Department of Economics and Business Economics

Torben Gustav Andersen

  1. Journal article
  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 newspaperJournal articleResearchpeer-review

  3. 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

  4. Book
  5. Published

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

    Edward Elgar Publishing, 2018. 1760 p.

    Research output: Book/anthology/dissertation/reportBookResearchpeer-review

  6. Book chapter
  7. 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

  8. 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/proceedingBook chapterResearchpeer-review

  9. Working paper
  10. 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 paperResearch

  11. 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 paperResearch

  12. 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

  13. 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

  14. 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