Torben Andersen

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. He serves as Chair of the Finance Department for the period 2015-2017.

Professor Andersen has published widely in asset pricing, empirical finance, and empirical market microstructure. His work centers on 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 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.

Professor Andersen has consulted for the Brattle Group, 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.

Areas of Expertise Asset Pricing
Econometrics
Equity Markets (Stock Market)
Financial Engineering
International Finance (Exchange Rates, Current Account)
Investments and Portfolio Choice
Microeconomics

Education PhD, 1992, Economics, Yale University

MPhil, 1988, Economics, Yale University

MA, 1985, Economics, Mathematics, University of Aarhus

BA, 1980, Economics, University of Aarhus - BA

Academic Positions 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

Honors and Awards NSF Grant: "Econometric Tools for Analysis of Derivatives Data", National Science Foundation, Three 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

Fellow, Society of Financial Econometrics (SoFiE)

AQR Prize; Finalist, April, 2014, AQR; Greenwich, CT

Editorial Positions Managing Editor, Journal of Financial Econometrics, 2009-2014

Editor, Journal of Business and Economic Statistics, 2004-2006

Education Academic Positions Honors and Awards Editorial Positions