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Torben G. Andersen

Global rank #1149 98%

Institution: National Bureau of Economic Research (NBER)

Primary Field: Econometrics (weighted toward more recent publications)

First Publication: 1996

Most Recent: 2025

RePEc ID: pan210 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 4.69 3.35 0.00 12.74
Last 10 Years 0.00 6.54 4.52 0.00 17.60
All Time 1.68 20.78 10.22 0.00 58.48

Publication Statistics

Raw Publications 42
Coauthorship-Adjusted Count 32.82

Publications (42)

Year Article Journal Tier Authors
2025 On-line detection of changes in the shape of intraday volatility curves Journal of Econometrics A 4
2025 Real‐time detection of local no‐arbitrage violations Quantitative Economics B 3
2025 Testing mean stationarity of intraday volatility curves Quantitative Economics B 4
2024 Intraday Periodic Volatility Curves Journal of the American Statistical Association B 4
2023 Intraday cross-sectional distributions of systematic risk Journal of Econometrics A 4
2023 Volatility measurement with pockets of extreme return persistence Journal of Econometrics A 4
2022 CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS Econometric Theory B 2
2022 Local mispricing and microstructural noise: A parametric perspective Journal of Econometrics A 4
2022 Testing for parameter instability and structural change in persistent predictive regressions Journal of Econometrics A 2
2021 Tail risk and return predictability for the Japanese equity market Journal of Econometrics A 3
2021 Consistent inference for predictive regressions in persistent economic systems Journal of Econometrics A 2
2021 Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk Quantitative Economics B 3
2020 The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets Journal of Business & Economic Statistics A 3
2019 INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS Econometric Theory B 4
2019 Unified inference for nonlinear factor models from panels with fixed and large time span Journal of Econometrics A 4
2019 Time-Varying Periodicity in Intraday Volatility Journal of the American Statistical Association B 3
2017 Short-Term Market Risks Implied by Weekly Options Journal of Finance A 3
2015 The fine structure of equity-index option dynamics Journal of Econometrics A 4
2015 The risk premia embedded in index options Journal of Financial Economics A 3
2015 Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence Review of Finance B 2
2015 Exploring Return Dynamics via Corridor Implied Volatility The Review of Financial Studies A 3
2015 Parametric Inference and Dynamic State Recovery From Option Panels Econometrica S 3
2014 A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY Econometric Theory B 3
2012 Jump-robust volatility estimation using nearest neighbor truncation Journal of Econometrics A 3
2011 A reduced form framework for modeling volatility of speculative prices based on realized variation measures Journal of Econometrics A 3
2011 Realized volatility forecasting and market microstructure noise Journal of Econometrics A 3
2010 Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models Journal of Finance A 2
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 A 3
2007 Real-time price discovery in global stock, bond and foreign exchange markets Journal of International Economics A 4
2007 Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility Review of Economics and Statistics A 3
2005 A Framework for Exploring the Macroeconomic Determinants of Systematic Risk American Economic Review S 4
2003 Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange American Economic Review S 4
2002 An Empirical Investigation of Continuous‐Time Equity Return Models Journal of Finance A 3
2001 Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns Journal of Finance A 3
2001 The distribution of realized stock return volatility Journal of Financial Economics A 4
2000 SIMULATION-BASED ECONOMETRIC METHODS Econometric Theory B 1
1999 Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study Journal of Econometrics A 3
1998 THE ECONOMETRICS OF FINANCIAL MARKETS Econometric Theory B 1
1997 Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. Journal of Finance A 2
1997 GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) Journal of Econometrics A 2
1997 Estimating continuous-time stochastic volatility models of the short-term interest rate Journal of Econometrics A 2
1996 Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility. Journal of Finance A 1