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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, T. G.; Andersen, Torben; Andersen, Torben G.
Documents Indexed: 27 Publications since 1994, including 1 Book

Publications by Year

Citations contained in zbMATH

25 Publications have been cited 835 times in 588 Documents Cited by Year
Modeling and forecasting realized volatility. Zbl 1142.91712
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
266
2003
The distribution of realized exchange rate volatility. Zbl 1015.62107
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
219
2001
Estimating continuous-time stochastic volatility models of the short-term interest rate. Zbl 0925.62529
Andersen, Torben G.; Lund, Jesper
63
1997
Jump-robust volatility estimation using nearest neighbor truncation. Zbl 1443.62327
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst
45
2012
Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Zbl 1152.91720
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
39
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
29
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.
29
1999
Realized volatility forecasting and market microstructure noise. Zbl 1441.62585
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
28
2011
Stochastic autoregressive volatility: A framework for volatility modeling. Zbl 0884.90013
Andersen, Torben G.
22
1994
Realized beta: persistence and predictability. Zbl 1190.91145
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger
18
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
10
2014
Stochastic volatility: origins and overview. Zbl 1178.91233
Shephard, Neil; Andersen, Torben G.
10
2009
The distribution of realized exchange rate volatility. Zbl 1126.91354
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
8
2005
Parametric inference and dynamic state recovery from option panels. Zbl 1419.91602
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor
7
2015
The fine structure of equity-index option dynamics. Zbl 1337.91135
Andersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; Tauchen, George
6
2015
Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004
Andersen, Torben G. (ed.); Davis, Richard A. (ed.); Kreiß, Jens-Peter (ed.); Mikosch, Thhomas (ed.)
6
2009
Realized volatility. Zbl 1178.91216
Andersen, Torben G.; Benzoni, Luca
5
2009
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.
2
1998
Time-varying periodicity in intraday volatility. Zbl 1428.62463
Andersen, Torben G.; Thyrsgaard, Martin; Todorov, Viktor
1
2019
Inference for option panels in pure-jump settings. Zbl 1432.62356
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
1
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.
1
2019
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
Time-varying periodicity in intraday volatility. Zbl 1428.62463
Andersen, Torben G.; Thyrsgaard, Martin; Todorov, Viktor
1
2019
Inference for option panels in pure-jump settings. Zbl 1432.62356
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
1
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.
1
2019
Parametric inference and dynamic state recovery from option panels. Zbl 1419.91602
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor
7
2015
The fine structure of equity-index option dynamics. Zbl 1337.91135
Andersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; Tauchen, George
6
2015
A robust neighborhood truncation approach to estimation of integrated quarticity. Zbl 1290.91186
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst
10
2014
Jump-robust volatility estimation using nearest neighbor truncation. Zbl 1443.62327
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst
45
2012
Realized volatility forecasting and market microstructure noise. Zbl 1441.62585
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
28
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
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
Andersen, Torben G. (ed.); Davis, Richard A. (ed.); Kreiß, Jens-Peter (ed.); Mikosch, Thhomas (ed.)
6
2009
Realized volatility. Zbl 1178.91216
Andersen, Torben G.; Benzoni, Luca
5
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
29
2007
Realized beta: persistence and predictability. Zbl 1190.91145
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger
18
2006
Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Zbl 1152.91720
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
39
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
266
2003
The distribution of realized exchange rate volatility. Zbl 1015.62107
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
219
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.
29
1999
Towards a unified framework for high and low frequency return volatility modeling. Zbl 0951.91018
Andersen, T. G.; Bollerslev, T.
2
1998
Estimating continuous-time stochastic volatility models of the short-term interest rate. Zbl 0925.62529
Andersen, Torben G.; Lund, Jesper
63
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.
22
1994
all top 5

