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Andersen, Torben G.

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Author ID: andersen.torben-g Recent zbMATH articles by "Andersen, Torben G."
Published as: Andersen, Torben G.; Andersen, Torben; Andersen, T. G.

Publications by Year

Citations contained in zbMATH Open

26 Publications have been cited 948 times in 680 Documents Cited by Year
Modeling and forecasting realized volatility. Zbl 1142.91712
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
299
2003
The distribution of realized exchange rate volatility. Zbl 1015.62107
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
248
2001
Estimating continuous-time stochastic volatility models of the short-term interest rate. Zbl 0925.62529
Andersen, Torben G.; Lund, Jesper
67
1997
Jump-robust volatility estimation using nearest neighbor truncation. Zbl 1443.62327
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst
53
2012
Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Zbl 1152.91720
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
40
2005
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications. Zbl 1418.62371
Andersen, Torben G.; Bollerslev, Tim; Dobrev, Dobrislav
33
2007
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study. Zbl 0937.62105
Andersen, Torben G.; Chung, Hyung-Jin; Sørensen, Bent E.
30
1999
Realized volatility forecasting and market microstructure noise. Zbl 1441.62585
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
30
2011
Stochastic autoregressive volatility: A framework for volatility modeling. Zbl 0884.90013
Andersen, Torben G.
24
1994
Realized beta: persistence and predictability. Zbl 1190.91145
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger
19
2006
A reduced form framework for modeling volatility of speculative prices based on realized variation measures. Zbl 1441.62584
Andersen, Torben G.; Bollerslev, Tim; Huang, Xin
14
2011
A robust neighborhood truncation approach to estimation of integrated quarticity. Zbl 1290.91186
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst
12
2014
Parametric inference and dynamic state recovery from option panels. Zbl 1419.91602
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor
11
2015
Realized volatility. Zbl 1178.91216
Andersen, Torben G.; Benzoni, Luca
11
2009
Stochastic volatility: origins and overview. Zbl 1178.91233
Shephard, Neil; Andersen, Torben G.
10
2009
Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004
10
2009
The distribution of realized exchange rate volatility. Zbl 1126.91354
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
8
2005
The fine structure of equity-index option dynamics. Zbl 1337.91135
Andersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; Tauchen, George
8
2015
Time-varying periodicity in intraday volatility. Zbl 1428.62463
Andersen, Torben G.; Thyrsgaard, Martin; Todorov, Viktor
5
2019
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994). Zbl 0900.62632
Andersen, Torben G.; Sørensen, Bent E.
4
1997
Towards a unified framework for high and low frequency return volatility modeling. Zbl 0951.91018
Andersen, T. G.; Bollerslev, T.
3
1998
Inference for option panels in pure-jump settings. Zbl 1432.62356
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
3
2019
Tail risk and return predictability for the Japanese equity market. Zbl 1471.62490
Andersen, Torben G.; Todorov, Viktor; Ubukata, Masato
2
2021
Unified inference for nonlinear factor models from panels with fixed and large time span. Zbl 1452.62874
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
2
2019
ARCH and GARCH models. Zbl 1208.91159
Andersen, Torben; Bollerslev, Tim
1
2010
Distributed force control of deformable mirrors. Zbl 1264.93106
MacMynowski, Douglas G.; Heimsten, Rikard; Andersen, Torben
1
2011
Tail risk and return predictability for the Japanese equity market. Zbl 1471.62490
Andersen, Torben G.; Todorov, Viktor; Ubukata, Masato
2
2021
Time-varying periodicity in intraday volatility. Zbl 1428.62463
Andersen, Torben G.; Thyrsgaard, Martin; Todorov, Viktor
5
2019
Inference for option panels in pure-jump settings. Zbl 1432.62356
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
3
2019
Unified inference for nonlinear factor models from panels with fixed and large time span. Zbl 1452.62874
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
2
2019
Parametric inference and dynamic state recovery from option panels. Zbl 1419.91602
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor
11
2015
The fine structure of equity-index option dynamics. Zbl 1337.91135
Andersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; Tauchen, George
8
2015
A robust neighborhood truncation approach to estimation of integrated quarticity. Zbl 1290.91186
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst
12
2014
Jump-robust volatility estimation using nearest neighbor truncation. Zbl 1443.62327
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst
53
2012
Realized volatility forecasting and market microstructure noise. Zbl 1441.62585
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
30
2011
A reduced form framework for modeling volatility of speculative prices based on realized variation measures. Zbl 1441.62584
Andersen, Torben G.; Bollerslev, Tim; Huang, Xin
14
2011
Distributed force control of deformable mirrors. Zbl 1264.93106
MacMynowski, Douglas G.; Heimsten, Rikard; Andersen, Torben
1
2011
ARCH and GARCH models. Zbl 1208.91159
Andersen, Torben; Bollerslev, Tim
1
2010
Realized volatility. Zbl 1178.91216
Andersen, Torben G.; Benzoni, Luca
11
2009
Stochastic volatility: origins and overview. Zbl 1178.91233
Shephard, Neil; Andersen, Torben G.
10
2009
Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004
10
2009
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications. Zbl 1418.62371
Andersen, Torben G.; Bollerslev, Tim; Dobrev, Dobrislav
33
2007
Realized beta: persistence and predictability. Zbl 1190.91145
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger
19
2006
Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Zbl 1152.91720
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
40
2005
The distribution of realized exchange rate volatility. Zbl 1126.91354
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
8
2005
Modeling and forecasting realized volatility. Zbl 1142.91712
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
299
2003
The distribution of realized exchange rate volatility. Zbl 1015.62107
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
248
2001
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study. Zbl 0937.62105
Andersen, Torben G.; Chung, Hyung-Jin; Sørensen, Bent E.
30
1999
Towards a unified framework for high and low frequency return volatility modeling. Zbl 0951.91018
Andersen, T. G.; Bollerslev, T.
3
1998
Estimating continuous-time stochastic volatility models of the short-term interest rate. Zbl 0925.62529
Andersen, Torben G.; Lund, Jesper
67
1997
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994). Zbl 0900.62632
Andersen, Torben G.; Sørensen, Bent E.
4
1997
Stochastic autoregressive volatility: A framework for volatility modeling. Zbl 0884.90013
Andersen, Torben G.
24
1994
all top 5

