen, BE S°rensen
Journal of Business & Economic Statistics 14 (3), 328-352, 1996
Handbook of financial time series
TG Andersen, RA Davis, JP Krei▀, TV Mikosch
Springer Science & Business Media, 2009
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
TG Andersen, T Bollerslev, S Lange
Journal of empirical finance 6 (5), 457-477, 1999
The first species of Heterocleptes Villiers from the Oriental region (Hemiptera: Hydrometridae)
NM Andersen
Insect Systematics & Evolution 13 (1), 105-108, 1982
The system can't perform the operation now. Try again later.
Articles 1–20