Cited by 895 Authors

16 Todorov, Viktor
15 Bollerslev, Tim
15 Mykland, Per Aslak
13 Shephard, Neil
13 Tauchen, George E.
11 Meddahi, Nour
10 Andersen, Torben G.
10 Barndorff-Nielsen, Ole Eiler
10 Podolskij, Mark
9 McAleer, Michael
8 Renò, Roberto
7 Corsi, Fulvio
7 Jacod, Jean
7 Lunde, Asger
7 Mancino, Maria Elvira
6 Aït-Sahalia, Yacine
6 Hansen, Peter Reinhard
6 Hounyo, Ulrich
6 Liu, Zhi
6 Patton, Andrew J.
6 Renault, Eric
6 Yu, Jun
6 Zhang, Lan
5 Christensen, Kim
5 Gallant, A. Ronald
5 Kim, Donggyu
5 Linton, Oliver Bruce
5 Medeiros, Marcelo C.
5 Nielsen, Morten Ørregaard
5 Oomen, Roel C. A.
5 Shin, Dongwan
5 Varneskov, Rasmus T.
5 Wang, Yazhen
4 Asai, Manabu
4 Bandi, Federico M.
4 Christensen, Bent Jesper
4 Gencay, Ramazan
4 Ghysels, Eric
4 Golosnoy, Vasyl
4 Gonçalves, Sílvia
4 Jing, Bingyi
4 Kong, Xinbing
4 Laurent, Sébastien-Yves
4 Li, Cuixia
4 Lillo, Fabrizio
4 Mao, Xuerong
4 Martin, Gael M.
4 Xiu, Dacheng
4 Zhou, Hao
3 Baillie, Richard T.
3 Bali, Turan G.
3 Barunik, Jozef
3 Bi, Tao
3 Bormetti, Giacomo
3 Boudt, Kris
3 Christodoulakis, George A.
3 Deo, Rohit S.
3 Diebold, Francis X.
3 Dobrev, Dobrislav
3 Figueroa-López, José E.
3 Garcia, René
3 Griffin, Jim E.
3 Hafner, Christian Matthias
3 Hayashi, Takaki
3 Hurvich, Clifford M.
3 Li, Jia
3 Li, Yingying
3 Maheu, John M.
3 Marmi, Stefano
3 Morana, Claudio
3 Morimoto, Takayuki
3 Nugroho, Didit Budi
3 Potiron, Yoann
3 Quaedvlieg, Rogier
3 Rombouts, Jeroen V. K.
3 Rosenbaum, Mathieu
3 Russell, Jeffrey R.
3 Vetter, Mathias
3 Werker, Bas J. M.
3 Yoshida, Nakahiro
3 Zhang, Bo
3 Zhou, Yong
2 Andreou, Elena
2 Badescu, Alexandru M.
2 Barigozzi, Matteo
2 Bauer, Christian W.
2 Boswijk, H. Peter
2 Brockwell, Peter J.
2 Calcagnile, Lucio Maria
2 Calvet, Laurent-Emmanuel
2 Capobianco, Enrico
2 Casas, Isabel
2 Chang, Chialin
2 Chen, Bei
2 Chen, Bin
2 Chen, Kan
2 Chib, Siddhartha
2 Clinet, Simon
2 Cont, Rama
2 Corradi, Valentina
...and 795 more Authors
all top 5

Cited in 103 Serials

180 Journal of Econometrics
56 Quantitative Finance
36 Computational Statistics and Data Analysis
19 Econometric Theory
16 Econometric Reviews
14 Journal of Economic Dynamics & Control
13 Stochastic Processes and their Applications
12 Economics Letters
10 The Annals of Statistics
8 The Econometrics Journal
7 Physica A
7 Journal of Statistical Planning and Inference
7 Communications in Statistics. Simulation and Computation
7 European Journal of Operational Research
6 Mathematics and Computers in Simulation
6 Journal of Statistical Computation and Simulation
6 Journal of Applied Statistics
6 Asia-Pacific Financial Markets
5 Scandinavian Journal of Statistics
5 Insurance Mathematics & Economics
5 Annals of Operations Research
5 Bernoulli
5 International Journal of Theoretical and Applied Finance
5 Decisions in Economics and Finance
4 Annals of the Institute of Statistical Mathematics
4 Journal of Time Series Analysis
4 Communications in Statistics. Theory and Methods
4 Applied Mathematical Finance
4 Journal of Forecasting
4 Journal of the Korean Statistical Society
4 AStA. Advances in Statistical Analysis
3 Journal of the American Statistical Association
3 Journal of Computational and Applied Mathematics
3 Statistica Neerlandica
3 The Annals of Applied Probability
3 Statistical Papers
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
3 Statistical Methods and Applications
3 Electronic Journal of Statistics
2 Lithuanian Mathematical Journal
2 Computational Statistics
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 Abstract and Applied Analysis
2 Australian & New Zealand Journal of Statistics
2 Extremes
2 Review of Derivatives Research
2 The Annals of Applied Statistics
2 Annals of Finance
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 Automatica
1 Fuzzy Sets and Systems
1 Information Sciences
1 International Economic Review
1 International Statistical Review
1 Journal of Applied Probability
1 Journal of Economic Theory
1 Journal of Multivariate Analysis
1 Journal of Optimization Theory and Applications
1 SIAM Journal on Control and Optimization
1 Statistics & Probability Letters
1 Applied Numerical Mathematics
1 Acta Mathematicae Applicatae Sinica. English Series
1 Statistical Science
1 Journal of Theoretical Probability
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 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 Journal of Statistical Mechanics: Theory and Experiment
1 Statistical Methodology
1 The European Physical Journal B. Condensed Matter and Complex Systems
1 Advances in Data Analysis and Classification. ADAC
1 Journal of Statistical Theory and Practice
1 Statistics Surveys
1 Advances in Decision Sciences
1 Sankhyā. Series A
1 Statistics and Computing
...and 3 more Serials

Citations by Year