Books by Torben G. Andersen

Do bonds span volatility risk in the U.S. treasury market?

No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise

Construction and interpretation of model-free implied volatility

Roughing it up

A framework for exploring the macroeconomic determinants of systematic risk

Volatility forecasting

Practical volatility and correlation modeling for financial market risk management

Real-time price discovery in global stock, bond and foreign exchange markets

Real-time price discovery in stock, bond, and foreign exchange markets

Jump-robust volatility estimation using nearest neighbor truncation

Jump-robust volatility estimation using nearest neighbor truncation

Practical volatility and correlation modeling for financial market risk management

Volatility forecasting

Real-time price discovery in stock, bond and foreign exchange markets

Volatility

DM-dollar volatility

Foreign currency translation of multiperiod monetary investments and liabilities under uncertainty

An empirical investigation of continuous-time equity return models

Testing for market microstructure effects in intraday volatility

Heterogeneous information arrivals and return volatility dynamics

Answering the critics