Torben G. Andersen : Citation Profile

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

42

H index

60

i10 index

14462

Citations

RESEARCH PRODUCTION:

68

Articles

101

Papers

5

Chapters

RESEARCH ACTIVITY:

   31 years (1994 - 2025). See details.
   Cites by year: 466
   Journals where Torben G. Andersen has often published
   Relations with other researchers
   Recent citing documents: 653.    Total self citations: 95 (0.65 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pan210
   Updated: 2025-12-20    RAS profile: 2025-04-24    
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Relations with other researchers

Works with:

Nolte, Ingmar (2)

Hautsch, Nikolaus (2)

Archakov, Ilya (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:

Degiannakis, Stavros (226)

GUPTA, RANGAN (221)

Bollerslev, Tim (184)

Shephard, Neil (142)

Diebold, Francis (119)

Laurent, Sébastien (117)

Patton, Andrew (117)

Baruník, Jozef (111)

Medeiros, Marcelo (103)

Zhang, Yaojie (103)

Sévi, Benoît (98)

Cites to:

Bollerslev, Tim (317)

Diebold, Francis (163)

Shephard, Neil (116)

Tauchen, George (81)

Engle, Robert (70)

Gallant, A. (57)

Meddahi, Nour (50)

Hansen, Peter (45)

Lunde, Asger (45)

Schwert, G. (42)

Campbell, John (41)

Main data

Where Torben G. Andersen has published?

Journals with more than one article published# docs
Journal of Econometrics15
Journal of Business & Economic Statistics9
Journal of Finance6
Econometric Theory5
Quantitative Economics3
Journal of Financial Econometrics2
Journal of Time Series Analysis2
International Economic Review2
Journal of the American Statistical Association2
Journal of Financial Markets2
Journal of Financial Economics2
Econometrica2
Journal of Empirical Finance2
American Economic Review2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc26
CFS Working Paper Series / Center for Financial Studies (CFS)7
Working Paper Series / Federal Reserve Bank of Chicago3
Working Papers / New Economic School (NES)2
Working Papers / University of Macau, Faculty of Business Administration2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Torben G. Andersen (2025 and 2024)

YearTitle of citing document
2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Chavas, Jean-Paul ; Li, Jian. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343544.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2024Volatility Depends on Market Trades and Macro Theory. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2024To VaR, or Not to VaR, That is the Question. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2024Three Remarks On Asset Pricing. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

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2024Market-Based Price Autocorrelation. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

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2024Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2204.07506.

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2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2025Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024Option pricing in Sandwiched Volterra Volatility model. (2024). Mishura, Yuliya ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2209.10688.

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2024DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions. (2024). Zohren, Stefan ; Moreno-Pino, Fernando. In: Papers. RePEc:arx:papers:2210.04797.

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2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

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2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2024). Wilms, Ines ; Hecq, Alain ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2024). Lu, Yutong ; Cucuringu, Mihai ; Reinert, Gesine. In: Papers. RePEc:arx:papers:2302.09382.

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2024Learning to Predict Short-Term Volatility with Order Flow Image Representation. (2024). Hao, Mingyu ; Lenskiy, Artem. In: Papers. RePEc:arx:papers:2304.02472.

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2025Latent Factor Analysis in Short Panels. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2024An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics. (2024). Cao, YI ; Polukarov, Maria ; Li, Haochen ; Ventre, Carmine. In: Papers. RePEc:arx:papers:2308.14235.

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2024iCOS: Option-Implied COS Method. (2024). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

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2024Data-driven fixed-point tuning for truncated realized variations. (2024). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2311.00905.

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2024Rough volatility: evidence from range volatility estimators. (2024). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

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2024Robust Estimation in Network Vector Autoregression with Nonstationary Regressors. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2401.04050.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2025Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting. (2024). Takahashi, Makoto ; Yamauchi, Yuta ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Papers. RePEc:arx:papers:2401.13179.

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2025Signature volatility models: pricing and hedging with Fourier. (2024). , Louis-Amand ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2402.01820.

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2024From GARCH to Neural Network for Volatility Forecast. (2024). Hung, Wilfred Siu ; Zhao, Pengfei ; Zhu, Haoren ; Lee, Dik Lun. In: Papers. RePEc:arx:papers:2402.06642.

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2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134.

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2024Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan. In: Papers. RePEc:arx:papers:2402.07435.

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2024Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985.

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2025On short-time behavior of implied volatility in a market model with indexes. (2025). Nguyen, Thai ; Chau, Huy N. In: Papers. RePEc:arx:papers:2402.16509.

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2025Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Papers. RePEc:arx:papers:2403.00819.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2024Maximally Forward-Looking Core Inflation. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian ; Klieber, Karin ; Barrette, Christophe. In: Papers. RePEc:arx:papers:2404.05209.

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2025RiskLabs: Predicting Financial Risk Using Large Language Model Based on Multi-Sources Data. (2024). Chen, Zhi ; Cao, Yupeng ; Pei, Qingyun ; Kumar, Prashant ; Ndiaye, Papa Momar ; Ausiello, Lorenzo ; Subbalakshmi, K P ; Dimino, Fabrizio. In: Papers. RePEc:arx:papers:2404.07452.

