Department of Economics and Business Economics

Torben Gustav Andersen

  1. 2014
  2. 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

  3. 2013
  4. Published

    The Fine Structure of Equity-Index Option Dynamics. / Andersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; Tauchen, George.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paperResearch

  5. Published

    Financial Risk Measurement for Financial Risk Management. / Andersen, Torben Gustav; Bollerslev, Tim; Christoffersen, Peter; Diebold, Francis X.

    Handbook of the Economics of Finance. ed. / George M. Constantinides; Milton Harris; Rene M. Stulz. Vol. 2, Part B Elsevier, 2013. p. 127–1220.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  6. 2012
  7. 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

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