Torben Andersen, Northwestern University, USA
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 a co-editor of the Journal of Econometrics.
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.
Kim Christensen, Aarhus University, Denmark
Kim Christensen acquired his PhD from Aarhus School of Business, Aarhus University in 2007. His research interests include financial econometrics, particularly the modelling of financial markets volatility using high-frequency data (intraday transaction and quotation data). He has published his work in a number of leading field journals, including Journal of Econometrics and Journal of Financial Economics. He has previously held a position as an inflation-linked derivatives trader in Nordea, Copenhagen. He is the 2011 and 2019 winner of the Golden Pointer (Lecturer of the year prize awarded for teaching excellence) based on his lecture series in Statistics.
Neil Shephard, Harvard University, USA
Neil Shephard’s broad research interests are in econometrics, finance and statistics, with a particular focus on financial econometrics. He has made significant advances in developing simulation based inference methods for online learning and has
contributed methods to allow the mainstream use of high frequency financial data in economics.
He joined the Harvard faculty in 2013 as Professor of Economics and of Statistics, holding the position equally between the Economics Department and the Statistics Departments. He was chair of the Harvard University’s Department of Statistics from 2015 to 2022. In 2018 he became the Frank B. Baird, Jr. Professor of Science, still working in the Economics and Statistics Departments.
Professor Shephard is a fellow of the Econometric Society, the British Academy, the Society for Financial Econometrics and the International Association for Applied Econometrics. Professor Shephard was a faculty member at the London School of Economics from 1988-1993 and Nuffield College, Oxford from 1991 to 2013. He received his Ph.D. from the LSE in 1990.