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Torben G. Andersen

Affiliations: 
Economics Northwestern University, Evanston, IL 
Area:
General Business Administration, Finance
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"Torben Andersen"
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Parents

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Peter C.B. Phillips grad student 1992 Yale

Children

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Ashish Das grad student 2000 Northwestern
Luca Benzoni grad student 2001 Northwestern
Qianqiu Liu grad student 2003 Northwestern
Dmitry Novikov grad student 2004 Northwestern
Arne D. Staal grad student 2006 Northwestern
Pierre V. di Pietro grad student 2007 Northwestern
Dobrislav Dobrev grad student 2007 Northwestern
Niels H. Schuehle grad student 2010 Northwestern
Jianjian Jin grad student 2011 Northwestern

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Publications

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Andersen TG, Archakov I, Grund LE, et al. (2020) A Descriptive Study of High-Frequency Trade and Quote Option Data Journal of Financial Econometrics
Andersen TG, Fusari N, Todorov V. (2020) The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets Journal of Business & Economic Statistics. 38: 662-678
Andersen TG, Todorov V, Ubukata M. (2020) Tail risk and return predictability for the Japanese equity market Journal of Econometrics
Andersen TG, Thyrsgaard M, Todorov V. (2019) Cross-Sectional Dispersion of Risk in Trading Time National Bureau of Economic Research
Andersen TG, Thyrsgaard M, Todorov V. (2019) Time-Varying Periodicity in Intraday Volatility Journal of the American Statistical Association. 114: 1695-1707
Andersen TG, Fusari N, Todorov V, et al. (2019) INFERENCE for OPTION PANELS in PURE-JUMP SETTINGS Econometric Theory. 35: 901-942
Andersen TG, Fusari N, Todorov V, et al. (2019) Unified inference for nonlinear factor models from panels with fixed and large time span Journal of Econometrics. 212: 4-25
Andersen TG, Fusari N, Todorov V. (2017) Short-Term Market Risks Implied by Weekly Options Journal of Finance. 72: 1335-1386
Andersen TG, Fusari N, Todorov V. (2015) Parametric Inference and Dynamic State Recovery From Option Panels Econometrica. 83: 1081-1145
Andersen TG, Bondarenko O. (2015) Assessing measures of order flow toxicity and early warning signals for market turbulence Review of Finance. 19: 1-54
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