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)

33

H index

47

i10 index

8055

Citations

RESEARCH PRODUCTION:

49

Articles

93

Papers

3

Chapters

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 335
   Journals where Torben G. Andersen has often published
   Relations with other researchers
   Recent citing documents: 516.    Total self citations: 80 (0.98 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pan210
   Updated: 2018-11-17    RAS profile: 2018-11-08    
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Relations with other researchers

Works with:

Tauchen, George (2)

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

Is cited by:

Shephard, Neil (132)

Degiannakis, Stavros (113)

Bollerslev, Tim (111)

Nielsen, Morten (108)

McAleer, Michael (102)

Barndorff-Nielsen, Ole (96)

Sévi, Benoît (90)

Patton, Andrew (88)

Diebold, Francis (88)

Laurent, Sébastien (83)

Christensen, Bent Jesper (79)

Cites to:

Bollerslev, Tim (239)

Diebold, Francis (123)

Shephard, Neil (68)

Tauchen, George (60)

Engle, Robert (52)

Meddahi, Nour (50)

Barndorff-Nielsen, Ole (45)

Gallant, A. (44)

Schwert, G. (40)

Renault, Eric (35)

Christoffersen, Peter (34)

Main data

Where Torben G. Andersen has published?

Journals with more than one article published# docs
Journal of Business & Economic Statistics9
Journal of Econometrics8
Journal of Finance7
Econometric Theory3
Journal of Empirical Finance2
International Economic Review2
American Economic Review2
Journal of Financial Economics2
Econometrica2
Journal of Financial Markets2

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

Recent works citing Torben G. Andersen (2018 and 2017)

YearTitle of citing document
2017Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-10.

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2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15.

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2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19.

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2018The drift burst hypothesis. (2018). Christensen, Kim ; Reno, Roberto ; Oomen, Roel. In: CREATES Research Papers. RePEc:aah:create:2018-21.

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2017Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa. (2017). Saidi, Atanda Mustapha . In: Working Paper Series. RePEc:adb:adbwps:2390.

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2017Surprise and Dispersion: Informational Impact of USDA Announcements. (2017). Fernandez-Perez, Adrian ; Tourani-Rad, Alireza ; Indriawan, Ivan ; Frijns, Bart. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259208.

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2017Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market. (2017). Mohibul, MD ; Islam, Anisul M. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:157--172.

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2018Modeling the Volatility and Forecasting the Stock Price of the German Stock Index (DAX30). (2018). Nguyen, Tristan ; Mai, Thi Thanh. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2018:p:72-92.

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2018Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2017Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei. In: Papers. RePEc:arx:papers:1602.00731.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2017Decoupling 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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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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2017Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

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2017Optimum thresholding using mean and conditional mean square error. (2017). , ; Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339.

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2017Systematic Noise: Micro-movements in Equity Options Markets. (2017). Wu, Adam . In: Papers. RePEc:arx:papers:1708.06855.

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2018VIX-linked fees for GMWBs via Explicit Solution Simulation Methods. (2018). Kouritzin, Michael A ; MacKay, Anne. In: Papers. RePEc:arx:papers:1708.06886.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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

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2018Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2017A simple model for forecasting conditional return distributions. (2017). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2017A Neural Stochastic Volatility Model. (2017). Luo, Rui ; Wang, Jun ; Xu, Xiaojun ; Zhang, Weinan. In: Papers. RePEc:arx:papers:1712.00504.

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2017Estimation 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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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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2017On Long Memory Origins and Forecast Horizons. (2017). Vera-Valdés, J. In: Papers. RePEc:arx:papers:1712.08057.

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2018Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation. (2018). Mendonca, Keegan ; Zuev, Konstantin M ; Pantelous, Athanasios A ; Kontosakos, Vasileios E. In: Papers. RePEc:arx:papers:1803.03364.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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2018Theoretical and empirical analysis of trading activity. (2018). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1803.04892.

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2018Universal features of price formation in financial markets: perspectives from Deep Learning. (2018). Sirignano, Justin ; Cont, Rama. In: Papers. RePEc:arx:papers:1803.06917.

