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Torben G. Andersen

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Personal Details

First Name: Torben
Middle Name: G.
Last Name: Andersen
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RePEc Short-ID: pan210

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Affiliation

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Works

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Working papers

  1. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2013. "A robust neighborhood truncation approach to estimation of integrated quarticity," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1078, Board of Governors of the Federal Reserve System (U.S.).
  2. Torben G. Andersen & Oleg Bondarenko, 2013. "Reflecting on the VPN Dispute," CREATES Research Papers, School of Economics and Management, University of Aarhus 2013-42, School of Economics and Management, University of Aarhus.
  3. Torben G. Andersen & Oleg Bondarenko, 2013. "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers, School of Economics and Management, University of Aarhus 2013-43, School of Economics and Management, University of Aarhus.
  4. Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen, 2013. "The Fine Structure of Equity-Index Option Dynamics," CREATES Research Papers, School of Economics and Management, University of Aarhus 2013-52, School of Economics and Management, University of Aarhus.
  5. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011. "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," CREATES Research Papers, School of Economics and Management, University of Aarhus 2011-23, School of Economics and Management, University of Aarhus.
  6. Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2011. "Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX," CREATES Research Papers, School of Economics and Management, University of Aarhus 2011-49, School of Economics and Management, University of Aarhus.
  7. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers, School of Economics and Management, University of Aarhus 2011-37, School of Economics and Management, University of Aarhus.
  8. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2011. "Parametric Inference and Dynamic State Recovery from Option Panels," CREATES Research Papers, School of Economics and Management, University of Aarhus 2012-11, School of Economics and Management, University of Aarhus.
  9. Torben G. Andersen & Oleg Bondarenko, 2011. "VPIN and the Flash Crash," CREATES Research Papers, School of Economics and Management, University of Aarhus 2011-50, School of Economics and Management, University of Aarhus.
  10. Torben G. Andersen & Luca Benzoni, 2009. "Stochastic volatility," Working Paper Series, Federal Reserve Bank of Chicago WP-09-04, Federal Reserve Bank of Chicago.
  11. Torben G. Andersen & Viktor Todorov, 2009. "Realized Volatility and Multipower Variation," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-49, School of Economics and Management, University of Aarhus.
  12. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Duration-Based Volatility Estimation," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd08-034, Institute of Economic Research, Hitotsubashi University.
  13. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," NBER Working Papers 15533, National Bureau of Economic Research, Inc.
  14. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," Working Papers, Queen's University, Department of Economics 1173, Queen's University, Department of Economics.
  15. Neil Shephard & Torben G. Andersen, 2008. "Stochastic Volatility: Origins and Overview," OFRC Working Papers Series, Oxford Financial Research Centre 2008fe23, Oxford Financial Research Centre.
  16. Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series, Federal Reserve Bank of Chicago WP-08-14, Federal Reserve Bank of Chicago.
  17. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers, School of Economics and Management, University of Aarhus 2007-20, School of Economics and Management, University of Aarhus.
  18. Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," CREATES Research Papers, School of Economics and Management, University of Aarhus 2007-24, School of Economics and Management, University of Aarhus.
  19. Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers 12962, National Bureau of Economic Research, Inc.
  20. Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers, School of Economics and Management, University of Aarhus 2007-14, School of Economics and Management, University of Aarhus.
  21. Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev, 2007. "No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications," NBER Working Papers 12963, National Bureau of Economic Research, Inc.
  22. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  23. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc.
  24. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
  25. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2005. "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets," NBER Working Papers 11312, National Bureau of Economic Research, Inc.
  26. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 05-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  27. Jesper Lund & Torben G. Andersen & Luca Benzoni, 2004. "Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature," Econometric Society 2004 North American Winter Meetings, Econometric Society 432, Econometric Society.
  28. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 03-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Sep 2003.
  29. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2003. "Realized Beta: Persistence and Predictability," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 04-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Mar 2004.
  30. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0279, National Bureau of Economic Research, Inc.
  31. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers, CIRANO 2002s-91, CIRANO.
  32. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers, Duke University, Department of Economics 02-16, Duke University, Department of Economics.
  33. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers, CIRANO 2002s-90, CIRANO.
  34. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc.
  35. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
  36. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000. "The Distribution of Stock Return Volatility," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 00-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
  37. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-061, New York University, Leonard N. Stern School of Business-.
  38. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 00-29, Wharton School Center for Financial Institutions, University of Pennsylvania.
  39. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-059, New York University, Leonard N. Stern School of Business-.
  40. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.
  41. Torben G. Andersen & Tim Bollerslev, 1996. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," NBER Working Papers 5752, National Bureau of Economic Research, Inc.
  42. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc.
  43. Torben G. Andersen & Bent E. Sorensen, 1995. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Discussion Papers, University of Copenhagen. Department of Economics 95-19, University of Copenhagen. Department of Economics.

