Department of Economics and Business Economics

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Torben Gustav Andersen

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  1. 2019
  2. 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 newspaper › Journal article › Research › peer-review

  3. 2018
  4. Published

    Consistent Inference for Predictive Regressions in Persistent VAR Economies. / Andersen, Torben Gustav; Varneskov, Rasmus T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paper › Research

  5. Published

    Option Panels in Pure-Jump Settings. / Andersen, Torben Gustav; Fusari, Nicola ; Todorov, Viktor; Varneskov, Rasmus T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paper › Research

  6. Published

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

    Aarhus : Institut for Økonomi, Århus Universitet, 2018.

    Research output: Working paper › Research

  7. Published

    The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. / Andersen, Torben Gustav; Fusari, Nicola; Todorov, Viktor.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paper › Research

  8. Published

    The Risk Premia Embedded in Index Options. / Andersen, Torben Gustav; Fusari, Nicola; Todorov, Viktor.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paper › Research

  9. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paper › Research

  10. Published

    Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span. / Andersen, Torben Gustav; Fusari, Nicola ; Todorov, Viktor; Varneskov, Rasmus T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paper › Research

  11. Published

    Introduction. / Andersen, Torben Gustav (Editor); Bollerslev, Tim (Editor).

    Volatility. ed. / Torben G. Andersen; Tim Bollerslev. Vol. I-II Edward Elgar Publishing, 2018. p. xiii - xliv.

    Research output: Contribution to book/anthology/report/proceeding › Book chapter › Research › peer-review

  12. Published

    Volatility. / Andersen, Torben Gustav (Editor); Bollerslev, Tim (Editor).

    Edward Elgar Publishing, 2018. 1760 p.

    Research output: Book/anthology/dissertation/report › Book › Research › peer-review

  13. E-pub ahead of print

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

    In: Econometric Theory, 2018.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  14. E-pub ahead of print

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

    In: Journal of the American Statistical Association, 2018.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  15. Accepted/In press

    Unified Inference For Nonlinear Factor Models From Panels With Fixed And Large Time Span. / Andersen, Torben Gustav; Fusari, Nicola ; Todorov, Victor; Varneskov, Rasmus T.

    In: Journal of Econometrics, 2018.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  16. 2017
  17. 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 newspaper › Journal article › Research › peer-review

  18. 2015
  19. 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 newspaper › Journal article › Research › peer-review

  20. 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 newspaper › Journal article › Research › peer-review

  21. 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 newspaper › Journal article › Research › peer-review

  22. 2014
  23. Published

    The Risk Premia Embedded in Index Options. / Andersen, Torben Gustav; Fusari, Nicola ; Todorov, Viktor.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper › Research

  24. 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 newspaper › Journal article › Research › peer-review

  25. 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 newspaper › Journal article › Research › peer-review

  26. 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 newspaper › Journal article › Research › peer-review

  27. 2013
  28. 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 paper › Research

  29. 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/proceeding › Book chapter › Research › peer-review

  30. 2012
  31. 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 newspaper › Journal article › Research › peer-review