Standout Papers

Modeling and Forecasting Realized Volatility 1998 2026 2007 2016 2.5k
  1. Modeling and Forecasting Realized Volatility (2003)
    Torben G. Andersen, Tim Bollerslev et al. Econometrica
  2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)
    Torben G. Andersen, Tim Bollerslev International Economic Review
  3. The distribution of realized stock return volatility (2001)
    Torben G. Andersen Journal of Financial Economics
  4. The Distribution of Realized Exchange Rate Volatility (2001)
    Torben G. Andersen, Tim Bollerslev et al. Journal of the American Statistical Association
  5. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)
    Torben G. Andersen, Tim Bollerslev et al. The Review of Economics and Statistics
  6. Intraday periodicity and volatility persistence in financial markets (1997)
    Torben G. Andersen, Tim Bollerslev Journal of Empirical Finance
  7. Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)
    Torben G. Andersen, Tim Bollerslev The Journal of Finance
  8. Real-time price discovery in global stock, bond and foreign exchange markets (2007)
    Torben G. Andersen, Tim Bollerslev et al. Journal of International Economics
  9. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)
    Torben G. Andersen The Journal of Finance
  10. An Empirical Investigation of Continuous‐Time Equity Return Models (2002)
    Torben G. Andersen, Luca Benzoni et al. The Journal of Finance
  11. Jump-robust volatility estimation using nearest neighbor truncation (2012)
    Torben G. Andersen, Dobrislav Dobrev et al. Journal of Econometrics

Immediate Impact

5 by Nobel laureates 2 from Science/Nature 120 standout
Sub-graph 1 of 12

Citing Papers

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics
2025 Standout
The Time Variation in Risk Appetite and Uncertainty
2021 Standout
116 intermediate papers

Works of Torben G. Andersen being referenced

Modeling and Forecasting Realized Volatility
2003 Standout
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
1998 Standout
and 33 more

Author Peers

Author Last Decade Papers Cites
Torben G. Andersen 16583 13795 5480 110 18.8k
Éric Ghysels 8141 7874 4142 228 11.6k
Allan Timmermann 8970 8876 5605 201 13.4k
Charles R. Nelson 5971 8737 8051 117 13.2k
Ravi Jagannathan 13741 10559 4581 121 16.0k
Kenneth D. West 13182 13668 8794 83 21.2k
Neil Shephard 9460 6750 3100 116 13.1k
Richard T. Baillie 7572 7997 4872 100 10.2k
Jushan Bai 4641 10035 6848 88 14.2k
Paul Newbold 3469 6991 5193 142 11.0k
Serena Ng 5155 10783 8142 86 14.1k

All Works

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2026