Torben G. Andersen : Citation Profile

Are you Torben G. Andersen?

National Bureau of Economic Research (NBER) (50% share)
Northwestern University (39% share)
Aarhus Universitet (11% share)

34

H index

50

i10 index

9514

Citations

RESEARCH PRODUCTION:

52

Articles

95

Papers

3

Chapters

RESEARCH ACTIVITY:

   26 years (1994 - 2020). See details.
   Cites by year: 365
   Journals where Torben G. Andersen has often published
   Relations with other researchers
   Recent citing documents: 430.    Total self citations: 82 (0.85 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pan210
   Updated: 2021-03-01    RAS profile: 2020-09-14    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Torben G. Andersen.

Is cited by:

Degiannakis, Stavros (182)

Bollerslev, Tim (150)

Shephard, Neil (133)

GUPTA, RANGAN (120)

McAleer, Michael (115)

Patton, Andrew (100)

Laurent, Sébastien (95)

Diebold, Francis (95)

Barndorff-Nielsen, Ole (92)

Sévi, Benoît (91)

Baruník, Jozef (83)

Cites to:

Bollerslev, Tim (233)

Diebold, Francis (115)

Shephard, Neil (75)

Tauchen, George (67)

Gallant, A. (54)

Engle, Robert (52)

Meddahi, Nour (49)

Barndorff-Nielsen, Ole (43)

Renault, Eric (36)

Christoffersen, Peter (34)

Schwert, G. (34)

Main data

Where Torben G. Andersen has published?

Journals with more than one article published# docs
Journal of Econometrics9
Journal of Business & Economic Statistics9
Journal of Finance5
Econometric Theory4
International Economic Review2
Journal of Financial Markets2
Econometrica2
Journal of Empirical Finance2
American Economic Review2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
CFS Working Paper Series / Center for Financial Studies (CFS)7
Working Paper Series / Federal Reserve Bank of Chicago3
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
Working Papers / New Economic School (NES)2

Recent works citing Torben G. Andersen (2021 and 2020)

YearTitle of citing document
2020Adaptive Inference in Heteroskedastic Fractional Time Series Models. (2020). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2020-08.

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2021A machine learning approach to volatility forecasting. (2021). Siggaard, Mathias ; Christensen, Kim ; Veliyev, Bezirgen. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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2020Exploring the Inflationary Effect of Oil Price Volatility in Africas Oil Exporting Countries. (2020). Adekunle, Ibrahim A ; George, Emmanuel O ; Ogede, Sina J. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/020.

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2020Volatility Transmission between Oil Prices and Stock Prices as a New Source of Instability: Lessons from the UK Experience. (2020). Of, Dundee University ; Robertson, John . In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2020:p:217-223.

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2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2020Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2020Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor. In: Papers. RePEc:arx:papers:1901.05024.

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2020A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

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2020Artificial intelligence approach to momentum risk-taking. (2019). Cherednik, Ivan. In: Papers. RePEc:arx:papers:1911.08448.

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2020Revisiting the Epps effect using volume time averaging: An exercise in R. (2019). Gebbie, Tim ; Bukuru, Roger ; Chang, Patrick. In: Papers. RePEc:arx:papers:1912.02416.

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2020Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911.

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2020Deep Learning for Asset Bubbles Detection. (2020). Marchal, Alexis ; Bashchenko, Oksana. In: Papers. RePEc:arx:papers:2002.06405.

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2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

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2021Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135.

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2020Investigating the influence Brexit had on Financial Markets, in particular the GBP/EUR exchange rate. (2020). Filletti, Michael. In: Papers. RePEc:arx:papers:2003.05895.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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2021Time-varying volatility in Bitcoin market and information flow at minute-level frequency. (2020). Antulov-Fantulin, Nino ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2004.00550.

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2020Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

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2020Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015.

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2020Clustering volatility regimes for dynamic trading strategies. (2020). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963.

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2020The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158.

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2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2020Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen. In: Papers. RePEc:arx:papers:2006.12039.

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2020Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). Alonso-Gonz, P J ; Ramos, E ; J. J. N'u~nez-Vel'azquez, . In: Papers. RePEc:arx:papers:2006.16383.