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2018Exploring the predictability of range-based volatility estimators using RNNs. (2018). Petneh, G'Abor. In: Papers. RePEc:arx:papers:1803.07152.

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2018Econophysics Beyond General Equilibrium: the Business Cycle Model. (2018). Olkhov, Victor. In: Papers. RePEc:arx:papers:1804.04721.

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2018Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2018Effects of a Price limit Change on Market Stability at the Intraday Horizon in the Korean Stock Market. (2018). Kim, Wonse ; Jun, Sung Jae. In: Papers. RePEc:arx:papers:1805.04728.

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2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653.

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

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2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). Baruník, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823.

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2018Tail probabilities for short-term returns on stocks. (2018). Rasmussen, Henrik O ; Wilmott, Paul. In: Papers. RePEc:arx:papers:1809.08416.

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2018Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2018). Yamauchi, Yuta ; Omori, Yasuhiro. In: Papers. RePEc:arx:papers:1809.09928.

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2017Oil Price Volatility and Fiscal Behaviour if Government in Nigeria. (2017). fasanya, Ismail ; Aregbeyen, Omo . In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2017:p:118-134.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2018‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios. (2018). Conrad, Christian ; Glas, Alexander. In: Working Papers. RePEc:awi:wpaper:0655.

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2017The Effect of Central Bank Transparency on Exchange Rate Volatility. (2017). Weber, Christoph S. In: Working Papers. RePEc:bav:wpaper:174_weber.

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2018Measuring the Impact of Monetary Policy Attention on Global Asset Volatility Using Search Data. (2018). Wohlfarth, Paul. In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1803.

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2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-55.

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2017Volatility Risk Premia and Future Commodity Returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:455.

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2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Viola, Alessandra Pasqualina . In: Working Papers Series. RePEc:bcb:wpaper:466.

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2017Oil, equities, and the zero lower bound. (2017). Vigfusson, Robert ; Kwon, Hannah ; Johannsen, Benjamin K ; Datta, Deepa . In: BIS Working Papers. RePEc:bis:biswps:617.

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2017How return and risk experiences shape investor beliefs and preferences. (2017). , Arvid ; Smith, Tom ; Post, Thomas. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:759-788.

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2017Normality of stock returns with event time clocks. (2017). Ling, Xin . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:277-298.

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2017Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Veredas, David ; Matei, Marius ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:1-19.

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2017A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries. (2017). Stengos, Thanasis ; Ozturk, Serda S. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:479-490.

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2017A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

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2017Drift in Transaction-Level Asset Price Models. (2017). Perron, Pierre ; Soulier, Philippe ; Hurvich, Clifford ; Cao, Wen ; Zorita, Eduardo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:769-790.

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2017Earnings Growth and Movements in Self-Reported Health. (2017). Addison, Tony ; Halliday, Timothy J ; Tarp, Finn ; Pirttila, Yukka. In: Review of Income and Wealth. RePEc:bla:revinw:v:63:y:2017:i:4:p:760-776.

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2017Impact of Macroeconomic Announcements on Foreign Exchange Volatility: Evidence from South Africa. (2017). ALAGIDEDE, PAUL ; Maserumule, Tseke. In: South African Journal of Economics. RePEc:bla:sajeco:v:85:y:2017:i:3:p:405-429.

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2018Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2017Borderline: judging the adequacy of return distribution estimation techniques in initial margin models. (2017). Murphy, David ; Houllier, Melanie . In: Bank of England working papers. RePEc:boe:boeewp:0673.

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2017The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets. (2017). LINTON, OLIVER ; Crowley-Reidy, Liam ; Tobek, Ondrej ; Pedace, Lucas ; Noss, Joseph. In: Bank of England working papers. RePEc:boe:boeewp:0687.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2018High-frequency Cash Flow Dynamics. (2018). Pettenuzzo, Davide ; Timmermann, Allan ; Sabbatucci, Riccardo. In: Working Papers. RePEc:brd:wpaper:120.

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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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2018Measuring and trading volatility on the US stock market: A regime switching approach. (2018). Dapena, Jose ; Siri, Julian R ; Serur, Juan A. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:659.

