Department of Economics and Business Economics

Torben Gustav Andersen

  1. Journal article
  2. 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

  3. 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

  4. 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 newspaperJournal articleResearchpeer-review

  5. 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

  6. 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

  7. 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

  8. 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

  9. 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

  10. 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 newspaperJournal articleResearchpeer-review

  11. 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 newspaperJournal articleResearchpeer-review

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