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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087.

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2025Reinforcement Learning for Jump-Diffusions, with Financial Applications. (2025). Yu, Xun ; Gao, Xuefeng ; Li, Lingfei. In: Papers. RePEc:arx:papers:2405.16449.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024Probabilistic models and statistics for electronic financial markets in the digital age. (2024). Bibinger, Markus. In: Papers. RePEc:arx:papers:2406.07388.

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2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041.

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2024A nonparametric test for rough volatility. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2407.10659.

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2024The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models. (2024). Ślepaczuk, Robert ; Roszyk, Natalia. In: Papers. RePEc:arx:papers:2407.16780.

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2024An unbounded intensity model for point processes. (2024). Christensen, Kim ; Kolokolov, Alexei. In: Papers. RePEc:arx:papers:2408.06519.

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2024Method of Moments Estimation for Affine Stochastic Volatility Models. (2024). Wu, Yan-Feng ; Yang, Xiangyu ; Hu, Jian-Qiang. In: Papers. RePEc:arx:papers:2408.09185.

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2024Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588.

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2024Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516.

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2024Consistent Estimation of the High-Dimensional Efficient Frontier. (2024). Parolya, Nestor ; Hautsch, Nikolaus ; Okhrin, Yarema ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2409.15103.

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2025Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days. (2024). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2409.15320.

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2024The Fourier Cosine Method for Discrete Probability Distributions. (2024). Liu, Chengguang ; Fang, Fang ; Shen, Xiaoyu. In: Papers. RePEc:arx:papers:2410.04487.

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2025Graph Signal Processing for Global Stock Market Realized Volatility Forecasting. (2025). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2410.22706.

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2025Moments by Integrating the Moment-Generating Function. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2410.23587.

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2025Liquidity Jump, Liquidity Diffusion, and Crypto Wash Trading. (2025). Zhou, Zhong-Guo ; Deng, QI. In: Papers. RePEc:arx:papers:2411.05803.

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2024What events matter for exchange rate volatility ?. (2024). FREITAS LOPES, HEDIBERT ; Ferreira Batista Martins, Igor. In: Papers. RePEc:arx:papers:2411.16244.

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2024Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli. In: Papers. RePEc:arx:papers:2411.17136.

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2024Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2024Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures. (2024). Zhang, Rouyi ; Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2412.16436.

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2025Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490.

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2025Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities. (2025). Chang, Yaming. In: Papers. RePEc:arx:papers:2502.02695.

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2025Adaptive Nesterov Accelerated Distributional Deep Hedging for Efficient Volatility Risk Management. (2025). Lu, Wu-Sheng ; Cai, Lin ; Zhao, Lei. In: Papers. RePEc:arx:papers:2502.17777.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025On the Realized Joint Laplace Transform of Volatilities with Application to Test the Volatility Dependence. (2025). Jiang, YU ; Feng, Xinwei ; Liu, Zhi ; Meng, Zhe. In: Papers. RePEc:arx:papers:2503.02283.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2025Liquidity-adjusted Return and Volatility, and Autoregressive Models. (2025). Deng, QI ; Zhou, Zhong-Guo. In: Papers. RePEc:arx:papers:2503.08693.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2025Impact of the COVID-19 pandemic on the financial market efficiency of price returns, absolute returns, and volatility increment: Evidence from stock and cryptocurrency markets. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2504.18960.

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2025Foundation Time-Series AI Model for Realized Volatility Forecasting. (2025). Magris, Martin ; Pasricha, Puneet ; Goel, Anubha ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:2505.11163.

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2025Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation. (2025). Fabozzi, Frank J ; Rachev, Svetlozar T ; Jha, Ayush ; Shirvani, Abootaleb ; Jaffri, Ali. In: Papers. RePEc:arx:papers:2505.12198.

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2025Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?. (2025). Pollok, Austin. In: Papers. RePEc:arx:papers:2506.07928.

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2025Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets. (2025). Rola, Przemyslaw. In: Papers. RePEc:arx:papers:2507.09734.

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2025Data Synchronization at High Frequencies. (2025). Kong, Xinbing ; Liu, Cheng ; Wu, Bin. In: Papers. RePEc:arx:papers:2507.12220.

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2025A Predictive Framework Integrating Multi-Scale Volatility Components and Time-Varying Quantile Spillovers: Evidence from the Cryptocurrency Market. (2025). Fu, Sicheng ; Zhu, Fangfang ; Liu, Xiangdong. In: Papers. RePEc:arx:papers:2507.22409.

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2025Returns and Order Flow Imbalances: Intraday Dynamics and Macroeconomic News Effects. (2025). Takahashi, Makoto. In: Papers. RePEc:arx:papers:2508.06788.