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2020Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837.

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2020Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822.

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2020Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2020Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2020Volatility Forecasting with 1-dimensional CNNs via transfer learning. (2020). , J'Ozsef ; Petneh, G'Abor ; Aradi, Bernadett. In: Papers. RePEc:arx:papers:2009.05508.

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2020Distillation of News Flow into Analysis of Stock Reactions. (2020). Bommes, Elisabeth ; Chen, Cathy Y ; Hardle, Wolfgang Karl ; Zhang, Junni L. In: Papers. RePEc:arx:papers:2009.10392.

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2020The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2020). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2009.10972.

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2020Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278.

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2020Are cryptocurrencies becoming more interconnected?. (2020). Perez-Laborda, Alejandro ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios. In: Papers. RePEc:arx:papers:2009.14561.

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2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

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2020A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets. (2020). Hao, Wenyan ; Chi, Yeguang. In: Papers. RePEc:arx:papers:2010.07402.

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2020Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659.

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2020High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2020Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2020Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939.

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2020On Classifying the Effects of Policy Announcements on Volatility. (2020). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2011.14094.

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2020A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2020Filtering the intensity of public concern from social media count data with jumps. (2020). , Carlo ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2012.13267.

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2021Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Fan, Rui ; Shin, Youngki ; Lee, Ji Hyung. In: Papers. RePEc:arx:papers:2101.11568.

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2020The Term Structures of Loss and Gain Uncertainty. (2020). Feunou, Bruno ; Xu, Lai ; Tedongap, Romeo ; Aliouchkin, Ricardo Lopez. In: Staff Working Papers. RePEc:bca:bocawp:20-19.

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2020The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News. (2020). Jin, Jianjian ; Ellwanger, Reinhard ; Alquist, Ron. In: Staff Working Papers. RePEc:bca:bocawp:20-8.

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2020Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17). (2020). de Melo, Andre ; Noronha, George Augusto ; de Carvalho, Osmani Teixeira ; DA SILVA, TARCISO GOUVEIA . In: Working Papers Series. RePEc:bcb:wpaper:536.

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2020Financial frictions and the wealth distribution. (2020). Nuño Barrau, Galo ; Hurtado, Samuel ; Fernandez-Villaverde, Jesus ; Nuo, Galo. In: Working Papers. RePEc:bde:wpaper:2013.

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2020Social media and price discovery: the case of cross-listed firms. (2020). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: Discussion Papers. RePEc:bir:birmec:20-05.

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2020The handicap for enhanced solidarity across advanced economies: The greater the economic openness higher the unequal distribution of income. (2020). Ozdemir, Onur. In: Annals of Public and Cooperative Economics. RePEc:bla:annpce:v:91:y:2020:i:4:p:585-632.

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2020Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100.

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2020Modelling Financial Contagion Using High Frequency Data. (2020). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330.

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2020Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349.

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2020Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146.

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2020Term structure determinants of time‐varying risk of 1‐year bond returns. (2020). Khanapure, Revansiddha Basavaraj. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:365-384.

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2020Trade signing in fast markets. (2020). Kolay, Madhuparna ; Carrion, Allen. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:385-404.

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2020Decomposing the VIX: Implications for the predictability of stock returns. (2020). Chow, Victor K ; Li, Jingrui ; Jiang, Wanjun. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:645-668.

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2020The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579.

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2020PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES. (2020). Ibrushi, Denada ; Cenesizoglu, Tolga. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:649-673.

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2020JUMPS, NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY. (2020). Yin, Xiangkang ; Zhao, Jing ; Xiao, Yuewen. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:705-731.

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2020COMPARISON OF ESTIMATORS OF EQUITY RETURN STANDARD DEVIATION USING PITMAN CLOSENESS CRITERION AND CONTROL CHARTING APPLICATIONS. (2020). Dane, Lahtinen Kyre ; Alan, Chow ; Kelsey, Edwards. In: Studies in Business and Economics. RePEc:blg:journl:v:15:y:2020:i:1:p:5-12.

