Torben Gustav Andersen
Distinguished Professor
Department of Finance
Kellogg School of Management, Northwestern University;International Engineering and Technology Institute;Volatility Institute, Stern School of Business, New York University;Center for Research in Econometric Analysis of Economic Time Series;National Bureau of Economic Research
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个人简介
Professor Andersen has published widely in asset pricing, empirical finance, and empirical market microstructure. His work centers 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 sets of 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, Co-Editor for the Journal of Financial Econometrics, 2009-2014, and has served on the editorial board of leading journals, including the Journal of Finance, Review of Financial Studies, Econometric Theory, and Management Science.
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Social Science Research Network (2023)
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JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATIONpp.1-11, (2023)
JOURNAL OF ECONOMETRICSno. 2 (2023): 105496-105496
Journal of Econometricsno. 2 (2022): 1394-1418
Journal of Econometricsno. 1 (2022): 1-3
Capital Markets: Market Efficiency eJournalno. 2 (2022): 510-534
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