2 New Indices to Measure Stock Market Volatility
Unlike the VIX, these indices—SPOTVOL and LTV—distinguish between day-to-day volatility and investor fears of a “black swan” event.
Researchers: Torben Andersen, Chun He and Viktor Todorov
March 1, 2025
What Will It Take to Regulate the Stock Markets?
Better data and better cooperation are needed.
Researchers: Torben Andersen
January 5, 2015
Volatile Assets
Why we know less about bonds than we thought
Researchers: Torben Andersen and Luca Benzoni
July 2, 2012
The Trouble with VPIN
New economic indicator fails to live up to its promises
Researchers: Torben Andersen and Oleg Bondarenko
April 2, 2012
Currency Exchange Rates
Micro effects of macro announcements
Researchers: Torben Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega
August 1, 2009
The VIX, CIV, and MFIV
Measuring up the accuracy of option-based predictors of volatility
Researchers: Torben Andersen and Oleg Bondarenko
September 1, 2008
