Tim Bollerslev
Names
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Tim |
| last: |
Bollerslev |
Identifer
Contact
Affiliations
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National Bureau of Economic Research (NBER) (weight: 1%)
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Duke University
/ Department of Economics (weight: 98%)
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Aarhus Universitet
/ Institut for Økonomi
/ Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 1%)
Research profile
author of:
- A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures (RePEc:aah:create:2007-14)
by Torben G. Andersen & Tim Bollerslev & Xin Huang - Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks (RePEc:aah:create:2007-15)
by Viktor Todorov & Tim Bollerslev - Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities (RePEc:aah:create:2007-16)
by Tim Bollerslev & Michael Gibson & Hao Zhou - Expected Stock Returns and Variance Risk Premia (RePEc:aah:create:2007-17)
by Tim Bollerslev & Hao Zhou - Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (RePEc:aah:create:2007-18)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Risk, Jumps, and Diversification (RePEc:aah:create:2007-19)
by Tim Bollerslev & Tzuo Hann Law & George Tauchen - Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (RePEc:aah:create:2007-20)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (RePEc:aah:create:2007-21)
by Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen - A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects (RePEc:aah:create:2007-22)
by Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen - Expected Stock Returns and Variance Risk Premia (RePEc:aah:create:2008-48)
by Tim Bollerslev & Tzuo Hao & George Tauchen - Glossary to ARCH (GARCH) (RePEc:aah:create:2008-49)
by Tim Bollerslev - Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (RePEc:aah:create:2009-05)
by Tim Bollerslev & Natalia Sizova & George Tauchen - Tails, Fears and Risk Premia (RePEc:aah:create:2009-26)
by Tim Bollerslev & Viktor Todorov - Estimation of Jump Tails (RePEc:aah:create:2010-16)
by Tim Bollerslev & Viktor Todorov - Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns (RePEc:aah:create:2010-64)
by Tim Bollerslev & Viktor Todorov - Financial Risk Measurement for Financial Risk Management (RePEc:aah:create:2011-37)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability (RePEc:aah:create:2011-51)
by Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen - Stock Return and Cash Flow Predictability: The Role of Volatility Risk (RePEc:aah:create:2012-51)
by Tim Bollerslev & Lai Xu & Hao Zhou - Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns (RePEc:aah:create:2014-48)
by Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov - Tail Risk Premia and Return Predictability (RePEc:aah:create:2014-49)
by Tim Bollerslev & Viktor Todorov & Lai Xu - Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions (RePEc:aah:create:2015-02)
by Tim Bollerslev & Andrew J. Patton & Wenjing Wang - Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting (RePEc:aah:create:2015-14)
by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg - Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions (RePEc:aah:create:2016-10)
by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg - Volume, Volatility and Public News Announcements (RePEc:aah:create:2016-19)
by Tim Bollerslev & Jia Li & Yuan Xue - es modéles ARCH en finance : un point sur la théorie et les résultats empiriques (RePEc:adr:anecst:y:1991:i:24:p:1-59)
by Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L - Optimal Inference for Spot Regressions (RePEc:aea:aecrev:v:114:y:2024:i:3:p:678-708)
by Tim Bollerslev & Jia Li & Yuexuan Ren - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (RePEc:aea:aecrev:v:93:y:2003:i:1:p:38-62)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (RePEc:aea:aecrev:v:95:y:2005:i:2:p:398-404)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu - Unknown item RePEc:ags:quedwp:273649 (paper)
- The Distribution of Realized Exchange Rate Volatility (RePEc:bes:jnlasa:v:96:y:2001:m:march:p:42-55)
by Andersen T. G & Bollerslev T. & Diebold F. X & Labys P. - Dan Nelson Remembered (RePEc:bes:jnlbes:v:13:y:1995:i:4:p:361-64)