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2025Mitigating Distribution Shift in Stock Price Data via Return-Volatility Normalization for Accurate Prediction. (2025). Lee, Hyunwoo ; Jeon, Jihyeong ; Kang, U ; Hong, Jaemin. In: Papers. RePEc:arx:papers:2508.20108.

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2025Joint calibration of the volatility surface and variance term structure. (2025). Yoo, Jiwook. In: Papers. RePEc:arx:papers:2509.08096.

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2025Roughness Analysis of Realized Volatility and VIX through Randomized Kolmogorov-Smirnov Distribution. (2025). Bianchi, Sergio ; Angelini, Daniele. In: Papers. RePEc:arx:papers:2509.20015.

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2025Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics. (2025). Casto, Gabriele. In: Papers. RePEc:arx:papers:2509.23533.

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2025Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging. (2025). Bracha, Zofia ; Sakowski, Pawel ; Micha, Jakub. In: Papers. RePEc:arx:papers:2510.09247.

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2025Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation. (2025). Simsek, Yasin. In: Papers. RePEc:arx:papers:2510.12911.

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2025Topology of Currencies: Persistent Homology for FX Co-movements: A Comparative Clustering Study. (2025). Diamantis, Ioannis ; de Favereau, Pattravadee. In: Papers. RePEc:arx:papers:2510.19306.

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2025Fusing Narrative Semantics for Financial Volatility Forecasting. (2025). Zohren, Stefan ; Vryonides, Chris ; Kaiser, Marcus ; Hwang, Yoontae ; Kong, Yaxuan ; Oomen, Roel. In: Papers. RePEc:arx:papers:2510.20699.

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2025On the estimation of leverage effect and volatility of volatility in the presence of jumps. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.00944.

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2025Multifractality and sample size influence on Bitcoin volatility patterns. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2511.03314.

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2025FCOC: A Fractal-Chaotic Co-driven Framework for Financial Volatility Forecasting. (2025). Zeng, Yilong ; Tang, Boyan ; Lee, Raymond ; Wu, Jianghua ; Zhou, Sherry Zhefang ; Ren, Xuanhao. In: Papers. RePEc:arx:papers:2511.10365.

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2025Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing. (2025). Rachev, Svetlozar T ; Deep, Akash ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:2511.16563.

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2025Portfolio Optimization via Transfer Learning. (2025). Wang, Kexin ; Zhang, Xiaomeng. In: Papers. RePEc:arx:papers:2511.21221.

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2025Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546.

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2024U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields. (2024). Sekkel, Rodrigo ; Feunou, Bruno ; Nongni-Donfack, Morvan ; Xing, Bingxin Ann. In: Staff Working Papers. RePEc:bca:bocawp:24-12.

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2025Demand-Driven Risk Premia in Foreign Exchange and Bond Markets. (2025). Yang, Jun ; Uthemann, Andreas ; Vala, Rishi ; Krohn, Ingomar. In: Staff Working Papers. RePEc:bca:bocawp:25-29.

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2024Exchange Rate Volatility and International Trade in Turkey. (2024). Hidayah, Nurul. In: International Journal of Finance and Accounting. RePEc:bdu:ojijfa:v:9:y:2024:i:1:p:46-56:id:2450.

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2024Should Central Banks Care About Text Mining? A Literature Review. (2024). Meunier, Baptiste ; bricongne, jean-charles ; Caldeira, Raquel. In: Working papers. RePEc:bfr:banfra:950.

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2024Application of Copula Methods in Financial Risk Management: Case of the Zimbabwe Stock Exchange and the Victoria Falls Stock Exchange.. (2024). Basvi, Brian. In: International Journal of Research and Scientific Innovation. RePEc:bjc:journl:v:11:y:2024:i:5:p:674-695.

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2024Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128.

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2024COVID‐19, Mobility Restriction Policies and Stock Market Volatility: A Cross‐Country Empirical Study. (2024). Vespignani, Joaquin ; Ahadzie, Richard Mawulawoe ; Kangogo, Moses ; Khan, Faisal ; Daugaard, Dan. In: Economic Papers. RePEc:bla:econpa:v:43:y:2024:i:2:p:184-203.

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2024Exploring the impact of oil security attention on oil volatility: A new perspective. (2024). Li, Shan ; Wang, LU ; Liang, Chao. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80.

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2024High‐Frequency‐Based Volatility Model with Network Structure. (2024). Yuan, Huiling ; Wang, Junhui ; Li, Guodong ; Lu, Kexin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:533-557.

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2024Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS. (2024). Gallo, Giampiero ; Otranto, Edoardo ; Domianello, Luca Scaffidi. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:1:p:21-43.

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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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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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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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2010Jump-robust volatility estimation using nearest neighbor truncation.(2010) In: Staff Reports.
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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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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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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: 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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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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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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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: 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: 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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2007Editors Report 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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2023Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor In: Journal of Time Series Analysis.
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1998Towards a unified framework for high and low frequency return volatility modeling In: Statistica Neerlandica.
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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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2013A robust neighborhood truncation approach to estimation of integrated quarticity.(2013) In: International Finance Discussion Papers.
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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 In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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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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2017Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series.
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