Department of Economics and Business Economics

Torben Gustav Andersen

  1. 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

  2. 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 paperResearch

  3. 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

  4. 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 paperResearch

  5. 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 paperResearch

  6. 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 paperResearch

  7. 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

  8. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paperResearch

  9. 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

  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 paperResearch