Torben Andersen
Torben Andersen

FINANCE; INTERNATIONAL BUSINESS & MARKETS
Nathan S. and Mary P. Sharp Professor of Finance
Director of the International Business & Markets Program and Research Center

Print Overview

Torben G. Andersen is the Nathan S. and Mary P. Sharp Professor of Finance and Director of the International Business & Markets Program and Research Center. He joined the faculty in 1991 and is a Faculty Research Associate of the National Bureau of Economic Research (NBER) and an International Fellow of the Center for Research in Econometric Analysis of Economic Time Series (CREATES) in Aarhus, Denmark. In addition, Professor Andersen was elected Fellow of the Econometric Society in 2008.

Professor Andersen has published widely in asset pricing, empirical finance, and empirical market microstructure. His work has centered on the modeling of volatility fluctuations in financial returns with applications to asset and derivatives pricing, portfolio selection, and the term structure of interest rates. His current work explores the use of large data sets of very high-frequency data for volatility forecasting, portfolio choice and risk management. He has received grants from the National Science Foundation, the Sloan Foundation, and the Institute for Quantitative Research in Finance (the Q-Group). He served as the editor-in-chief for the Journal of Business and Economic Statistics in 2004-2006, and he has served on the editorial board of various leading journals, including the Journal of Finance, Review of Financial Studies, Econometric Theory, and Management Science.

Professor Andersen has served as a consultant to the Stafford Trading Group, the Federal Reserve Board of Governors, various regional Federal Reserve Banks, foreign Central Banks, universities, and other organizations. He received his PhD in Economics from Yale University.



Areas of Expertise
Asset Pricing (Equity Markets/Stock Market, Investments and Portfolio Choice)
Econometrics
Equity Markets (Stock Market) (Includes: Asset Pricing, Investments and Portfolio Choice)
Financial Engineering
International Finance (Exchange Rates, Current Account)
Investments and Portfolio Choice (Includes: Asset Pricing, Equity Markets/Stock Market)
Microeconomics
Print Vita
Education
PhD, 1992, Economics, Yale University
MPhil, 1988, Economics, Yale University
MA, 1985, Economics, Mathematics, University of Aarhus
BA, 1980, Economics, University of Aarhus - BA

Academic Positions
International Fellow, Center for Research in Econometric Analysis of Economic Time Series, 2007-present
Director, Kellogg School of Management, Northwestern University, 2006-present
Nathan S. and Mary P. Sharp Distinguished Professor of Finance, Kellogg School of Management, Northwestern University, 2000-present
Research Associate, National Bureau of Economic Research, 2000-present
Associate Professor, Kellogg School of Management, Northwestern University, 1997-2000
Assistant Professor, Kellogg School of Management, Northwestern University, 1991-1997

Editorial Positions
Associate Editor, Journal of Financial Econometrics, 2001-Present
Advisory Board, Springer Series in Operations Research and Financial Engineering, 2006-2008
Editor, Journal of Business and Economic Statistics, 2004-2006
Associate Editor, Review of Financial Studies, 2002-2005
Associate Editor, Econometric Theory, 2002-2003
Associate Editor, Journal of Finance, 2000-2003
Associate Editor, Journal of Empirical Finance, 1998-2001

 
Print Research
Research Interests
Asset pricing, empirical finance, international finance

