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Publications by Torben G. Andersen

Unified Inference for Nonlinear Factor Models From Panels With Fixed and Large Time Span

Journal of Econometrics

Philosophy of Science

Applied Mathematics

English

Intraday Trading Invariance in the E-Mini S&P 500 Futures Market

SSRN Electronic Journal

English

An Empirical Investigation of Continuous-Time Equity Return Models

Journal of Finance

English

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

Journal of Applied Econometrics

Social Sciences

English

Some Like It Smooth, and Some Like It Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

SSRN Electronic Journal

English

Construction and Interpretation of Model-Free Implied Volatility

SSRN Electronic Journal

English