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Publications by TORBEN G. ANDERSEN

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

Journal of Finance

English

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Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

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Liquidity and Volatility in the U.S. Treasury Market

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The Mispricing of U.S. Treasury Bonds: A Case Study

Review of Financial Studies

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Expectation Puzzles, Time-Varying Risk Premia, and Affine Models of the Term Structure

Journal of Financial Economics

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Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models

SSRN Electronic Journal

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Change-Points in Affine Arbitrage-Free Term Structure Models

Journal of Financial Econometrics

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Forecasting Volatility of the U.S. Oil Market

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Identification and Estimation of Gaussian Affine Term Structure Models

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Valuation of Guaranteed Annuity Options in Affine Term Structure Models

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