by Bollerslev, Tim & Rossi, Peter E - Periodic Autoregressive Conditional Heteroscedasticity (RePEc:bes:jnlbes:v:14:y:1996:i:2:p:139-51)
by Bollerslev, Tim & Ghysels, Eric - Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies (RePEc:bes:jnlbes:v:17:y:1999:i:1:p:9-21)
by Bollerslev, Tim & Jubinski, Dan - The Message in Daily Exchange Rates: A Conditional-Variance Tale (RePEc:bes:jnlbes:v:20:y:2002:i:1:p:60-68)
by Baillie, Richard T & Bollerslev, Tim - Comment (RePEc:bes:jnlbes:v:24:y:2006:p:173-179)
by Andersen, Torben G. & Bollerslev, Tim & Frederiksen, Per Houmann & Nielsen, Morten Orregaard - The Message in Daily Exchange Rates: A Conditional-Variance Tale (RePEc:bes:jnlbes:v:7:y:1989:i:3:p:297-305)
by Baillie, Richard T & Bollerslev, Tim - Investor Attention and Time‐varying Comovements (RePEc:bla:eufman:v:13:y:2007:i:3:p:394-422)
by Lin Peng & Wei Xiong & Tim Bollerslev - Trading Patterns and Prices in the Interbank Foreign Exchange Market (RePEc:bla:jfinan:v:48:y:1993:i:4:p:1421-43)
by Bollerslev, Tim & Domowitz, Ian - Cointegration, Fractional Cointegration, and Exchange Rate Dynamics (RePEc:bla:jfinan:v:49:y:1994:i:2:p:737-45)
by Baillie, Richard T & Bollerslev, Tim - Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns (RePEc:bla:jfinan:v:52:y:1997:i:3:p:975-1005)
by Andersen, Torben G & Bollerslev, Tim - Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns (RePEc:bla:jfinan:v:56:y:2001:i:1:p:305-327)
by Torben G. Andersen & Tim Bollerslev & Ashish Das - Tails, Fears, and Risk Premia (RePEc:bla:jfinan:v:66:y:2011:i:6:p:2165-2211)
by Tim Bollerslev & Viktor Todorov - On The Correlation Structure For The Generalized Autoregressive Conditional Heteroskedastic Process (RePEc:bla:jtsera:v:9:y:1988:i:2:p:121-131)
by Tim Bollerslev - A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom (RePEc:bla:obuest:v:47:y:1985:i:2:p:153-70)
by Bollerslev, Tim & Hylleberg, Svend - Towards a unified framework for high and low frequency return volatility modeling (RePEc:bla:stanee:v:52:y:1998:i:3:p:273-302)
by T. G. Andersen & T. Bollerslev - Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction (RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:1)
by Bollerslev Tim & Christensen Bent Jesper & Haldrup Niels & Lunde Asger - Unknown item RePEc:cfs:cfswop:wp200335 (paper)
- Unknown item RePEc:cfs:cfswop:wp200416 (paper)
- Unknown item RePEc:cfs:cfswop:wp200419 (paper)
- Unknown item RePEc:cfs:cfswop:wp200502 (paper)
- Unknown item RePEc:cfs:cfswop:wp200504 (paper)
- Unknown item RePEc:cfs:cfswop:wp200508 (paper)
- Analytic Evaluation of Volatility Forecasts (RePEc:cir:cirwor:2002s-90)
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi - Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities (RePEc:cir:cirwor:2002s-91)
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi - On Periodic Autogressive Conditional Heteroskedasticity (RePEc:cir:cirwor:94s-03)
by Tim Bollerslev & Eric Ghysels - Risk Everywhere: Modeling and Managing Volatility (RePEc:cpr:ceprdp:12687)
by Pedersen, Lasse Heje & Bollerslev, Tim & Hood, Benjamin & Huss, John - Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence (RePEc:cup:jfinqa:v:49:y:2014:i:03:p:633-661_00)
by Bollerslev, Tim & Marrone, James & Xu, Lai & Zhou, Hao - Good Volatility, Bad Volatility, and the Cross Section of Stock Returns (RePEc:cup:jfinqa:v:55:y:2020:i:3:p:751-781_2)
by Bollerslev, Tim & Li, Sophia Zhengzi & Zhao, Bingzhi - Modeling and Forecasting Realized Volatility (RePEc:duk:dukeec:02-12)
by Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (RePEc:duk:dukeec:02-16)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara - A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects (RePEc:duk:dukeec:10-06)
by Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen - Tails, Fears and Risk Premia (RePEc:duk:dukeec:10-33)
by Tim Bollerslev & Viktor Todorov - Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (RePEc:duk:dukeec:10-34)
by Tim Bollerslev & Natalia Sizova & George Tauchen - Estimation of Jump Tails (RePEc:duk:dukeec:10-37)
by Tim Bollerslev & Viktor Todorov - Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (RePEc:duk:dukeec:10-73)
