Concepedia

Martin Thyrsgaard

MT

Statistics

Publications

4

Citations

131

H-Index

4

Active since

2018

Affiliations

Aarhus University(Current)

Northwestern University

Martin Thyrsgaard is an author at Aarhus University specializing in finance, time series econometrics, and business.

Top concepts

FinanceBusinessFinancial EconomicsTime Series EconometricsEconomicsStatisticsEngineeringAsset PricingRiskManagement

Publications per year

2018–2024

4

Publications

4

Time-Varying Periodicity in Intraday Volatility

Torben G. Andersen, Martin Thyrsgaard, Viktor Todorov · Journal of the American Statistical Association · 2018 · 67 citations · Full text

Volatility Modeling, Multivariate Stochastic Volatility, Financial Economics +14

Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk

Torben G. Andersen, Martin Thyrsgaard, Viktor Todorov · Quantitative Economics · 2021 · 39 citations · Full text

Empirical Finance, Cross‐sectional Dispersion, Time Series Econometrics +21

Predicting bond return predictability

Daniel Borup, Jonas N. Eriksen, Mads Markvart Kjær et al. · 2024 · 14 citations · Full text

Forecasting Methodology, Engineering, Macroeconomic Forecasting +17

Intraday cross-sectional distributions of systematic risk

Torben G. Andersen, Raul Riva, Martin Thyrsgaard et al. · Journal of Econometrics · 2022 · 11 citations

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