Torben G. Andersen

• A framework for exploring the macroeconomic determinants of systematic risk
• An empirical investigation of continuous-time equity return models
• Answering the critics
• Construction and interpretation of model-free implied volatility
• DM-dollar volatility
• Do bonds span volatility risk in the U.S. treasury market?
• Foreign currency translation of multiperiod monetary investments and liabilities under uncertainty
• Heterogeneous information arrivals and return volatility dynamics
• Jump-robust volatility estimation using nearest neighbor truncation
• Jump-robust volatility estimation using nearest neighbor truncation
• No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise
• Practical volatility and correlation modeling for financial market risk management