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T

Torben G. Andersen

northwestern university

60H指数
208论文数
3.2W被引数
收录论文 39
发表时间
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The factor structure of jump risk跳跃风险的因子结构
errJournal of Econometrics
IF4
err2026-02-19
err0
PREAI
errTorben G. Andersen; Yi Ding; Viktor Todorov; Seunghyeon Yu
err分享
err收藏
Introduction to the Issue on High Frequency Econometrics高频计量经济学问题导论
errJournal of Econometrics
IF4
err2025-12-31
err0
PREAI
errLukas Bauer; Roxana Halbleib; Richard Olsen; Torben G. Andersen; Ingmar Nolte
err分享
err收藏
FX futures invariance外汇期货不变性
errJournal of Econometrics
IF4
err2025-12-16
err0
PREAI
errTorben G. Andersen; Oleg Bondarenko; Eleni Gousgounis; Esen Onur
err分享
err收藏
On-line detection of changes in the shape of intraday volatility curves日内波动率曲线形状变化的在线检测
errJournal of Econometrics
IF4
err2025-09-08
err0
PREAI
errTorben G. Andersen; Yingwen Tan; Viktor Todorov; Zhiyuan Zhang
err分享
err收藏
Predictive modeling of financial data
errJOURNAL OF ECONOMETRICS
IF4
err2023-12-01
err1
PREAI
errAndersen, Torben G.; Taylor, Robert; Timmermann, Allan; Xiu, Dacheng
err分享
err收藏
Volatility measurement with pockets of extreme return persistence
errJOURNAL OF ECONOMETRICS
IF4
err2023-12-01
err6
errOAAI
errAndersen, Torben G.; Li, Yingying; Todorov, Viktor; Zhou, Bo
err分享
err收藏
Intraday cross-sectional distributions of systematic risk
errJOURNAL OF ECONOMETRICS
IF4
err2023-08-01
err3
PREAI
errAndersen, Torben G.; Riva, Raul; Thyrsgaard, Martin; Todorov, Viktor
err分享
err收藏
Intraday Periodic Volatility Curves
errJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
IF3
err2023-03-16
err7
PREAI
errAndersen, Torben G.; Su, Tao; Todorov, Viktor; Zhang, Zhiyuan
err分享
err收藏
Local mispricing and microstructural noise: A parametric perspective (vol 230, pg 510, 2022)
errJOURNAL OF ECONOMETRICS
IF4
err2023-02-01
err0
errOAAI
errAndersen, Torben G.; Archakov, Ilya; Cebiroglu, Goekhan; Hautsch, Nikolaus
err分享
err收藏
Testing for parameter instability and structural change in persistent predictive regressions持续性预测回归中参数不稳定性和结构变化的检验
errJOURNAL OF ECONOMETRICS
IF4
err2022-12-01
err3
errOAAI
errAndersen, Torben G.; Varneskov, Rasmus T.
err分享
err收藏
Local mispricing and microstructural noise: A parametric perspective
errJOURNAL OF ECONOMETRICS
IF4
err2022-10-01
err4
PREAI
errAndersen, Torben G.; Archakov, Ilya; Cebiroglu, Goekhan; Hautsch, Nikolaus
err分享
err收藏
Overview: Time series analysis of higher moments and distributions of financial data
errJOURNAL OF ECONOMETRICS
IF4
err2022-03-01
err0
PREAI
errAndersen, Torben G.; Chang, Chia-Lin; Ling, Shiqing
err分享
err收藏
Consistent inference for predictive regressions in persistent economic systems
errJOURNAL OF ECONOMETRICS
IF4
err2021-09-01
err8
errOAAI
errAndersen, Torben G.; Varneskov, Rasmus T.
err分享
err收藏
Tail risk and return predictability for the Japanese equity market?
errJOURNAL OF ECONOMETRICS
IF4
err2021-05-01
err17
errOAAI
errAndersen, Torben G.; Todorov, Viktor; Ubukata, Masato
err分享
err收藏
Unified inference for nonlinear factor models from panels with fixed and large time span
errJOURNAL OF ECONOMETRICS
IF4
err2019-09-01
err6
errOAAI
errAndersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
err分享
err收藏
Time-Varying Periodicity in Intraday Volatility
errJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
IF3
err2019-02-26
err22
errOAAI
errAndersen, Torben G.; Thyrsgaard, Martin; Todorov, Viktor
err分享
err收藏
Short-Term Market Risks Implied by Weekly Options
errJOURNAL OF FINANCE
IF9.5
err2017-04-13
err58
errOAAI
errAndersen, Torben G.; Fusari, Nicola; Todorov, Viktor
err分享
err收藏
The fine structure of equity-index option dynamics
errJOURNAL OF ECONOMETRICS
IF4
err2015-08-01
err20
errOAAI
errAndersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; Tauchen, George
err分享
err收藏
Parametric Inference and Dynamic State Recovery From Option Panels
errECONOMETRICA
IF7.1
err2015-06-08
err71
errOAAI
errAndersen, Torben G.; Fusari, Nicola; Todorov, Viktor
err分享
err收藏
Exploring Return Dynamics via Corridor Implied Volatility
errREVIEW OF FINANCIAL STUDIES
IF5.4
err2015-06-01
err61
PREAI
errAndersen, Torben G.; Bondarenko, Oleg; Gonzalez-Perez, Maria T.
err分享
err收藏

研究方向

暂无研究方向
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