Department of Economics and Business Economics

Torben Gustav Andersen

  1. 2019
  2. Published

    Inference for option panels in pure-jump settings. / Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.

    In: Econometric Theory, Vol. 35, No. 5, 10.2019, p. 901-942.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. Published

    Unified inference for nonlinear factor models from panels with fixed and large time span. / Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.

    In: Journal of Econometrics, Vol. 212, No. 1, 09.2019, p. 4-25.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  4. Published

    Time-Varying Periodicity in Intraday Volatility. / Andersen, Torben Gustav; Thyrsgaard, Martin; Todorov, Viktor.

    In: Journal of the American Statistical Association, Vol. 114, No. 528, 2019, p. 1695-1707.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  5. 2017
  6. Published

    Short-Term Market Risks Implied by Weekly Options. / Andersen, Torben Gustav; Fusari, Nicola ; Todorov, Viktor.

    In: Journal of Finance, Vol. 72, No. 3, 2017, p. 1335-1385.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. 2015
  8. Published

    The fine structure of equity-index option dynamics. / Andersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; Tauchen, George.

    In: Journal of Econometrics, Vol. 187, No. 2, 01.08.2015, p. 532-546.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  9. Published

    Exploring Return Dynamics via Corridor Implied Volatility. / Andersen, Torben Gustav; Bondarenko, Oleg; Gonzalez-Perez, Maria T.

    In: Review of Financial Studies, Vol. 28, No. 10, 2015, p. 2902-2945.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  10. Published

    Parametric Inference and Dynamic State Recovery From Option Panels. / Andersen, Torben Gustav; Fusari, Nicola ; Todorov, Victor.

    In: Econometrica, Vol. 83, No. 3, 2015, p. 1081–1145.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. 2014
  12. Published

    A robust neighborhood truncation approach to estimation of integrated quarticity. / Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst.

    In: Econometric Theory, Vol. 30, No. 1, 01.01.2014, p. 3-59.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  13. Published

    Reflecting on the VPIN dispute. / Andersen, Torben G.; Bondarenko, Oleg.

    In: Journal of Financial Markets, Vol. 17, No. 1, 01.01.2014, p. 53-64.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  14. Published

    VPIN and the flash crash. / Andersen, Torben G.; Bondarenko, Oleg.

    In: Journal of Financial Markets, Vol. 17, No. 1, 01.01.2014, p. 1-46.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  15. 2012
  16. Published

    Jump-robust volatility estimation using nearest neighbor truncation. / Andersen, T.G.; Dobrev, Dobrislav; Schaumburg, Ernst.

    In: Journal of Econometrics, Vol. 169, No. 1, 01.07.2012, p. 75-93.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review