Cited by 1,003 Authors

19 Todorov, Viktor
16 Bollerslev, Tim
15 Mykland, Per Aslak
14 Tauchen, George E.
13 Shephard, Neil
12 Andersen, Torben G.
11 Meddahi, Nour
10 Barndorff-Nielsen, Ole Eiler
10 McAleer, Michael
10 Podolskij, Mark
9 Li, Jia
9 Renò, Roberto
8 Jacod, Jean
8 Mancino, Maria Elvira
7 Asai, Manabu
7 Liu, Zhi
7 Lunde, Asger
7 Varneskov, Rasmus T.
6 Aït-Sahalia, Yacine
6 Christensen, Kim
6 Hansen, Peter Reinhard
6 Hounyo, Ulrich
6 Oomen, Roel C. A.
6 Patton, Andrew J.
6 Renault, Eric
6 Zhang, Lan
5 Corsi, Fulvio
5 Gallant, A. Ronald
5 Kim, Donggyu
5 Kong, Xinbing
5 Laurent, Sébastien-Yves
5 Linton, Oliver Bruce
5 Martin, Gael M.
5 Nielsen, Morten Ørregaard
5 Potiron, Yoann
5 Shin, Dongwan
5 Wang, Yazhen
4 Bandi, Federico M.
4 Christensen, Bent Jesper
4 Clinet, Simon
4 Gencay, Ramazan
4 Ghysels, Eric
4 Gonçalves, Sílvia
4 Hayashi, Takaki
4 Jing, Bingyi
4 Li, Cuixia
4 Li, Jiangcheng
4 Lillo, Fabrizio
4 Mao, Xuerong
4 Medeiros, Marcelo C.
4 Park, Joon Y.
4 Rombouts, Jeroen V. K.
4 Xiu, Dacheng
4 Zhou, Hao
3 Bae, Hyeong-Ohk
3 Baillie, Richard T.
3 Bali, Turan G.
3 Bi, Tao
3 Chang, Chialin
3 Christodoulakis, George A.
3 de Magistris, Paolo Santucci
3 Deo, Rohit S.
3 Diebold, Francis X.
3 Dobrev, Dobrislav
3 Figueroa-López, José E.
3 Fusari, Nicola
3 Gallo, Giampiero M.
3 Garcia, René
3 Gerlach, Richard H.
3 Golosnoy, Vasyl
3 Griffin, Jim E.
3 Hafner, Christian Matthias
3 Hurvich, Clifford M.
3 Koopman, Siem Jan
3 Li, Haifeng
3 Li, Wai Keung
3 Li, Yingying
3 Lyócsa, Štefan
3 Maheu, John M.
3 Morana, Claudio
3 Morimoto, Takayuki
3 Nugroho, Didit Budi
3 Otranto, Edoardo
3 Poskitt, Donald Stephen
3 Quaedvlieg, Rogier
3 Rosenbaum, Mathieu
3 Russell, Jeffrey R.
3 Veraart, Almut E. D.
3 Vetter, Mathias
3 Werker, Bas J. M.
3 Yang, Xiye
3 Yoo, Jane
3 Yoshida, Nakahiro
3 Zhang, Bo
2 Andreou, Elena
2 Audrino, Francesco
2 Badescu, Alexandru M.
2 Baek, Changryong
2 Barigozzi, Matteo
2 Barunik, Jozef
...and 903 more Authors
all top 5

