Torben Gustav Andersen
Nathan S. and Mary P. Sharp Professor of Finance
Torben G. Andersen is the Nathan S. and Mary P. Sharp Professor of Finance. 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, and Fellow of the Society for Financial Econometrics, SoFiE, in 2013, Fellow of the Society for Economic Measurement (SEM) in 2018, Fellow of the International Association for Applied Econometrics (IAAE) in 2020, and Fellow of the Journal of Econometrics in 2021. He served as Chair of the Finance Department for the period 2015-2017, and he is currently the program Chair for the Soc
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, Journal of Econometrics, and Management Science.
Professor Andersen has consulted for the Brattle Group, Charles River Associates, trading firms, the Federal Reserve Board of Governors, regional Federal Reserve Banks, foreign Central Banks, and universities. He received his PhD in Economics from Yale University.
- Financial Econometrics
- Asset Pricing
- Empirical Finance
- International Finance
- Market Microstructure
- International Finance
- Financial Econometrics
- Empirical Finance
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PhD, 1992, Economics, Yale University
MPhil, 1988, Economics, Yale University
MA, 1985, Economics, Mathematics, University of Aarhus
BA, 1980, Economics, University of Aarhus -
International Fellow, Center for Research in Econometric Analysis of Economic Time Series, 2007-present
Director, Kellogg School of Management, Northwestern University, 2006-present
Nathan S. and Mary P. Sharp Distinguished Professor of Finance, Kellogg School of Management, Northwestern University, 2000-present
Research Associate, National Bureau of Economic Research, 2000-present
Associate Professor, Kellogg School of Management, Northwestern University, 1997-2000
Assistant Professor, Kellogg School of Management, Northwestern University, 1991-1997 -
Conference in Honor of Torben G. Andersen's 65th Birthday - "Advances in Financial Econometrics", Copenhagen Business School, June 9-10, 2023
Ranked number 383 worldwide and 271 within the U.S. on
list of "Best Economics and Finance Scientists" compiled by Research.com, .Research.com
Certificate of Top Cited Publication, Quantitative Economics, Wiley
Grant Recipient, "VIX Maturity Interpolation", Options Institute, Cboe Global Markets, 2023-2024
Bates-White Prize for the Best Paper at 2022 Annual Meeting of SoFiE.
The Annual Meeting of the Society for Financial Econometrics was held at the University of Cambridge, United Kingdom, June 24-27, 2022.
The award was for the paper "Intraday Cross-Sectional Distributions of Systematic Risk," which is written by Torben G. Andersen (Kellogg Finance), Raul Riva (PhD Student, Kellogg Finance), Martin Thyrsgaard (prior Visiting Scholar, Kellogg Finance), and Viktor Todorov (Kellogg Finance)., Society for Financial Econometrics, 2022-2023
Elected Distinguished Fellow of the International Engineering and Technology Institute, IETI., International Engineering and Technology Institute (IETI), Indefinite
Fellow, Journal of Econometrics, Indefinite
Fellow, Journal of Econometrics, Journal of Econometrics, Indefinite
Elected Fellow, Econometric Society, Permanent
Elected Fellow, International Association for Applied Econometrics, Permanent
Elected Fellow of the International Association for Applied Econometrics, International Association for Applied Econometrics, Permanent
ET Lecture 2019, "Spatial Dependence in Option Observation Errors." Paper featured in Econometric Theory., Symposium for Econometric Theory and Applications
Presented the Econometric Theory, or ET Lecture, in Osaka, Japan, June 2019, on the topic "Spatial Dependence in Option Observation Errors." The corresponding paper will be featured in a forthcoming issue of the journal Econometric Theory, Symposium on Econometric Theory and Applications, Lecture published
Elected Fellow, Society for Economic Measurement
NSF Grant: "Econometric Tools for Analysis of Derivatives Data", National Science Foundation, Four Years
The Program Director, Annual Global Conference, CREATES, Aarhus Denmark, Society of Financial Econometrics (SoFiE)
RIGMOR OG CARL HOLST-KNUDSENS VIDENSKABSPRIS (Science Prize), University of Aarhus, Aarhus, Denmark
Elected Fellow, Society of Financial Econometrics (SoFiE)
AQR Prize, Finalist, April, 2014, AQR, Greenwich, CT -
Co-Editor, Journal of Econometrics, 2019-2024
Managing Editor, Journal of Financial Econometrics, 2009-2014
Editor, Journal of Business and Economic Statistics, 2004-2006
Asset Pricing III (FINC-585-3)
This course covers topics in the empirical asset pricing literature with an emphasis on recent developments. Topics include: Latent factor models; GMM theory and applications in finance; return predictability; performance evaluation; affine asset pricing models; Estimation of asset risk premia; estimation of volatility and jump risks from low/high frequency data; empirical derivatives pricing using parametric and nonparametric methods.
Asset Pricing II (FINC-585-2)
This course covers recent developments in asset pricing theory, placing emphasis on the link between financial markets and the real economy. The topics covered include: models of portfolio choice, general equilibrium models of risk and return, and models with financial frictions.
Finance I (FINCM-430-0)
Finance I (FINC-430-0)
Finance 1 answers managers' and investors' most fundamental finance question: how should a project or an asset be valued? Managers must determine the value of building a factory, entering a new market, or purchasing an entire firm when deciding in which projects to invest. Similarly, individuals must assess the value of financial securities to decide how to invest their wealth. Using a combination of lectures and business cases, Finance 1 teaches the discounted cash flow and multiples methods to value projects or assets. These valuation tools lay the foundation for all work in capital markets and corporate finance.
Prerequisite: Business Analytics I (DECS-430-5)
Corequisite/Prerequisite: Accounting for Decision Making (ACCT-430) and Business Analytics II (DECS 431-0)
Corporate Finance (BUS_INST-304-0)
Effects of time and uncertainty on valuation and decision making. Discounting techniques, stock and bond valuation, capital budgeting, firm valuation, capital asset pricing model, financial options. May not receive credit for both this course and ECON 360-1. Not for students who have previously taken KELLG_FE 310-0. Prerequisites: ECON 201-0 and ECON 202-0; STAT 210-0 or equivalent; MATH 218-1 or MATH 220-1; and BUS_INST 301-0.
