Concepedia

Torben G. Andersen

TG

Statistics

Publications

98

Citations

29.7K

H-Index

51

Active since

1996

Affiliations

Northwestern University(Current)

National Bureau of Economic Research

Duke University

Kellogg's (Canada)

Aarhus University

Torben G. Andersen is an author at Northwestern University specializing in finance, financial economics, and business.

ORCID

Publications per year

1996–2023

98

Publications

98

Modeling and Forecasting Realized Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Econometrica · 2003 · 4K citations

, , +10

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.5K citations

, , +17

The distribution of realized stock return volatility

Torben G. Andersen · Journal of Financial Economics · 2001 · 2.4K citations

, , +12

The Distribution of Realized Exchange Rate Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Journal of the American Statistical Association · 2001 · 2.2K citations

, , +17

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold · The Review of Economics and Statistics · 2007 · 1.5K citations

, , +17

1–5 of 98