by Tim Bollerslev & Natalia Sizova & George Tauchen - Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions (RePEc:duk:dukeec:13-29)
by Tim Bollerslev & Andrew J. Patton & Wang Wenjing - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (RePEc:ecl:upafin:02-1)
by Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara - Common Persistence in Conditional Variances (RePEc:ecm:emetrp:v:61:y:1993:i:1:p:167-86)
by Bollerslev, Tim & Engle, Robert F - Modeling and Forecasting Realized Volatility (RePEc:ecm:emetrp:v:71:y:2003:i:2:p:579-625)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities (RePEc:ecm:emetrp:v:73:y:2005:i:1:p:279-296)
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi - Estimation of Jump Tails (RePEc:ecm:emetrp:v:79:y:2011:i:6:p:1727-1783)
by Tim Bollerslev & Viktor Todorov - Order flow and the bid-ask spread: An empirical probability model of screen-based trading (RePEc:eee:dyncon:v:21:y:1997:i:8-9:p:1471-1491)
by Bollerslev, Tim & Domowitz, Ian & Wang, Jianxin - Arch models (RePEc:eee:ecochp:4-49)
by Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B. - Volatility and Correlation Forecasting (RePEc:eee:ecofch:1-15)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - Equity clusters through the lens of realized semicorrelations (RePEc:eee:ecolet:v:211:y:2022:i:c:s016517652100478x)
by Bollerslev, Tim & Patton, Andrew J. & Zhang, Haozhe - Financial econometrics: Past developments and future challenges (RePEc:eee:econom:v:100:y:2001:i:1:p:41-51)
by Bollerslev, Tim - Estimating stochastic volatility diffusion using conditional moments of integrated volatility (RePEc:eee:econom:v:109:y:2002:i:1:p:33-65)
by Bollerslev, Tim & Zhou, Hao - Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65] (RePEc:eee:econom:v:119:y:2004:i:1:p:221-222)
by Bollerslev, Tim & Zhou, Hao - Volatility puzzles: a simple framework for gauging return-volatility regressions (RePEc:eee:econom:v:131:y:2006:i:1-2:p:123-150)
by Bollerslev, Tim & Zhou, Hao - No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications (RePEc:eee:econom:v:138:y:2007:i:1:p:125-180)
by Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav - Risk, jumps, and diversification (RePEc:eee:econom:v:144:y:2008:i:1:p:234-256)
by Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George - A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects (RePEc:eee:econom:v:150:y:2009:i:2:p:151-166)
by Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George - Jumps and betas: A new framework for disentangling and estimating systematic risks (RePEc:eee:econom:v:157:y:2010:i:2:p:220-235)
by Todorov, Viktor & Bollerslev, Tim - A reduced form framework for modeling volatility of speculative prices based on realized variation measures (RePEc:eee:econom:v:160:y:2011:i:1:p:176-189)
by Andersen, Torben G. & Bollerslev, Tim & Huang, Xin - Realized volatility forecasting and market microstructure noise (RePEc:eee:econom:v:160:y:2011:i:1:p:220-234)
by Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour - Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (RePEc:eee:econom:v:160:y:2011:i:1:p:235-245)
by Bollerslev, Tim & Gibson, Michael & Zhou, Hao - Jump tails, extreme dependencies, and the distribution of stock returns (RePEc:eee:econom:v:172:y:2013:i:2:p:307-324)
by Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi - Time-varying jump tails (RePEc:eee:econom:v:183:y:2014:i:2:p:168-180)
by Bollerslev, Tim & Todorov, Viktor - Stock return and cash flow predictability: The role of volatility risk (RePEc:eee:econom:v:187:y:2015:i:2:p:458-471)
by Bollerslev, Tim & Xu, Lai & Zhou, Hao - Exploiting the errors: A simple approach for improved volatility forecasting (RePEc:eee:econom:v:192:y:2016:i:1:p:1-18)
by Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier - Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (RePEc:eee:econom:v:207:y:2018:i:1:p:71-91)
by Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier - High-dimensional multivariate realized volatility estimation (RePEc:eee:econom:v:212:y:2019:i:1:p:116-136)
by Bollerslev, Tim & Meddahi, Nour & Nyawa, Serge - Multivariate leverage effects and realized semicovariance GARCH models (RePEc:eee:econom:v:217:y:2020:i:2:p:411-430)
by Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier - Occupation density estimation for noisy high-frequency data (RePEc:eee:econom:v:227:y:2022:i:1:p:189-211)
by Zhang, Congshan & Li, Jia & Bollerslev, Tim - From zero to hero: Realized partial (co)variances (RePEc:eee:econom:v:231:y:2022:i:2:p:348-360)
by Bollerslev, Tim & Medeiros, Marcelo C. & Patton, Andrew J. & Quaedvlieg, Rogier - Reprint of: Generalized Autoregressive Conditional Heteroskedasticity (RePEc:eee:econom:v:234:y:2023:i:s:p:25-37)
by Bollerslev, Tim - Optimal nonparametric range-based volatility estimation (RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002646)
by Bollerslev, Tim & Li, Jia & Li, Qiyuan - Generalized autoregressive conditional heteroskedasticity (RePEc:eee:econom:v:31:y:1986:i:3:p:307-327)
by Bollerslev, Tim - ARCH modeling in finance : A review of the theory and empirical evidence (RePEc:eee:econom:v:52:y:1992:i:1-2:p:5-59)
by Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F. - Prediction in dynamic models with time-dependent conditional variances (RePEc:eee:econom:v:52:y:1992:i:1-2:p:91-113)
by Baillie, Richard T. & Bollerslev, Tim - Modeling and pricing long memory in stock market volatility (RePEc:eee:econom:v:73:y:1996:i:1:p:151-184)
by Bollerslev, Tim & Ole Mikkelsen, Hans - Fractionally integrated generalized autoregressive conditional heteroskedasticity (RePEc:eee:econom:v:74:y:1996:i:1:p:3-30)
by Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole - Long-term equity anticipation securities and stock market volatility dynamics (RePEc:eee:econom:v:92:y:1999:i:1:p:75-99)
by Bollerslev, Tim & Ole Mikkelsen, Hans - Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data (RePEc:eee:econom:v:98:y:2000:i:1:p:81-106)
by Bollerslev, Tim & Wright, Jonathan H. - Measuring and modeling systematic risk in factor pricing models using high-frequency data (RePEc:eee:empfin:v:10:y:2003:i:5:p:533-558)
by Bollerslev, Tim & Zhang, Benjamin Y. B. - Intraday periodicity and volatility persistence in financial markets (RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158)
by Andersen, Torben G. & Bollerslev, Tim - Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon (RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477)
by Andersen, Torben G. & Bollerslev, Tim & Lange, Steve - Financial Risk Measurement for Financial Risk Management (RePEc:eee:finchp:2-b-1127-1220)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis (RePEc:eee:inecon:v:36:y:1994:i:3-4:p:355-372)
by Bollerslev, Tim & Melvin, Michael - Real-time price discovery in global stock, bond and foreign exchange markets (RePEc:eee:inecon:v:73:y:2007:i:2:p:251-277)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara - Intraday and interday volatility in the Japanese stock market (RePEc:eee:intfin:v:10:y:2000:i:2:p:107-130)
by Andersen, Torben G. & Bollerslev, Tim & Cai, Jun - Risk and return: Long-run relations, fractional cointegration, and return predictability (RePEc:eee:jfinec:v:108:y:2013:i:2:p:409-424)
by Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George - Tail risk premia and return predictability (RePEc:eee:jfinec:v:118:y:2015:i:1:p:113-134)
by Bollerslev, Tim & Todorov, Viktor & Xu, Lai - Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns (RePEc:eee:jfinec:v:120:y:2016:i:3:p:464-490)
by Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor - Realized semibetas: Disentangling “good” and “bad” downside risks (RePEc:eee:jfinec:v:144:y:2022:i:1:p:227-246)
by Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier - The jump leverage risk premium (RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001630)
by Bollerslev, Tim & Todorov, Viktor - The distribution of realized stock return volatility (RePEc:eee:jfinec:v:61:y:2001:i:1:p:43-76)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko - Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange (RePEc:eee:jimfin:v:12:y:1993:i:5:p:511-521)
by Baillie, Richard T. & Bollerslev, Tim & Redfearn, Michael R. - The long memory of the forward premium (RePEc:eee:jimfin:v:13:y:1994:i:5:p:565-571)
by Baillie, Richard T & Bollerslev, Tim - The forward premium anomaly is not as bad as you think (RePEc:eee:jimfin:v:19:y:2000:i:4:p:471-488)
