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Torben G. Andersen

Active 1996–2021

32
Papers
25,828
Citations
29
h-index
31
i10-index

Citations

Citations per year for Torben G. Andersen1994: 2 citations1996: 10 citations1997: 11 citations1998: 17 citations1999: 27 citations2000: 21 citations2001: 64 citations2002: 80 citations2003: 49 citations2004: 68 citations2005: 97 citations2006: 96 citations2007: 49 citations2008: 94 citations2009: 74 citations2010: 100 citations2011: 53 citations2012: 68 citations2013: 57 citations2014: 80 citations2015: 75 citations2016: 44 citations2017: 38 citations2018: 46 citations2019: 68 citations2020: 65 citations2021: 87 citations2022: 55 citations2023: 48 citations2024: 51 citations2025: 51 citations2026: 8 citations1995: no citations, so this year is not shown

Citation sources

Countries

World map of the countries and regions citing this authorUnited States: 410 citing papers, 24.8% of this breakdownChina: 188 citing papers, 11.4% of this breakdownUnited Kingdom: 153 citing papers, 9.2% of this breakdownCanada: 72 citing papers, 4.3% of this breakdownGermany: 69 citing papers, 4.2% of this breakdownAustralia: 60 citing papers, 3.6% of this breakdownItaly: 60 citing papers, 3.6% of this breakdownDenmark: 55 citing papers, 3.3% of this breakdownFrance: 42 citing papers, 2.5% of this breakdownNetherlands: 38 citing papers, 2.3% of this breakdownSwitzerland: 35 citing papers, 2.1% of this breakdownTaiwan: 29 citing papers, 1.8% of this breakdown
0%24.8%Other 26.9%

Institutions

Fields

  • Economics, Econometrics and Finance78%
  • Decision Sciences7.6%
  • Computer Science7.3%
  • Mathematics2.4%
  • Engineering1.6%
  • Business, Management and Accounting1.1%
  • Other2%

Topics

  • Financial Risk and Volatility Modeling19.4%
  • Market Dynamics and Volatility13.3%
  • Complex Systems and Time Series Analysis11%
  • Financial Markets and Investment Strategies8.9%
  • Stochastic processes and financial applications8.7%
  • Monetary Policy and Economic Impact6.7%
  • Other32%

Coauthors

All papers

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

    Authors: Torben G. Andersen, Tim Bollerslev - International Economic Review 1998 cited by 3,481

  2. The distribution of realized stock return volatility

    Authors: Torben G. Andersen - Journal of Financial Economics 2001 cited by 2,357

  3. Intraday periodicity and volatility persistence in financial markets

    Authors: Torben G. Andersen, Tim Bollerslev - Journal of Empirical Finance 1997 cited by 1,359

  4. Chapter 15 Volatility and Correlation Forecasting

    Authors: Torben G. Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold - Handbook of economic forecasting 2006 cited by 335

  5. The risk premia embedded in index options

    Authors: Torben G. Andersen, Nicola Fusari, Viktor Todorov - Journal of Financial Economics 2015 cited by 305

  6. Real-time price discovery in global stock, bond and foreign exchange markets

    Authors: Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Clara Vega - Journal of International Economics 2007 cited by 1,176

  7. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility

    Authors: Torben G. Andersen - The Journal of Finance 1996 cited by 1,018

  8. Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

    Authors: Torben G. Andersen, Tim Bollerslev - The Journal of Finance 1998 cited by 1,222

  9. An Empirical Investigation of Continuous‐Time Equity Return Models

    Authors: Torben G. Andersen, Luca Benzoni, Jesper Lund - The Journal of Finance 2002 cited by 941

  10. Parametric and Nonparametric Volatility Measurement

    Authors: Torben G. Andersen, Tim Bollerslev, Francis X. Diebold - Elsevier eBooks 2010 cited by 517

  11. 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

    Authors: Torben G. Andersen, Tim Bollerslev, Dobrislav Dobrev - Journal of Econometrics 2006 cited by 310

  12. Modeling and Forecasting Realized Volatility

    Authors: Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys - Econometrica 2001 cited by 3,951

  13. Handbook of Financial Time Series

    Authors: Thomas Mikosch, Davis, Richard A. 1952-, Richard A. Davis, Torben G. Andersen, Engle, Robert F. 1942- - 2009 cited by 377

  14. Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon

    Authors: Torben G. Andersen, Tim Bollerslev, Steve Lange - Journal of Empirical Finance 1999 cited by 348

  15. Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study

    Authors: Torben G. Andersen, Hyung‐Jin Chung, Bent E. Sørensen - Journal of Econometrics 1999 cited by 224

  16. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study

    Authors: Torben G. Andersen, Bent E. Sørensen - Journal of Business and Economic Statistics 1996 cited by 476

  17. Jump-robust volatility estimation using nearest neighbor truncation

    Authors: Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg - Journal of Econometrics 2012 cited by 464

  18. Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities

    Authors: Torben G. Andersen, Tim Bollerslev, Nour Meddahi - Econometrica 2004 cited by 338

  19. Realized volatility forecasting and market microstructure noise

    Authors: Torben G. Andersen, Tim Bollerslev, Nour Meddahi - Journal of Econometrics 2010 cited by 261

  20. ANALYTICAL EVALUATION OF VOLATILITY FORECASTS*

    Authors: Torben G. Andersen, Tim Bollerslev, Nour Meddahi - International Economic Review 2004 cited by 226

  21. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns

    Authors: Torben G. Andersen, Tim Bollerslev - 1996 cited by 222

  22. The Distribution of Realized Exchange Rate Volatility

    Authors: Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys - Journal of the American Statistical Association 2001 cited by 2,198

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

    Authors: Torben G. Andersen, Tim Bollerslev, Francis X. Diebold - The Review of Economics and Statistics 2005 cited by 1,465

  24. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns

    Authors: Torben G. Andersen, Tim Bollerslev - The Journal of Finance 1997 cited by 635