1. Return volatility and trading volume: an information flow interpretation of stochastic volatility;Andersen;Journal of Finance,1996
2. Answering the skeptics;Andersen;International Economic Review,1998
3. Construction and interpretation of model-free implied volatility;Andersen,2007
4. Andersen, T.G., Bondarenko, O., 2013. Assessing VPIN measurement of order flow toxicity via perfect trade classification. Working Paper, Kellogg School of Management, Northwestern University, and College of Business Administration, University of Illinois at Chicago.
5. Andersen, T.G., Bondarenko, O., Gonzalez-Perez, M.T., 2011. A corridor fix for VIX: constructing a coherent model-free option implied volatility measure. Working Paper, Kellogg School of Management, Northwestern University and College of Business Administration, University of Illinois at Chicago.