Articles
Andersen, Torben, Dobrislav Dobrev and Ernst Schaumburg. 2014. A Robust Neighborhood Truncation Approach to Estimation of Integrated Quarticity. Econometric Theory. 30: 3-59.
Andersen, Torben and Oleg Bondarenko. 2014. VPIN and the Flash Crash. Journal of Financial Markets. 17: 1-46.
Andersen, Torben and Oleg Bondarenko. 2014. Reflecting on the VPIN Dispute. Journal of Financial Markets. 17: 53-64.
Andersen, Torben, Dobrislav Dobrev and Ernst Schaumburg. 2012. Robust Volatility Estimation Using Nearest-Neighbor Truncation.. Journal of Econometrics.. 169: 75-93.
Andersen, Torben, Dobrislav Dobrev and Ernst Schaumburg. 2012. Robust Volatility Estimation Using Nearest-Neighbor Truncation.. Journal of Econometrics.. 169: 75-93.
Andersen, Torben, Tim Bollerslev and Xin Huang. 2011. A Reduced Form Framework for Modeling and Forecasting Jumps and Volatility in Speculative Prices. Journal of Econometrics. 160: 176-189.
Andersen, Torben, Tim Bollerselv and Nour Meddahi. 2011. Realized Volatility Forecasting and Market Microstructure Noise. Journal of Econometrics. 160(1): 220-234.
Andersen, Torben and Luca Benzoni. 2010. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models. Journal of Finance. 65(2): 603-653.
Andersen, Torben, Tim Bollerslev and Francis X. Diebold. 2007. Roughing It Up: Including Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility. Review of Economics and Statistics. 89(4): 701-720.
Andersen, Torben, Tim Bollerslev and Dobrislav Dobrev. 2007. No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Assumptions. Journal of Econometrics. 138(1): 125-180.
Andersen, Torben, Tim Bollerslev, Francis X. Diebold and Clara Vega. 2007. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets. Journal of International Economics. 73(2): 251-277.
Andersen, Torben, Tim Bollerslev, Per H. Frederiksen and Morten O. Nielsen. 2006. Comment on: “Realized Variance and Market Microstructure Noise" by Peter R. Hansen and Asger Lunde. Journal of Business & Economic Statistics. 24(2): 173-179.
Andersen, Torben, Tim Bollerslev and Nour Meddahi. 2005. Correcting the Errors: On Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities. Econometrica. 73(1): 279-296.
Andersen, Torben, Tim Bollerslev, Francis X. Diebold and Jin Wu. 2005. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk. American Economic Review. 95(2): 398-404.
Andersen, Torben, Tim Bollerslev and Nour Meddahi. 2004. Analytic Evaluation of Volatility Forecasts. International Economic Review. 45(4): 1079-1110.
Andersen, Torben. 2004. Discussion of: “Power and Bipower Variation with Stochastic Volatility and Jumps" by Ole E. Barndorff-Nielsen and Neil Shephard. Journal of Financial Econometrics. 2(1): 37-48.
Andersen, Torben, Tim Bollerslev, Francis X. Diebold and Paul Labys. 2003. Modeling and Forecasting Realized Volatility. Econometrica. 71(2): 579-625.
Andersen, Torben, Tim Bollerslev, Francis X. Diebold and Clara Vega. 2003. Micro Effects of Macro Accouncements: Real-Time Price Discovery in Foreign Exchange. American Economic Review. 93(1): 38-62.
Andersen, Torben, Luca Benzoni and Jesper Lund. 2002. An Empirical Investigation of Continuous-Time Equity Return Models. Journal of Finance. 57(3): 1239-1284.
Andersen, Torben, Tim Bollerslev, Francis X. Diebold and Heiko Ebens. 2001. The Distribution of Realized Stock Return Volatility. Journal of Financial Economics. 61(1): 43-76.
Andersen, Torben, Tim Bollerslev and Ashish Das. 2001. Variance-Ratio Statistics and High-Frequency Data. Journal of Finance. 56(1): 305-327.
Andersen, Torben, Tim Bollerslev, Francis X. Diebold and Paul Labys. 2001. The Distribution of Realized Exchange Rate Volatility. Journal of the American Statistical Association. 96(453): 42-55.
Reprinted in:
Stochastic Volatility: Selected Readings, edited by Neil Shepard, 480-514. Oxford, United Kingdom: Oxford University Press, 2005.
Andersen, Torben, Tim Bollerslev, Francis X. Diebold and Paul Labys. 2000. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. Multinational Finance Journal. 4(3-4): 159-179.
Andersen, Torben, Tim Bollerslev and Jun Cai. 2000. Intraday and Interday Volatility in the Japanese Stock Market. Journal of International Financial Markets, Institutions and Money. 10(2): 107-130.
Andersen, Torben. 2000. Some Reflections on Analysis of High Frequency Data. Journal of Business & Economic Statistics. 18(2): 146-153.
Andersen, Torben. 2000. Book Review: "Simulation-Based Econometric Methods". Econometric Theory. 16(1): 131-138.
