Torben G. Andersen
Torben G. Andersen is Nathan S. and Mary P. Sharp Distinguished Professor of Finance at Kellogg School of Management, Northwestern University. After initial training as a student in mathematical economics at Aarhus University, he obtained the PhD degree in economics from Yale University in 1992. Andersen is a world leading expert in time series analysis and financial econometrics and has centered his research on the modelling of volatility in financial returns. He has published in various journals such as Journal of Finance, American Economic Review, Econometrica, and Journal of Financial Economics. He has recently held editorial posts at several journals including Journal of Business and Economic Statistics, Review of Financial Studies, and Journal of Financial Econometrics.
Andersen, T. G., Archakov, I., Cebiroglu, G. & Hautsch, N. (2022). Local mispricing and microstructural noise: A parametric perspective. Journal of Econometrics, 230(2), 510-534. https://doi.org/10.1016/j.jeconom.2021.06.006
Andersen, T. G. & Varneskov, R. T. (2022). Testing for parameter instability and structural change in persistent predictive regressions. Journal of Econometrics, 231(2), 361-386. https://doi.org/10.1016/j.jeconom.2021.05.011
Andersen, T. G. & Varneskov, R. T. (2021). Consistent inference for predictive regressions in persistent economic systems. Journal of Econometrics, 224(1), 215-244. adv. onlinepublikation. https://doi.org/10.1016/j.jeconom.2020.04.051
Andersen, T. G., Thyrsgaard, M. & Todorov, V. (2021). Recalcitrant betas: Intraday variation in the cross-sectional dispersion of systematic risk. Quantitative Economics, 12(2), 647-682. https://doi.org/10.3982/QE1570
Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T. (2021). Spatial dependence in option observation errors. Econometric Theory, 37(2), 205-247. adv. onlinepublikation. https://doi.org/10.1017/S0266466620000183
Andersen, T. G., Todorov, V. & Ubukata, M. (2021). Tail risk and return predictability for the Japanese equity market. Journal of Econometrics, 222(1), 344-363. adv. onlinepublikation. https://doi.org/10.1016/j.jeconom.2020.07.005
Andersen, T. G., Fusari, N. & Todorov, V. (2020). The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets. Journal of Business and Economic Statistics, 38(3), 662-678. https://doi.org/10.1080/07350015.2018.1564318
Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T. (2019). Inference for option panels in pure-jump settings. Econometric Theory, 35(5), 901-942. adv. onlinepublikation. https://doi.org/10.1017/S0266466618000373
Andersen, T. G., Thyrsgaard, M. & Todorov, V. (2019). Time-Varying Periodicity in Intraday Volatility. Journal of the American Statistical Association, 114(528), 1695-1707. adv. onlinepublikation. https://doi.org/10.1080/01621459.2018.1512864
Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T. (2019). Unified inference for nonlinear factor models from panels with fixed and large time span. Journal of Econometrics, 212(1), 4-25. https://doi.org/10.1016/j.jeconom.2019.04.018
Andersen, T. G. & Bollerslev, T. (red.) (2018). Introduction. I T. G. Andersen & T. Bollerslev (red.), Volatility (Bind I-II, s. xiii - xliv). Edward Elgar Publishing.
Andersen, T. G., Fusari, N. & Todorov, V. (2017). Short-Term Market Risks Implied by Weekly Options. Journal of Finance, 72(3), 1335-1385. https://doi.org/10.1111/jofi.12486
Andersen, T. G., Bondarenko, O. & Gonzalez-Perez, M. T. (2015). Exploring Return Dynamics via Corridor Implied Volatility. Review of Financial Studies, 28(10), 2902-2945. https://doi.org/10.1093/rfs/hhv033
Andersen, T. G., Fusari, N. & Todorov, V. (2015). Parametric Inference and Dynamic State Recovery From Option Panels. Econometrica, 83(3), 1081–1145. https://doi.org/10.3982/ECTA10719
Andersen, T. G., Bondarenko, O., Todorov, V. & Tauchen, G. (2015). The fine structure of equity-index option dynamics. Journal of Econometrics, 187(2), 532-546. https://doi.org/10.1016/j.jeconom.2015.02.037
Andersen, T. G., Dobrev, D. & Schaumburg, E. (2014). A robust neighborhood truncation approach to estimation of integrated quarticity. Econometric Theory, 30(1), 3-59. https://doi.org/10.1017/S026646661300011X
Andersen, T. G. & Bondarenko, O. (2014). Reflecting on the VPIN dispute. Journal of Financial Markets, 17(1), 53-64. https://doi.org/10.1016/j.finmar.2013.08.002
Andersen, T. G. & Bondarenko, O. (2014). VPIN and the flash crash. Journal of Financial Markets, 17(1), 1-46. https://doi.org/10.1016/j.finmar.2013.05.005
Andersen, T. G., Bollerslev, T., Christoffersen, P. & Diebold, F. X. (2013). Financial Risk Measurement for Financial Risk Management. I G. M. Constantinides, M. Harris & R. M. Stulz (red.), Handbook of the Economics of Finance (Bind 2, Part B, s. 127–1220). Elsevier. https://doi.org/10.1016/B978-0-44-459406-8.00017-2
Andersen, T. G., Dobrev, D. & Schaumburg, E. (2012). Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics, 169(1), 75-93. https://doi.org/10.1016/j.jeconom.2012.01.011
Andersen, T. G., Bollerslev, T., Frederiksen, P. & Nielsen, M. Ø. (2010). Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns. Journal of Applied Econometrics, 25(2), 233-261. https://doi.org/10.1002/jae.1105
