Martin Thyrsgaard
Martin Thyrsgaard is a Postdoctoral Researcher at Kellogg School of Management, Northwestern University. Prior to this, he was at Aarhus University and CREATES from where he obtained his PhD in 2019. His research lies in the intersection of high-frequency financial econometrics, asset pricing, and market microstructure with a specific focus on intraday patterns arising from the way in which financial markets are organized. His work has been published in leading academic journals such as Journal of Econometrics and Journal of the American Statistical Association.
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
Borup, D., Eriksen, J. N., Kjær, M. M. & Thyrsgaard, M. (2020). Predicting bond return predictability. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper No. 2020-09
Thyrsgaard, M. (2019). Intraday Phenomena in Financial Markets. Institut for Økonomi, Aarhus Universitet. ECON PhD Dissertations No. 2019-11
Christensen, K., Thyrsgaard, M. & Veliyev, B. (2019). The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. Journal of Econometrics, 212(2), 556-583. https://doi.org/10.1016/j.jeconom.2019.06.002
Andersen, T. G., Thyrsgaard, M. & Todorov, V. (2019). Time-Varying Periodicity in Intraday Volatility. Journal of the American Statistical Association, 114(528), 1695-1707. Advance online publication. https://doi.org/10.1080/01621459.2018.1512864
Andersen, T. G., Thyrsgaard, M. & Todorov, V. (2018). Time-Varying Periodicity in Intraday Volatility. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper No. 2018-05
Borup, D. & Thyrsgaard, M. (2017). Statistical tests for equal predictive ability across multiple forecasting methods. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper No. 2017-19
