Torben G. Andersen
North Western University
H-index: 61
Asia-Bangladesh
Top articles of Torben G. Andersen
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor | Journal of Time Series Analysis | Torben Andersen Kim Christensen Ingmar Nolte | 2023 |
Real-Time Detection of Local No-Arbitrage Violations | arXiv preprint arXiv:2307.10872 | Torben G Andersen Viktor Todorov Bo Zhou | 2023/7/20 |
Predictive modeling of financial data | Journal of Econometrics | Torben G Andersen Robert Taylor Allan Timmermann Dacheng Xiu | 2023/12 |
Volatility measurement with pockets of extreme return persistence | Journal of Econometrics | Torben G Andersen Yingying Li Viktor Todorov Bo Zhou | 2023/12/1 |
Intraday periodic volatility curves | Journal of the American Statistical Association | Torben G Andersen Tao Su Viktor Todorov Zhiyuan Zhang | 2023/3/14 |
Intraday cross-sectional distributions of systematic risk | Journal of Econometrics | Torben G Andersen Raul Riva Martin Thyrsgaard Viktor Todorov | 2023/8/1 |
Corrigendum to “Local mispricing and microstructural noise: A parametric perspective”[J. Econometrics 230 (2022) 510–534,(S0304407621001780),(10.1016/j. jeconom. 2021.06. 006)] | Journal of Econometrics | Torben G Andersen Ilya Archakov Gökhan Cebiroglu Nikolaus Hautsch | 2023/2 |
Testing for Stationarity of Volatility Curves | Available at SSRN 4516345 | Torben G Andersen Yingwen Tan Viktor Todorov Zhiyuan Zhang | 2023/7/20 |
Overview: Time series analysis of higher moments and distributions of financial data | Torben G Andersen Chia Lin Chang Shiqing Ling | 2022/3 | |
Consistent Local Spectrum Inference for Predictive Return Regressions | Econometric Theory | Torben G Andersen Rasmus T Varneskov | 2022/12 |
Testing for parameter instability and structural change in persistent predictive regressions | Journal of Econometrics | Torben G Andersen Rasmus T Varneskov | 2022/12/1 |
Local mispricing and microstructural noise: A parametric perspective | Journal of Econometrics | Torben G Andersen Ilya Archakov Gökhan Cebiroglu Nikolaus Hautsch | 2022/10/1 |
Spatial dependence in option observation errors | Econometric Theory | Torben G Andersen Nicola Fusari Viktor Todorov Rasmus T Varneskov | 2021/4 |
Consistent inference for predictive regressions in persistent economic systems | Journal of Econometrics | Torben G Andersen Rasmus T Varneskov | 2021/9/1 |
A descriptive study of high-frequency trade and quote option data | Journal of Financial Econometrics | Torben G Andersen Ilya Archakov Leon Eric Grund Nikolaus Hautsch Yifan Li | 2021/1/6 |
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk | Quantitative Economics | Torben G Andersen Martin Thyrsgaard Viktor Todorov | 2021/5 |
Supplement to ‘Recalcitrant betas: Intraday variation in the cross-sectional dispersion of systematic risk’ | Quantitative Economics Supplemental Material | Torben G Andersen Martin Thyrsgaard Viktor Todorov A Assumption | 2021 |
Tail risk and return predictability for the Japanese equity market | Journal of Econometrics | Torben G Andersen Viktor Todorov Masato Ubukata | 2021/5/1 |
The pricing of tail risk and the equity premium: Evidence from international option markets | Journal of Business & Economic Statistics | Torben G Andersen Nicola Fusari Viktor Todorov | 2020/7/2 |
Online Appendix for Recalcitrant Betas: Intraday Variation in the Cross-Sectional Dispersion of Systematic Risk | Torben G Andersen Martin Thyrsgaard Viktor Todorov | 2020/12/9 |
