Professor Andersen, a Professor of Finance at the Kellogg School of Management at Northwestern University, has expertise 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. In addition, he develops new estimation and inference tools for option pricing to assess risk exposures and risk pricing in the economy. He has consulted for trading firms, the Federal Reserve Board of Governors, regional Federal Reserve Banks, foreign Central Banks, and universities.
Professor Andersen is a Faculty Research Associate of the National Bureau of Economic Research (NBER) and an International Fellow of Center for Research in Econometric Analysis of Economic Time Series (CREATES) in Aarhus, Denmark. He is a fellow of Econometric Society and Society for Financial Econometrics. He has served as the editor-in-chief for the Journal of Business and Economic Statistics, Coeditor for the Journal of Financial Econometrics, and on the editorial boards of leading journals, including The Journal of Finance, The Review of Financial Studies, Econometric Theory, and Management Science.