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

46

i10 index

7204

Citations

RESEARCH PRODUCTION:

48

Articles

85

Papers

3

Chapters

RESEARCH ACTIVITY:

   23 years (1994 - 2017). See details.
   Cites by year: 313
   Journals where Torben G. Andersen has often published
   Relations with other researchers
   Recent citing documents: 570.    Total self citations: 74 (1.02 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pan210
   Updated: 2017-11-23    RAS profile: 2017-05-14    
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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:

Shephard, Neil (130)

Bollerslev, Tim (111)

Degiannakis, Stavros (101)

McAleer, Michael (98)

Barndorff-Nielsen, Ole (94)

Diebold, Francis (89)

Patton, Andrew (88)

Sévi, Benoît (88)

Laurent, Sébastien (83)

Christoffersen, Peter (77)

Medeiros, Marcelo (68)

Cites to:

Bollerslev, Tim (220)

Diebold, Francis (116)

Shephard, Neil (65)

Tauchen, George (53)

Engle, Robert (52)

Meddahi, Nour (49)

Gallant, A. (43)

Barndorff-Nielsen, Ole (41)

Schwert, G. (39)

Christoffersen, Peter (31)

Renault, Eric (31)

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 Finance6
Econometric Theory3
International Economic Review2
Journal of Empirical Finance2
Journal of Financial Markets2
American Economic Review2
Econometrica2
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

Recent works citing Torben G. Andersen (2017 and 2016)


YearTitle of citing document
2016Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2016-03.

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2016Volatility Discovery. (2016). Dias, Gustavo Fruet ; Scherrer, Cristina M ; Papailias, Fotis . In: CREATES Research Papers. RePEc:aah:create:2016-07.

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2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: CREATES Research Papers. RePEc:aah:create:2016-17.

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2016Volume, Volatility and Public News Announcements. (2016). Li, Jia ; Xue, Yuan . In: CREATES Research Papers. RePEc:aah:create:2016-19.

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2016Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. (2016). Violante, Francesco ; Barletta, Andrea ; de Magistris, Paolo Santucci . In: CREATES Research Papers. RePEc:aah:create:2016-20.

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2016Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach. (2016). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2016-27.

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2016The Drift Burst Hypothesis. (2016). Oomen, Roel ; Christensen, Kim ; Reno, Roberto . In: CREATES Research Papers. RePEc:aah:create:2016-28.

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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). Asgharian, Hossein ; Wang, Weining ; Jun, AI ; Christiansen, Charlotte . In: CREATES Research Papers. RePEc:aah:create:2017-34.

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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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2016Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees. (2016). Van Nieuwerburgh, Stijn ; Kelly, Bryan ; Lustig, Hanno . In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:6:p:1278-1319.

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2016The Response of Tail Risk Perceptions to Unconventional Monetary Policy. (2016). Sushko, Vladyslav ; Schrimpf, Andreas ; Hattori, Masazumi . In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:8:y:2016:i:2:p:111-36.

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2016Informed Trading in Oil-Futures Market. (2016). Sévi, Benoît ; Rousse, Olivier . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:249788.

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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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2016Bin Size Independence in Intra-day Seasonalities for Relative Prices. (2016). Guevara, Esteban . In: Papers. RePEc:arx:papers:1501.05176.

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2016Semimartingale detection and goodness-of-fit tests. (2016). Bull, Adam D.. In: Papers. RePEc:arx:papers:1506.00088.

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2016Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility. (2016). Paliathanasis, A ; Tamizhmani, K M ; Krishnakumar, K. In: Papers. RePEc:arx:papers:1508.06797.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2016FX Options in Target Zone. (2016). Carr, Peter ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1512.01527.

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2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). 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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2016Should employers pay their employees better? An asset pricing approach. (2016). Aboura, Sofiane ; Valeyre, Sebastien ; Bonnin, Francois ; Liu, Qian ; Grebenkov, Denis . In: Papers. RePEc:arx:papers:1602.00931.

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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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2016Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution. (2016). Stavroyiannis, Stavros . In: Papers. RePEc:arx:papers:1602.05749.

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:1604.01338.

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2016What does past correlation structure tell us about the future? An answer from network filtering. (2016). di Matteo, Tiziana ; Aste, Tomaso . In: Papers. RePEc:arx:papers:1605.08908.

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2016Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03597.

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2016Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1607.08214.

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2016Entropy and efficiency of the ETF market. (2016). Calcagnile, Lucio Maria ; Marmi, Stefano ; Corsi, Fulvio . In: Papers. RePEc:arx:papers:1609.04199.

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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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2016Detection of intensity bursts using Hawkes processes: an application to high frequency financial data. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Filimonov, Vladimir . In: Papers. RePEc:arx:papers:1610.05383.

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2016Early exercise decision in American options with dividends, stochastic volatility and jumps. (2016). Scaillet, Olivier ; Galluccio, Stefano ; Cosma, Antonio ; Pederzoli, Paola . In: Papers. RePEc:arx:papers:1612.03031.

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2016Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations. (2016). Li, Cheng . In: Papers. RePEc:arx:papers:1612.04507.

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2016Optimal Investment under Information Driven Contagious Distress. (2016). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1612.06133.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488.

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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). 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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2017VIX-linked fees for GMWBs via Explicit Solution Simulation Methods. (2017). 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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2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2017Testing if the market microstructure noise is a function of the limit order book. (2017). Clinet, Simon ; Potiron, Yoann . In: Papers. RePEc:arx:papers:1709.02502.