Articles

  1. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2014. "A Robust Neighborhood Truncation Approach To Estimation Of Integrated Quarticity," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 30(01), pages 3-59, February.
  2. Andersen, Torben G. & Bondarenko, Oleg, 2014. "Reflecting on the VPIN dispute," Journal of Financial Markets, Elsevier, Elsevier, vol. 17(C), pages 53-64.
  3. Andersen, Torben G. & Bondarenko, Oleg, 2014. "VPIN and the flash crash," Journal of Financial Markets, Elsevier, Elsevier, vol. 17(C), pages 1-46.
  4. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2012. "Jump-robust volatility estimation using nearest neighbor truncation," Journal of Econometrics, Elsevier, Elsevier, vol. 169(1), pages 75-93.
  5. Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour, 2011. "Realized volatility forecasting and market microstructure noise," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 220-234, January.
  6. Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011. "A reduced form framework for modeling volatility of speculative prices based on realized variation measures," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 176-189, January.
  7. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, American Finance Association, vol. 65(2), pages 603-653, 04.
  8. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten �rregaard Nielsen, 2010. "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(2), pages 233-261.
  9. Andersen, Torben G., 2007. "Editorial Announcement," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 25, pages 1-1, January.
  10. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, Elsevier, vol. 73(2), pages 251-277, November.
  11. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007. "No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications," Journal of Econometrics, Elsevier, Elsevier, vol. 138(1), pages 125-180, May.
  12. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
  13. Andersen, Torben G. & Lewbel, Arthur & Ng, Serena, 2007. "Editors' Report 2006," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 25, pages 503-503, October.
  14. Andersen, Torben G. & Bollerslev, Tim & Frederiksen, Per Houmann & Nielsen, Morten Orregaard, 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 24, pages 173-179, April.
  15. Andersen, Torben G., 2005. "Editor's Report 2004," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 23, pages 495-495, October.
  16. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, American Economic Association, vol. 95(2), pages 398-404, May.
  17. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2005. "Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities," Econometrica, Econometric Society, Econometric Society, vol. 73(1), pages 279-296, 01.
  18. Torben G. Andersen, 2004. "Discussion," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 37-48.
  19. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
  20. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, Econometric Society, vol. 71(2), pages 579-625, March.
  21. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, American Economic Association, vol. 93(1), pages 38-62, March.
  22. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002. "An Empirical Investigation of Continuous-Time Equity Return Models," Journal of Finance, American Finance Association, American Finance Association, vol. 57(3), pages 1239-1284, 06.
  23. Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March.
  24. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 61(1), pages 43-76, July.
  25. Torben G. Andersen, 2001. "Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns," Journal of Finance, American Finance Association, American Finance Association, vol. 56(1), pages 305-327, 02.
  26. Andersen, Torben G, 2000. "Some Reflections on Analysis of High-Frequency Data," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 18(2), pages 146-53, April.
  27. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 10(2), pages 107-130, June.
  28. Andersen, Torben G., 2000. "Simulation-Based Econometric Methods," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 16(01), pages 131-138, February.
  29. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(5), pages 457-477, December.
  30. Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999. "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, Elsevier, vol. 91(1), pages 61-87, July.
  31. Torben G. Andersen & Tim Bollerslev, 1998. "Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," Journal of Finance, American Finance Association, American Finance Association, vol. 53(1), pages 219-265, 02.
  32. Andersen, Torben G., 1998. "The Econometrics Of Financial Markets," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 14(05), pages 671-685, October.
  33. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
  34. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(2-3), pages 115-158, June.
  35. Andersen, Torben G. & Sorensen, Bent E., 1997. "GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)," Journal of Econometrics, Elsevier, Elsevier, vol. 76(1-2), pages 397-403.
  36. Andersen, Torben G & Bollerslev, Tim, 1997. " Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 52(3), pages 975-1005, July.
  37. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, Elsevier, vol. 77(2), pages 343-377, April.
  38. Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, American Finance Association, vol. 51(1), pages 169-204, March.
  39. Andersen, Torben G & Sorensen, Bent E, 1996. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 14(3), pages 328-52, July.
  40. Andersen, Torben G, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(4), pages 389-92, October.

