Torben G. Andersen is the Nathan S. and Mary P. Sharp Professor of Finance and Director of the
International Business & Markets Program and Research Center. He joined the faculty in 1991 and is a Faculty Research Associate of the National Bureau of Economic Research (
NBER) and an International Fellow of the Center for Research in Econometric Analysis of Economic Time Series (
CREATES) in Aarhus, Denmark. In addition, Professor Andersen was elected Fellow of the
Econometric Society in 2008. Professor Andersen has published widely in asset pricing, empirical finance, and empirical market microstructure. His work has centered 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 data sets of very 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, and he has served on the editorial board of various leading journals, including the
Journal of Finance,
Review of Financial Studies,
Econometric Theory, and
Management Science. Professor Andersen has served as a consultant to the Stafford Trading Group, the Federal Reserve Board of Governors, various regional Federal Reserve Banks, foreign Central Banks, universities, and other organizations. He received his PhD in Economics from Yale University.
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