What is he best known for?
The fields of study he is best known for:
- Statistics
- Finance
- Econometrics
His primary areas of investigation include Volatility, Econometrics, Realized variance, Stochastic volatility and Forward volatility.
His Volatility research incorporates elements of Exchange rate and Liberian dollar.
His work in the fields of Econometrics, such as Capital asset pricing model and Heteroscedasticity, overlaps with other areas such as Weighting.
The various areas that he examines in his Realized variance study include Martingale, Estimator, Predictability and Covariance.
Torben G. Andersen interconnects Copula and Cointegration in the investigation of issues within Forward volatility.
His work focuses on many connections between Implied volatility and other disciplines, such as Volatility smile, that overlap with his field of interest in Volatility swap.
His most cited work include:
- MODELING AND FORECASTING REALIZED VOLATILITY (2478 citations)
- ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS* (2269 citations)
- The distribution of realized stock return volatility (1660 citations)
What are the main themes of his work throughout his whole career to date?
His primary areas of study are Econometrics, Volatility, Stochastic volatility, Realized variance and Financial economics.
The concepts of his Econometrics study are interwoven with issues in Exchange rate, Predictability, Equity and Liberian dollar.
His study in Volatility is interdisciplinary in nature, drawing from both Capital asset pricing model and Futures contract.
His Stochastic volatility study combines topics from a wide range of disciplines, such as Asset return, Estimator and Monte Carlo method.
His Realized variance research includes elements of Autoregressive conditional heteroskedasticity, Covariance, Cointegration and Quadratic variation.
His studies in Volatility smile integrate themes in fields like Volatility swap, Risk premium and Moneyness.
He most often published in these fields:
- Econometrics (119.05%)
- Volatility (113.55%)
- Stochastic volatility (57.51%)
What were the highlights of his more recent work (between 2012-2021)?
- Volatility (113.55%)
- Econometrics (119.05%)
- Stochastic volatility (57.51%)
In recent papers he was focusing on the following fields of study:
Torben G. Andersen spends much of his time researching Volatility, Econometrics, Stochastic volatility, Financial economics and Futures contract.
Volatility and Predictive power are two areas of study in which Torben G. Andersen engages in interdisciplinary research.
His studies deal with areas such as Market microstructure, Semimartingale and Autocorrelation as well as Econometrics.
His Autocorrelation research is multidisciplinary, incorporating perspectives in Error detection and correction and Realized variance.
The Stochastic volatility study combines topics in areas such as Implied volatility, Statistical hypothesis testing, Endogeneity, Spurious relationship and Volatility smile.
His Volatility smile study incorporates themes from Volatility swap and Moneyness.
Between 2012 and 2021, his most popular works were:
- The risk premia embedded in index options (90 citations)
- Parametric Inference and Dynamic State Recovery from Option Panels (54 citations)
- Financial Risk Measurement for Financial Risk Management (53 citations)
In his most recent research, the most cited papers focused on:
- Statistics
- Finance
- Econometrics
The scientist’s investigation covers issues in Volatility, Econometrics, Financial economics, Stochastic volatility and Implied volatility.
His work on Return volatility as part of general Volatility study is frequently linked to Predictive power, therefore connecting diverse disciplines of science.
His research in Econometrics intersects with topics in Proxy and Equity.
His Financial economics study combines topics from a wide range of disciplines, such as Endogeneity, Error detection and correction and Autocorrelation.
His Stochastic volatility course of study focuses on Market risk and Capital asset pricing model, Financial risk, Financial econometrics, Financial risk management and Risk management tools.
As part of one scientific family, Torben G. Andersen deals mainly with the area of Implied volatility, narrowing it down to issues related to the Volatility smile, and often Volatility swap and Risk premium.
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