Department of Economics and Business Economics

Torben Gustav Andersen

  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 newspaperJournal articleResearchpeer-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 paperResearch

  5. 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

  6. 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

  7. 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

  8. 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

  9. 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

  10. 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

  11. 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

  12. 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

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