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2020Informed trading in government bond markets. (2020). Czech, Robert ; Wang, Tianyu ; Lou, Dong ; Huang, Shiyang. In: Bank of England working papers. RePEc:boe:boeewp:0871.

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2020Can Technical Indicators Provide Information for Future Volatility: International Evidence. (2020). Xun, Peng ; Tingting, Ying ; Nenghui, Zhu ; Yanlong, Shi ; Xiangxing, Tao ; Yafeng, Shi. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:1:p:53-66:n:4.

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2020Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2007.

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2020Intra-Industry Transfer of Information Inferred From Trading Volume. (2020). Hanousek, Jan ; Tresl, Jiri ; Ferris, Stephen P ; Brushko, Iuliia. In: CERGE-EI Working Papers. RePEc:cer:papers:wp663.

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2020Cyber-Attacks and Cryptocurrencies. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8124.

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2020Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market. (2020). Gil-Alana, Luis ; Martin-Valmayor, Miguel ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8171.

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2020Energy Contagion in the COVID-19 Crisis. (2020). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8345.

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2020Financial Frictions and the Wealth Distribution. (2020). Nuño Barrau, Galo ; Hurtado, Samuel ; Fernandez-Villaverde, Jesus ; Nuo, Galo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8482.

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2020Expectation Dispersion, Uncertainty, and the Reaction to News. (2020). Enders, Zeno ; Dovern, Jonas ; Born, Benjamin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8801.

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2020On Classifying the Effects of Policy Announcements on Volatility. (2020). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202008.

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2020Demand shocks for public debt in the Eurozone. (2020). Giuliodori, Massimo ; Lengyel, Andras. In: DNB Working Papers. RePEc:dnb:dnbwpp:674.

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2020Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a Copula Approach. (2020). Ehouman, Yao Axel. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-31.

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2020Modeling and Forecasting USD/UGX Volatility through GARCH Family Models: Evidence from Gaussian, T and GED Distributions. (2020). Erkekoglu, Hatice ; Deng, Adire Simon ; Majok, Aweng Peter. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-02-31.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2020The effect of return jumps on herd behavior. (2020). Wanidwaranan, Phasin ; Padungsaksawasdi, Chaiyuth. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020300599.

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2020The COVID-19 global fear index and the predictability of commodity price returns. (2020). Salisu, Afees ; Raheem, Ibrahim ; Akanni, Lateef. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020302136.

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2020How does air pollution-induced fund-manager mood affect stock markets in China?. (2020). Lu, Jing ; Chou, Robin K ; Wu, Qinqin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303269.

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2020Trading volume and realized higher-order moments in the Australian stock market. (2020). Jeyasreedharan, Nagaratnam ; Ahadzie, Richard Mawulawoe. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303403.

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2020A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market. (2020). Ouenniche, Jamal ; Aziz, Saqib ; Mohmand, Yasir Tariq ; Aslam, Faheem. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303452.

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2020Nonlinear and time-varying risk premia. (2020). Cai, Zongwu ; Mi, Xianhua ; Ma, Chaoqun. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x2030064x.

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2020Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach. (2020). Zhang, Tonghui ; Yuan, Ying. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:140:y:2020:i:c:s0960077920306482.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

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2020The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Pham, Manh Cuong ; Lajbcygier, Paul ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603.

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2020Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65.

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2020The heterogeneous volume-volatility relations in the exchange-traded fund market: Evidence from China. (2020). Xu, Liao ; Zhao, Yang ; Shi, Yukun ; Gao, Han. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:400-408.

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2020Crude oil and BRICS stock markets under extreme shocks: New evidence. (2020). He, Chengting ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:54-68.

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2020Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Huang, Zhuo ; Wang, Tianyi ; Liang, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2020Does board gender diversity influence firm profitability? A control function approach. (2020). Simioni, Michel ; Reddy, Krishna ; Houanti, Lhocine ; Ng, Rey. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:168-181.

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2020Firm-specific information and systemic risk. (2020). Clements, Adam ; Liao, Y. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:480-493.

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2020Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the United States experience. (2020). Ehouman, Yao Axel. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:198-217.