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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2016On the statistical properties of multiplicative GARCH models. (2016). Conrad, Christian ; Kleen, Onno . In: Working Papers. RePEc:awi:wpaper:0613.

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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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2016Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil. (2016). Accioly, Victor Bello ; de Melo, Beatriz Vaz . In: Brazilian Business Review. RePEc:bbz:fcpbbr:v:13:y:2016:i:2:p1-26.

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2016Time-Varying Crash Risk: The Role of Stock Market Liquidity. (2016). Feunou, Bruno ; Christoffersen, Peter ; Jeon, Yoontae ; Ornthanalai, Chayawat . In: Staff Working Papers. RePEc:bca:bocawp:16-35.

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2016Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility. (2016). Talmi, Jonathan ; Ehrmann, Michael. In: Staff Working Papers. RePEc:bca:bocawp:16-37.

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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). Viola, Alessandra Pasqualina ; Gaglianone, Wagner Piazza ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus . In: Working Papers Series. RePEc:bcb:wpaper:466.

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2016BTP futures and cash relationships: a high frequency data analysis. (2016). Puorro, Alfonso ; Potente, Francesco ; Panzarino, Onofrio . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1083_16.

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2016Monetary Policy and the Stock Market: Time-Series Evidence. (2016). Weber, Michael ; Neuhierl, Andreas . In: Working Papers. RePEc:bfi:wpaper:2016-26.

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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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2016The Chinese Stock Market Does not React to the Japanese Market: Using Intraday Data to Analyse Return and Volatility Spillover Effects. (2016). Tsutsui, Yoshiro ; Nishimura, Yusaku ; Hirayama, Kenjiro . In: The Japanese Economic Review. RePEc:bla:jecrev:v:67:y:2016:i:3:p:280-294.

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2016Information in the Term Structure of Yield Curve Volatility. (2016). Cieslak, Anna ; Povala, Pavol . In: Journal of Finance. RePEc:bla:jfinan:v:71:y:2016:i:3:p:1393-1436.

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2016Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series. (2016). YAYA, OLAOLUWA ; Olubusoye, Olusanya. In: OPEC Energy Review. RePEc:bla:opecrv:v:40:y:2016:i:3:p:235-262.

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2016Policy and macro signals as inputs to inflation expectation formation. (2016). Hubert, Paul ; Maule, Becky . In: Bank of England working papers. RePEc:boe:boeewp:0581.

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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). Noss, Joseph ; Crowley-Reidy, Liam ; Linton, Oliver ; Tobek, Ondrej ; Pedace, Lucas. In: Bank of England working papers. RePEc:boe:boeewp:0687.

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2016High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1084.

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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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2016Estimating stochastic volatility models using realized measures. (2016). Jeremias, Bekierman ; Bastian, Gribisch . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:3:p:279-300:n:3.

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2016Realised Variance Forecasting Under Box-Cox Transformations. (2016). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:16/4.

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2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

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2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Schneeberger, Stefan . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1620.

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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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2016Macro News and Exchange Rates in the BRICS. (2016). Spagnolo, Nicola ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5748.

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2016Exchange Rates and Macro News in Emerging Markets. (2016). Spagnolo, Nicola ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5816.

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2016Monetary Policy and the Stock Market: Time-Series Evidence. (2016). Weber, Michael ; Neuhierl, Andreas . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6199.

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2016Bootstrapping high-frequency jump tests. (2016). Goncalves, Silvia ; Dovonon, Prosper ; Meddahi, Nour ; Hounyo, Ulrich ; Gonalves, Silvia . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-24.

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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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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model. (2016). Bauwens, Luc ; Augustyniak, Maciej ; Dufays, Arnaud . In: CORE Discussion Papers. RePEc:cor:louvco:2016042.

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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11307.

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2016A new combination approach to reducing forecast errors with an application to volatility forecasting. (2016). Wilfling, Bernd ; Weigt, Till. In: CQE Working Papers. RePEc:cqe:wpaper:4616.

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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, Maria Dolores . 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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2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Yi, Yanping ; Schneeberger, Stefan . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2033.

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2016VOLATILITY ESTIMATORS WITH HIGH-FREQUENCY DATA FROM BUCHAREST STOCK EXCHANGE. (2016). Damian, Virgil ; Cepoi, Cosmin Octavian . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:3:p:247-264.

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2016Macro News and Exchange Rates in the BRICS. (2016). Spagnolo, Nicola ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1545.

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2016Equity Premium Prediction: Are Economic and Technical Indicators Unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1552.

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2016Exchange Rates and Macro News in Emerging Markets. (2016). Spagnolo, Nicola ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1558.

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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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2016Did the global financial crisis alter equilibrium adjustment dynamics between the US federal fund fund rates and stock price volatility in the SSA region?. (2016). Phiri, Andrew. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00204.

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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). Hallin, Marc ; Barigozzi, Matteo ; Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2016Is the intrinsic value of macroeconomic news announcements related to their asset price impact?. (2016). Strasser, Georg ; Scotti, Chiara ; Gilbert, Thomas ; Vega, Clara . In: Working Paper Series. RePEc:ecb:ecbwps:20161882.

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2016Price drift before U.S. macroeconomic news: private information about public announcements?. (2016). Strasser, Georg ; Kurov, Alexander ; Wolfe, Marketa ; Sancetta, Alessio . In: Working Paper Series. RePEc:ecb:ecbwps:20161901.

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More than 100 citations found, this list is not complete...

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.
[Full Text][Citation analysis]
paper41
2011A reduced form framework for modeling volatility of speculative prices based on realized variation measures.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
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article
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