T
Torben G. Andersen
Researcher at Northwestern University
Publications - 191
Citations - 35451
Torben G. Andersen is an academic researcher from Northwestern University. The author has contributed to research in topics: Volatility (finance) & Stochastic volatility. The author has an hindex of 65, co-authored 180 publications receiving 33256 citations. Previous affiliations of Torben G. Andersen include Aarhus University & National Bureau of Economic Research.
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Answering the skeptics: yes, standard volatility models do provide accurate forecasts*
TL;DR: In this article, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using ARCH and stochastic volatility models and it has been shown that volatility models produce strikingly accurate inter-daily forecasts for the latent volatility factor that would be of interest in most financial applications.
Posted Content
Modeling and Forecasting Realized Volatility
TL;DR: In this article, the authors provide a general framework for integration of high-frequency intraday data into the measurement, modeling and forecasting of daily and lower frequency volatility and return distributions.
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Modeling and forecasting realized volatility
TL;DR: In this article, the authors provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency volatility and return distributions.
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The distribution of realized stock return volatility
TL;DR: In this article, the authors examined daily equity return volatilities and correlations obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average and found that the unconditional distributions of realized variances and covariances are highly right-skewed.
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The Distribution of Realized Exchange Rate Volatility
TL;DR: In this article, the authors construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade using high-frequency data on deutschemark and yen returns against the dollar.