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Bollerslev, Tim Diebold, Francis X. Todorov, Viktor Fusari, Nicola Christoffersen, Peter F. Bondarenko, Oleg Dobrev, Dobrislav Benzoni, Luca Vega, Clara Varneskov, Rasmus Tangsgaard Schaumburg, Ernst Labys, Paul Thyrsgaard, Martin Wu, Jin Lund, Jesper Shephard, Neil G. Sørensen, Bent E. All co-authors volatility volatilität returns realized return frequency financial jump forecasting variation exchange models modeling model markets continuous kapitaleinkommen data
Composed capital income forecasting model time series analysis modeling forecasting return volatility continuous time foreign exchange financial market estimation theory real time stock bond arch model arch modell share price stochastischer prozess stochastic process variation measures exchange markets announcement effect cross sectional exchange rate jump robust frequency returns price discovery frequency data option trading us dollar predictive regressions jump components time price bond foreign macroeconomic news nichtparametrisches verfahren nonparametric statistics impact assessment market microstructure model free volatility measurement time varying volatility risk realized volatilities portfolio management risk premium option pricing theory portfolio selection volatility correlation fractionally integrated
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The information on the author is retrieved from: Entity Facts (by DNB = German National Library data service), DBPedia and Wikidata
Torben Andersen Alternative spellings: Torben G. Andersen Torben Gustav Andersen Torben G. Anderson T. G. Andersen Source:
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Profession Economist
Affiliations National Bureau of Economic Research Kellogg School of Management Yale University Aarhus Universitet. Center for Research in Econometric Analysis of Time Series
Q28873721
Publishing years Series NBER Working Paper (24) Working paper / National Bureau of Economic Research, Inc. (22) CREATES research paper (19) CFS working paper series (8) Working papers / Financial Institutions Center (7) CREATES Research Paper (6) NBER working paper series (4) Financial Institutions Center (3) Working papers / Federal Reserve Bank of Chicago (3) Global COE Hi-Stat discussion paper series (2) Working papers / Rodney L. White Center for Financial Research (2) Special section on small-sample properties of generalized method of moments (GMM) (1) Discussion papers / Institute of Economics, University of Copenhagen (1) Symposium on forecasting and empirical methods in macroeconomics and finance (1) Weiss Center working papers (1) FRB International Finance Discussion Paper (1) Queen's Economics Department working paper (1) Cahier / Départment de Sciences Économiques, Université de Montréal (1) Technical working paper / National Bureau of Economic Research (1) Working papers / Penn Institute for Economic Research (1) FRB of Chicago Working Paper (1) International finance discussion papers (1) NYU Working Paper (1) AFA 2007 Chicago Meetings Paper (1) Economics discussion papers (1) Department of Economics discussion paper series / University of Oxford (1) Staff reports / Federal Reserve Bank of New York (1) FRB of New York Staff Report (1) PIER Working Paper (1) Elgaronline (1) CEFIR and NES working papers (1) Journal of econometrics (1) NES working paper series : working paper (1) Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University (1) 
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