Chapters

  1. Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Chapters, National Bureau of Economic Research, Inc, in: The Risks of Financial Institutions, pages 513-548 National Bureau of Economic Research, Inc.
  2. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, Elsevier, Elsevier.

NEP Fields

58 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (3) 2011-11-21 2011-11-28 2012-05-29
  2. NEP-BEC: Business Economics (2) 2005-02-20 2005-03-13
  3. NEP-CBA: Central Banking (5) 2008-03-15 2008-06-27 2011-11-21 2011-11-28 2012-05-29. Author is listed
  4. NEP-CFN: Corporate Finance (6) 2003-04-27 2005-02-01 2005-02-01 2005-03-20 2012-01-03 2014-01-10. Author is listed
  5. NEP-ECM: Econometrics (28) 1999-03-08 2000-01-24 2001-03-16 2001-07-23 2002-08-16 2002-10-08 2003-05-12 2003-05-12 2003-10-12 2005-01-02 2005-02-01 2005-03-13 2005-03-20 2007-03-24 2008-03-15 2008-06-27 2008-06-27 2009-01-10 2009-03-07 2009-10-31 2009-11-07 2009-11-27 2009-12-05 2010-03-20 2010-09-03 2011-06-25 2012-05-02 2013-04-13. Author is listed
  6. NEP-ETS: Econometric Time Series (35) 1999-03-01 2000-01-24 2001-03-13 2001-07-23 2001-07-23 2002-08-16 2002-10-08 2003-04-27 2003-04-27 2003-10-12 2005-01-02 2005-02-01 2005-03-13 2005-03-20 2005-05-23 2005-11-19 2006-12-16 2007-03-24 2008-03-15 2008-03-25 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-07-30 2008-11-11 2009-03-07 2009-10-31 2009-11-27 2009-12-05 2010-03-20 2010-09-03 2011-06-25 2012-01-03 2012-05-02. Author is listed
  7. NEP-FIN: Finance (14) 2001-03-13 2001-07-23 2001-07-23 2002-06-13 2002-08-16 2003-04-27 2003-04-27 2005-01-02 2005-02-01 2005-02-01 2005-02-20 2005-03-13 2005-03-20 2005-11-19. Author is listed
  8. NEP-FMK: Financial Markets (20) 2001-03-13 2001-07-23 2001-07-23 2001-10-01 2002-06-13 2002-08-16 2002-10-08 2003-04-27 2003-04-27 2005-01-02 2005-01-02 2005-02-01 2005-03-13 2005-11-19 2007-01-02 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2009-03-07. Author is listed
  9. NEP-FOR: Forecasting (4) 2005-11-19 2010-03-20 2013-12-29 2013-12-29
  10. NEP-HPE: History & Philosophy of Economics (1) 2008-03-25
  11. NEP-IFN: International Finance (8) 1999-03-01 2000-01-24 2001-03-13 2001-07-23 2002-06-13 2003-02-18 2005-01-02 2008-06-27. Author is listed
  12. NEP-MAC: Macroeconomics (4) 2003-04-27 2005-02-01 2005-02-20 2010-03-20
  13. NEP-MON: Monetary Economics (1) 2005-02-01
  14. NEP-MST: Market Microstructure (21) 2006-12-16 2007-01-02 2007-03-17 2007-03-24 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-07-30 2009-01-10 2009-03-07 2009-11-07 2009-11-27 2009-12-05 2010-09-03 2012-01-03 2012-01-03 2013-04-13 2013-12-29 2013-12-29 2014-01-10. Author is listed
  15. NEP-OPM: Open Economy Macroeconomics (1) 2008-06-27
  16. NEP-ORE: Operations Research (2) 2008-03-25 2010-03-20
  17. NEP-RMG: Risk Management (14) 2002-10-08 2003-02-18 2003-04-27 2003-04-27 2003-10-12 2005-02-01 2005-03-13 2006-12-16 2007-01-02 2007-03-17 2007-10-06 2011-11-21 2011-11-28 2012-05-29. Author is listed

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