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2020Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S.. (2020). , Jingyu ; Zhu, Yanjian ; Jiang, Yuexiang ; Wang, Jiazhen ; Yu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:428-444.

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Works by Torben G. Andersen:

YearTitleTypeCited
2007A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures In: CREATES Research Papers.
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2011A reduced form framework for modeling volatility of speculative prices based on realized variation measures.(2011) In: Journal of Econometrics.
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2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
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2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
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2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 598		article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
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2007Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics.
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2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
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2007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers.
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2010Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns.(2010) In: Journal of Applied Econometrics.
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2008Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns.(2008) In: Working Paper.
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2007Construction and Interpretation of Model-Free Implied Volatility In: CREATES Research Papers.
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2007Construction and Interpretation of Model-Free Implied Volatility.(2007) In: NBER Working Papers.
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2007Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models In: CREATES Research Papers.
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2010Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models.(2010) In: Journal of Finance.
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2006Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models.(2006) In: Working Paper Series.
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2007Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models.(2007) In: NBER Working Papers.
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2009Realized Volatility and Multipower Variation In: CREATES Research Papers.
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2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation In: CREATES Research Papers.
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2012Jump-robust volatility estimation using nearest neighbor truncation.(2012) In: Journal of Econometrics.
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2010Jump-robust volatility estimation using nearest neighbor truncation.(2010) In: Staff Reports.
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2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation.(2009) In: NBER Working Papers.
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2010Stochastic Volatility In: CREATES Research Papers.
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2009Stochastic volatility.(2009) In: Working Paper Series.
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2011A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation In: CREATES Research Papers.
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2011A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation.(2011) In: NBER Working Papers.
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2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
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2013Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance.
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2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
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2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
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2011Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX In: CREATES Research Papers.
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2011VPIN and the Flash Crash In: CREATES Research Papers.
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2014VPIN and the flash crash.(2014) In: Journal of Financial Markets.
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2011Parametric Inference and Dynamic State Recovery from Option Panels In: CREATES Research Papers.
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2012Parametric Inference and Dynamic State Recovery from Option Panels.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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2012Parametric Inference and Dynamic State Recovery from Option Panels.(2012) In: NBER Working Papers.
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2015Parametric Inference and Dynamic State Recovery From Option Panels.(2015) In: Econometrica.
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2013Reflecting on the VPIN Dispute In: CREATES Research Papers.
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2014Reflecting on the VPIN dispute.(2014) In: Journal of Financial Markets.
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2013Assessing Measures of Order Flow Toxicity via Perfect Trade Classification In: CREATES Research Papers.
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2013The Fine Structure of Equity-Index Option Dynamics In: CREATES Research Papers.
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2015The fine structure of equity-index option dynamics.(2015) In: Journal of Econometrics.
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2014The Risk Premia Embedded in Index Options In: CREATES Research Papers.
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2018The Risk Premia Embedded in Index Options.(2018) In: CREATES Research Papers.
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2015The risk premia embedded in index options.(2015) In: Journal of Financial Economics.
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2018The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets In: CREATES Research Papers.
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2020The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets.(2020) In: Journal of Business & Economic Statistics.
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2018Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span In: CREATES Research Papers.
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2019Unified inference for nonlinear factor models from panels with fixed and large time span.(2019) In: Journal of Econometrics.
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2018Option Panels in Pure-Jump Settings In: CREATES Research Papers.
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2018Time-Varying Periodicity in Intraday Volatility In: CREATES Research Papers.
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2019Time-Varying Periodicity in Intraday Volatility.(2019) In: Journal of the American Statistical Association.
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2018Short-Term Market Risks Implied by Weekly Options In: CREATES Research Papers.
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2017Short-Term Market Risks Implied by Weekly Options.(2017) In: Journal of Finance.
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2018Consistent Inference for Predictive Regressions in Persistent VAR Economies In: CREATES Research Papers.
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2016Intraday Trading Invariance in the E-mini S&P 500 Futures Market In: Working Papers.
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2020Intraday Trading Invariance in the E-mini S&P 500 Futures Market.(2020) In: Working Papers.
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2016Intraday Trading Invariance in the E-mini S&P 500 Futures Market.(2016) In: Working Papers.
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2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers.
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This paper has another version. Agregated cites: 621		paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers.
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2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
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2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
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2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
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2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
