Torben Gustav Andersen

20 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0009-0004-0397-000X

Kellogg School of Management, Northwestern University, NBER, and CREATES, Evanston, USA

Publications

• Intraday Periodic Volatility Curves — Journal of the American Statistical Association 2024
• Time-Varying Periodicity in Intraday Volatility — Journal of the American Statistical Association 2019
• Short-Term Market Risks Implied by Weekly Options — The Journal of Finance 2017
• Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence — Review of Finance 2015
• The risk premia embedded in index options — Journal of Financial Economics 2015
• Parametric Inference and Dynamic State Recovery From Option Panels — Econometrica 2015
• Exploring Return Dynamics via Corridor Implied Volatility — The Review of Financial Studies 2015
• Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models — The Journal of Finance 2010
• A Framework for Exploring the Macroeconomic Determinants of Systematic Risk — American Economic Review 2005
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities — Econometrica 2005
• Modeling and Forecasting Realized Volatility — Econometrica 2003
• Corrections — Journal of the American Statistical Association 2003
• Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange — American Economic Review 2003 (name-matched, not ORCID-linked)
• An Empirical Investigation of Continuous-Time Equity Return Models — The Journal of Finance 2002
• Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns — The Journal of Finance 2001
• The distribution of realized stock return volatility — Journal of Financial Economics 2001
• The Distribution of Realized Exchange Rate Volatility — Journal of the American Statistical Association 2001
• Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies — The Journal of Finance 1998
• Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns — The Journal of Finance 1997
• Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility — The Journal of Finance 1996