Cited in 116 Serials

189 Journal of Econometrics
63 Quantitative Finance
35 Computational Statistics and Data Analysis
32 Econometric Reviews
24 Econometric Theory
20 Physica A
17 Journal of Economic Dynamics & Control
13 Stochastic Processes and their Applications
12 The Annals of Statistics
12 Economics Letters
9 Communications in Statistics. Simulation and Computation
8 The Econometrics Journal
7 Journal of Statistical Planning and Inference
7 Annals of Operations Research
7 European Journal of Operational Research
7 Journal of Applied Statistics
7 Decisions in Economics and Finance
6 Insurance Mathematics & Economics
6 Communications in Statistics. Theory and Methods
6 Journal of Statistical Computation and Simulation
6 International Journal of Theoretical and Applied Finance
6 Asia-Pacific Financial Markets
6 Journal of the Korean Statistical Society
5 Scandinavian Journal of Statistics
5 Annals of the Institute of Statistical Mathematics
5 Mathematics and Computers in Simulation
5 Statistical Papers
5 Bernoulli
4 Journal of Time Series Analysis
4 Applied Mathematical Finance
4 Statistical Methods and Applications
4 Journal of Forecasting
4 AStA. Advances in Statistical Analysis
4 Electronic Journal of Statistics
3 Journal of the American Statistical Association
3 Journal of Computational and Applied Mathematics
3 Statistica Neerlandica
3 The Annals of Applied Probability
3 Computational Statistics
3 Statistica Sinica
3 Finance and Stochastics
3 Journal of the Royal Statistical Society. Series B. Statistical Methodology
3 Statistical Inference for Stochastic Processes
3 Applied Stochastic Models in Business and Industry
2 Lithuanian Mathematical Journal
2 Chaos, Solitons and Fractals
2 Journal of Applied Probability
2 Journal of Multivariate Analysis
2 Statistics & Probability Letters
2 Journal of Theoretical Probability
2 Open Economies Review
2 Journal of Nonparametric Statistics
2 Mathematical Finance
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Australian & New Zealand Journal of Statistics
2 Extremes
2 Review of Derivatives Research
2 The Annals of Applied Statistics
2 Annals of Finance
2 Journal of Time Series Econometrics
1 Advances in Applied Probability
1 The Canadian Journal of Statistics
1 Computers & Mathematics with Applications
1 International Journal of Systems Science
1 Metrika
1 Rocky Mountain Journal of Mathematics
1 ACM Transactions on Mathematical Software
1 Applied Mathematics and Computation
1 Fuzzy Sets and Systems
1 Information Sciences
1 International Economic Review
1 International Statistical Review
1 Journal of Optimization Theory and Applications
1 SIAM Journal on Control and Optimization
1 Operations Research Letters
1 Revista Colombiana de Estadística
1 Physica D
1 Applied Numerical Mathematics
1 Acta Mathematicae Applicatae Sinica. English Series
1 Statistical Science
1 International Journal of Approximate Reasoning
1 Neural Networks
1 International Journal of Information and Management Sciences
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Computational Economics
1 Applied Mathematics. Series B (English Edition)
1 Theory of Probability and Mathematical Statistics
1 Fractals
1 Complexity
1 Electronic Communications in Probability
1 Abstract and Applied Analysis
1 Soft Computing
1 Discrete Dynamics in Nature and Society
1 CEJOR. Central European Journal of Operations Research
1 Matematicheskoe Modelirovanie
1 Miscelánea Matemática
1 AStA. Allgemeines Statistisches Archiv
1 Computational Management Science
1 Journal of Statistical Mechanics: Theory and Experiment
1 Statistical Methodology
...and 16 more Serials

Citations by Year