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2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
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1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
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1996GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. In: Journal of Business & Economic Statistics.
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2000Some Reflections on Analysis of High-Frequency Data. In: Journal of Business & Economic Statistics.
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2005Editors Report 2004 In: Journal of Business & Economic Statistics.
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2006Editor Report 2005.(2006) In: Journal of Business & Economic Statistics.
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2006Comment In: Journal of Business & Economic Statistics.
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2007Editorial Announcement In: Journal of Business & Economic Statistics.
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2007Editors Report 2006 In: Journal of Business & Economic Statistics.
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2006Editor Report 2005.(2006) In: Journal of Business & Economic Statistics.
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1996 Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility. In: Journal of Finance.
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1997 Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. In: Journal of Finance.
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1996Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns.(1996) In: NBER Working Papers.
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2001Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns In: Journal of Finance.
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1998Towards a unified framework for high and low frequency return volatility modeling In: Statistica Neerlandica.
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2002Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers.
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2004ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review.
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2002Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities In: CIRANO Working Papers.
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2002Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities.(2002) In: Cahiers de recherche.
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2002CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES.(2002) In: Cahiers de recherche.
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1998THE ECONOMETRICS OF FINANCIAL MARKETS In: Econometric Theory.
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2000SIMULATION-BASED ECONOMETRIC METHODS In: Econometric Theory.
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2014A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY In: Econometric Theory.
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2013A robust neighborhood truncation approach to estimation of integrated quarticity.(2013) In: International Finance Discussion Papers.
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2019INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS In: Econometric Theory.
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2003Modeling and Forecasting Realized Volatility In: Econometrica.
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2001Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers.
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2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
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2005Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica.
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2004Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature In: Econometric Society 2004 North American Winter Meetings.
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2007No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications In: Journal of Econometrics.
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2007No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications.(2007) In: NBER Working Papers.
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1997GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) In: Journal of Econometrics.
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1997Estimating continuous-time stochastic volatility models of the short-term interest rate In: Journal of Econometrics.
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1999Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study In: Journal of Econometrics.
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1999Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon In: Journal of Empirical Finance.
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2000Intraday and interday volatility in the Japanese stock market In: Journal of International Financial Markets, Institutions and Money.
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1999The Distribution of Exchange Rate Volatility In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1999The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers.
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1999The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers.
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1999Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: Multinational Finance Journal.
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2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: NBER Working Papers.
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1999Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian.(1999) In: Center for Financial Institutions Working Papers.
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1999(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers.
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2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive.
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2005Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series.
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2002Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers.
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2002Parametric and Nonparametric Volatility Measurement.(2002) In: Center for Financial Institutions Working Papers.
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2005Volatility Forecasting In: NBER Working Papers.
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2005Volatility Forecasting.(2005) In: PIER Working Paper Archive.
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2005Volatility forecasting.(2005) In: CFS Working Paper Series.
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2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers.
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2004Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive.
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2004Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series.
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2015The Pricing of Short-Term market Risk: Evidence from Weekly Options In: NBER Working Papers.
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1996DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: NBER Working Papers.
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1997Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts In: NBER Working Papers.
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2000The Distribution of Stock Return Volatility In: NBER Working Papers.
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2000The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers.
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2001An Empirical Investigation of Continuous-Time Equity Return Models In: NBER Working Papers.
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2008Stochastic Volatility: Origins and Overview.(2008) In: Economics Series Working Papers.
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2008Stochastic Volatility: Origins and Overview.(2008) In: OFRC Working Papers Series.
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2004Discussion In: Journal of Financial Econometrics.
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2015Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence In: Review of Finance.
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2015Exploring Return Dynamics via Corridor Implied Volatility In: Review of Financial Studies.
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2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive.
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2004Realized Beta: Persistence and Predictability In: PIER Working Paper Archive.
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