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2018Uncertainty and Hyperinflation: European Inflation Dynamics after World War I. (2018). Lopez, Jose ; Mitchener, Kris James . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7066.

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2018Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises. (2018). Gurkaynak, Refet S ; Wright, Jonathan H ; Kisacikolu, Burin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7229.

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2018Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis. (2018). Kočenda, Evžen ; Moravcova, Michala . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7239.

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2017Balance comercial y volatilidad del tipo de cambio nominal: Un estudio de series de tiempo para Colombia. (2017). Clavijo, Pedro Hugo. In: REVISTA ECONOMÍA & REGIÓN. RePEc:col:000411:015716.

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2017Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland. (2017). Będowska-Sójka, Barbara ; Bedowska-Sojka, Barbara . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:17:y:2017:p:161-176.

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2017The impact of ECBs conventional and unconventional monetary policies on European banking indexes returns.. (2017). Perdichizzi, Salvatore. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def059.

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2017Trends in distributional characteristics : Existence of global warming. (2017). Gonzalo, Jesus ; Gadea, María. In: UC3M Working papers. Economics. RePEc:cte:werepe:24121.

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2017Global Risk Aversion Spillover Dynamics and Investors Attention Allocation. (2017). Ceylan, Ozcan. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:ceylan.

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2017FUTURES-BASED MEASURES OF MONETARY POLICY AND JUMP RISK. (2017). Inekwe, John ; Nkwoma, Inekwe John . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:02:p:384-405_00.

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2017Entropy-based implied moments. (2017). Xiao, Xiao ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Ciarreta, Aitor ; Muniainy, Peru . In: ISER Discussion Paper. RePEc:dpr:wpaper:0991.

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2017On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis. (2017). JAWADI, Fredj ; ben ameur, hachmi ; Cheffou, Abdoulkarim Idi ; Louhichi, Wael. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-11.

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2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

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2017The effects of intraday news flow on market liquidity, price volatility and trading activity. (2017). Karam, Arz. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00384.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2017A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets. (2017). Carchano, Oscar ; Pardo, Angel ; Lucia, Julio . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-53.

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2017Effect of Economic Announcements on FX Fluctuations: Testing a Unified Approach for Prediction. (2017). Tianqiong, Wang ; Saddique, Shamila ; Yang, Shu. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-83.

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2017Global Macroeconomic Announcements and Foreign Exchange Implied Volatility. (2017). Ishfaq, Muhammad ; Raza, Syed Mehmood ; Bi, Zhang. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-14.

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2018The Relevance of the Market and News Direction When Analyzing the Inflation News Impact on the US Stock Market. (2018). Jareo, Francisco ; del Camino, M ; Tolentino, Marta. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-02-16.

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2018Tourism in Iceland: Persistence and seasonality. (2018). Gil-Alana, Luis ; Huijbens, Edward H. In: Annals of Tourism Research. RePEc:eee:anture:v:68:y:2018:i:c:p:20-29.

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2017Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161.

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2018News and expected returns in East Asian equity markets: The RV-GARCHM model. (2018). Martin, Vance L ; Yao, Wenying ; Tang, Chrismin. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:36-52.

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2017Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. (2018). Zeng, Yan ; Yang, Zhou ; Chen, Zheng ; Li, Danping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:70-103.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. (2017). Leung, Henry ; Schroeder, Florian ; Schiereck, Dirk. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:169-180.

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2017Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets. (2017). Kilic, Erdem. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:51-67.

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2017The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis. (2017). Todorova, Neda. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:221-230.

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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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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 Papers.
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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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0000Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span In: CREATES Research Papers.
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2018Time-Varying Periodicity in Intraday Volatility In: CREATES Research Papers.
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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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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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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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2008Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: Queen's Economics Department Working Papers.
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2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
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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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1998Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: Journal of Finance.
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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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2002An Empirical Investigation of Continuous-Time Equity Return Models In: Journal of Finance.
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2001An Empirical Investigation of Continuous-Time Equity Return Models.(2001) In: NBER Working Papers.
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2016Intraday Trading Invariance in the E-mini S&P 500 Futures Market In: Working Papers.
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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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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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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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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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1996DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: NBER Working Papers.
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