Andersen, Torben, Tim Bollerslev and Steve Lange. 1999. Forecasting Financial Market Volatility: Sampling Frequency vis-à-vis Forecast Horizon. Journal of Empirical Finance. 6(5): 457-477.
Andersen, Torben, Hyung-Jin Chung and Bent E. Sorensen. 1999. Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Econometrics. 91(1): 61-87.
Andersen, Torben and Tim Bollerslev. 1998. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts. International Economic Review. 39(4): 885-905.
Reprinted in:
Forecasting Financial Markets, edited by Terence C. Mills, 133-179. Cheltenham Glos, UK: Edward Elgar Publishing, 2002.
Andersen, Torben and Tim Bollerslev. 1998. Towards a Unified Framework for High and Low Frequency Return Volatility Modeling. Statistica Neerlandica. 52(3): 273-302.
Andersen, Torben and Tim Bollerslev. 1998. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. Journal of Finance. 53(1): 219-265.
Reprinted in:
Foreign Exchange Markets, edited by Richard J. Sweeney, Cheltenham Glos, United Kingdom: Edward Elgar Publishing Ltd, 2006.
Andersen, Torben and Tim Bollerslev. 1997. Intraday Periodicity and Volatility Persistence in Financial Markets. Journal of Empirical Finance. 4(2): 115-158.
Reprinted in:
Foreign Exchange Markets, edited by Richard J. Sweeney, Cheltenham Glos, United Kingdom: Edward Elgar Publishing Ltd, 2006.
Andersen, Torben and Tim Bollerslev. 1997. Estimating Continuous Time Stochastic Volatility Models of the Short Term Interest Rate. Journal of Econometrics. 77(2): 343-377.
Andersen, Torben and Tim Bollerslev. 1997. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. Journal of Finance. 52(3): 975-1005.
Andersen, Torben and Tim Bollerslev. 1996. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Business & Economic Statistics. 14(3): 328-352.
Andersen, Torben. 1996. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility. Journal of Finance. 51(1): 169-204.
Andersen, Torben. 1994. Comment: "Bayesian Analysis of Stochastic Volatility Models" by E. Jacquier, N.G. Polson, and P.E. Rossi. Journal of Business & Economic Statistics. 12(4): 389-392.
Andersen, Torben. 1994. Comments on Li, H., I. Mathur, T.V. Schwarz & A.C. Szakmary: Dynamic Efficiency in the Treasury Bill and Eurodollar Futures Market and Implications for the TED Spread. Review of Futures Markets. 13: 301-305.
Andersen, Torben. 1994. Stochastic Autoregressive Volatility: A Framework for Volatility Modeling. Mathematical Finance. 4(2): 75-102.
Reprinted in:
Stochastic Volatility: Selected Readings, edited by Neil Shephard, 177-278. Oxford: Oxford University Press, 2005.
Working Papers
Andersen, Torben and Oleg Bondarenko. 2013. On the Measurement of Order Flow Toxicity: VPIN under Perfect Trade Classification.
Andersen, Torben and Oleg Bondarenko. 2013. Dissection of the Pricing of Equity-Index Volatility.
Andersen, TorbenViktor Todorov and Nicola Fusari. 2013. The Risk Premia Embedded in Option Panels.
Andersen, Torben, Maria Perez and Oleg Bondarenko. 2013. A Corridor Fix for High-Frequency VIX.
Andersen, Torben, Oleg Bondarenko and Maria Perez. 2013. Uncovering Novel Features of Equity-Index Return Dynamics via Corridor Implied Volatility.
Andersen, Torben, Tim Bollerselv, Peter F. Christoffersen and Francis X. Diebold. 2012. Financial Risk Measurement for Financial Risk Management.
Andersen, Torben, Tim Bollerslev and Nour Meddahi. 2007. Realized Volatility Forecasting and Market Microstructure Noise.
Andersen, Torben, Per H. Frederiksen and Arne Staal. 2007. The Information Content of Realized Volatility Forecasts.
Andersen, Torben, Tim Bollerslev, Per H. Frederiksen and Morten O. Nielsen. 2006. Continuous-Time Models, Realized Volatilities and Testable Distributional Implications for Daily Stock Returns.
Andersen, Torben, Luca Benzoni and Jesper Lund. 2004. Stochastic Volatility, Mean Drift, and Jumps in the Short-Term Interest Rate.
Book Chapters
Andersen, Torben. "Financial Risk Measurement for Financial Risk Management.".
Andersen, Torben and Luca Benzoni. Forthcoming. "Stochastic Volatility." In Encyclopedia of Complexity and Systems Science, edited by Roberts A. Meyers, Springer-Verlag.
Andersen, Torben, Tim Bollerslev and Francis X. Diebold. Forthcoming. "Parametric and Nonparametric Measurements of Volatility." In Handbook of Financial Econometrics, edited by Yacine Ait-Sahalia and Lars Peter Hansen, Elsevier.
Andersen, Torben. Forthcoming. "Volatility Modeling." In Encyclopedia of Quantitative Risk Analysis and Assessment, edited by Brian Everitt, Ed Melnick, Wiley.
Andersen, Torben, Tim Bollerslev, Peter F. Christoffersen and Francis X. Diebold. 2013. "Financial Risk Measurement for Financial Risk Management." In Handbook of the Economics of Finance, edited by G. Constantinides, M. Harris and R. Stulz, 1127-1220. North Holland: Elsevier.
Andersen, Torben and Viktor Todorov. 2010. "Realized Volatility and Multipower Variation." In Encyclopedia of Quantitative Finance, edited by Ole Barndorff-Nielsen and Eric Renault, Wiley.
Andersen, Torben and Luca Benzoni. 2009. "Realized Volatility." In Handbook of Financial Time Series, edited by Torben G. Andersen, Richard A. Davis, Jebs-Peter Kreib, Thomas Mikosch, New York, NY: Springer Verlag.
Shephard, Neil and Torben Andersen. 2009. "Stochastic Volatility: Origins and Overview." In Handbook of Financial Time Series, edited by T.G. Andersen, R.A. Davis, J.-P Kreiß, Th. Mikosch, Springer Verlag.
Andersen, Torben, Richard A. Davis, Jens-Peter Kreiss and Thomas Mikosch. 2009. "Introduction." In Handbook of Financial Time Series, edited by Andersen, T.G., Davis, R.A., Kreiss, J.-P., and Mikosch, T., 1-13. New York: Springer Verlag.
Andersen, Torben. 2007. "Realized Volatility." In New Palgrave Dictionary of Economics, edited by Lawrence Blume and Steven N. Durlauf, London, UK: Palgrave MacMillan, 2nd edition.
Andersen, Torben and Oleg Bondarenko. 2007. "Construction and Interpretation of Model-Free Implied Volatility." In Volatility as an Asset Class, edited by Israel Nelken, 141-184. London, UK: Risk Publications.
Andersen, Torben, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold. 2006. "Practical Volatility and Correlation Modeling for Financial Market Risk Management." In The Risks of Financial Institutions, edited by Mark Carey and Rene M. Stulz, 513-548. Chicago, IL: University of Chicago Press.
Andersen, Torben, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold. 2006. "Volatility and Correlation Forecasting." In Handbook of Economic Forecasting, edited by Graham Elliott, Clive W. J. Granger, AllanTimmermann, 777-878. North Holland, Amsterdan, the Netherlands: Elsevier.
Andersen, Torben, Tim Bollerslev, Francis X. Diebold and Jin Wu. 2006. "Realized Beta: Persistence and Predictability." In Advances in Econometrics, edited by Thomas B. Fomby, Dek Terrell, vol. 20B, 1-39. Emerald Group Publishing.
Andersen, Torben and Tim Bollerslev. 1998. "ARCH and GARCH Models." In Encyclopedia of Statistical Science, edited by S. Kotz, C.B. Read, and D.L. Banks, 6-16. New York: Wiley & Sons.
Other
Andersen, Torben and Tim Bollerslev. "Realized Volatility, Asset Pricing, and Risk Management." NBER Reporter, Fall.
Andersen, Torben. "Comments on Benjamin H. Cohen and Eli M. Remolona 'Information flows during the Asian crisis: Evidence from closed-end funds'." April.
Andersen, Torben, Tim Bollerslev, Francis X. Diebold and Paul Labys. "Great Realisations." Risk Magazine, March.
Books
Andersen, Torben and Tim Bollerslev. 2009. Financial Market Volatility: From ARCH and GARCH to Stochastic and Realized Volatility and Correlation. Cambridge, MA: Zeuthen Lecture Series, MIT Press.
Andersen, Torben, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold. 2009. Volatility and Correlation: Practical Methods for Financial Applications. Princeton University Press.
Andersen, Torben, Richard Davis, Jens-Peter Kreiss and Thomas Mikosch. 2008. Handbook of Financial Time Series. Springer Verlag.

 
Print Teaching
Teaching Interests
International finance, empirical finance
Full-Time / Part-Time MBA
International Finance (FINC-470-0)

This course counts toward the following majors: Finance, International Business

Management of an international business or one exposed to global competition requires knowledge of international financial instruments, markets, and institutions. This course examines these issues from theoretical and applied perspectives. Topics include the nature of foreign exchange risk, the determination of spot and forward exchange rates and interest rates, the returns to foreign investments in external currency and in bond and stock markets, the management of foreign exchange risk with forward markets and foreign currency option markets, and the dynamics of the balance of payments with a focus on understanding international capital flows, country debt, and exchange rate fluctuations.

Doctoral
Topics in Finance (FINC-520-0)
Current research in topics such as international finance, empirical finance, capital structure and financial markets are analyzed. The seminar usually requires in-class presentations by students, as well as individual research projects.