by Baillie, Richard T. & Bollerslev, Tim - A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (RePEc:eee:jimfin:v:9:y:1990:i:3:p:309-324)
by Baillie, Richard T. & Bollerslev, Tim - Generalized autoregressive conditional heteroskedasticity (RePEc:eei:rpaper:eeri_rp_1986_01)
by Tim Bollerslev - Realized Beta: Persistence and Predictability (RePEc:eme:aecozz:s0731-9053(05)20020-8)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Ginger Wu - Estimating stochastic volatility diffusion using conditional moments of integrated volatility (RePEc:fip:fedgfe:2001-49)
by Tim Bollerslev & Hao Zhou - Volatility puzzles: a unified framework for gauging return-volatility regressions (RePEc:fip:fedgfe:2003-40)
by Tim Bollerslev & Hao Zhou - Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (RePEc:fip:fedgfe:2004-56)
by Tim Bollerslev & Michael S. Gibson & Hao Zhou - Expected stock returns and variance risk premia (RePEc:fip:fedgfe:2007-11)
by Tim Bollerslev & Hao Zhou - Stock return predictability and variance risk premia: statistical inference and international evidence (RePEc:fip:fedgfe:2011-52)
by Tim Bollerslev & James Marrone & Lai Xu & Hao Zhou - High frequency data, frequency domain inference and volatility forecasting (RePEc:fip:fedgif:649)
by Tim Bollerslev & Jonathan H. Wright - Real-time price discovery in global stock, bond and foreign exchange markets (RePEc:fip:fedgif:871)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (RePEc:fip:fedgpr:y:2005:x:32)
by Tim Bollerslev & Michael S. Gibson & Hao Zhou - Stock returns and volatility: pricing the long-run and short-run components of market risk (RePEc:fip:fedgpr:y:2005:x:33)
by Tobias Adrian & Joshua V. Rosenberg - Further Results On Unit Roots And The Cointegrability Of Daily Spot And Forward Exchange Rates (RePEc:fth:mistet:8715)
by Baillie, R.T. & Bollerslev, T. - Intra Day And Inter Market Volatility In Foreign Exchange Rates (RePEc:fth:mistet:8811)
by Baillie, R.T. & Bollerslev, T. - Prediction In Dynamic Models With Time Dependent Conditional Variances (RePEc:fth:mistet:8815)
by Baillie, R.T. & Bollerslev, R.T. - Bear Squeezes in the Hyperinflation 1920s Foreign Exchange (RePEc:fth:mistet:9006)
by Baillie, R.T. & Bollerslev, T. & Redfearn, M.R. - Cointegration, Fractional Cointegration, and Exchange RAte Dynamics (RePEc:fth:mistet:9103)
by Baillie, R.T. & Bollerslev, T. - The Long Memory of the Foreward Premium (RePEc:fth:mistet:9203)
by Baillie, R.T. & Bollerslev, T. - The Distribution of Exchange Rate Volatility (RePEc:fth:nystfi:99-059)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian (RePEc:fth:nystfi:99-060)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation (RePEc:fth:nystfi:99-061)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange (RePEc:fth:tilbur:9152)
by Baillie, R.T. & Bollerslev, T. & Redfearn, M. - Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts (RePEc:ier:iecrev:v:39:y:1998:i:4:p:885-905)
by Andersen, Torben G & Bollerslev, Tim - Analytical Evaluation Of Volatility Forecasts (RePEc:ier:iecrev:v:45:y:2004:i:4:p:1079-1110)
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi - Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model (RePEc:jae:japmet:v:17:y:2002:i:5:p:535-548)
by Lars Forsberg & Tim Bollerslev - Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns (RePEc:jae:japmet:v:25:y:2010:i:2:p:233-261)
by Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen - Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian (RePEc:mfj:journl:v:4:y:2000:i:3-4:p:159-179)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances (RePEc:mit:worpap:505)
by Tim Bollerslev & Jeffrey M. Wooldridge - Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities (RePEc:mtl:montde:2002-21)
by ANDERSEN, Torben G. & BOLLERSLEV, Tim & MEDDAHI, Nour - Periodic Autoregressive Conditional Heteroskedasticity (RePEc:mtl:montde:9408)
by Bollerslev, T. & Ghysels, E. - Correcting The Errors : A Note On Volatility Forecast Evaluation Based On High-Frequency Data And Realized Volatilities (RePEc:mtl:montec:21-2002)
by Torben G. ANDERSEN & Tim BOLLERSLEV & Nour MEDDAHI - Periodic Autoregressive Conditional Heteroskedasticity (RePEc:mtl:montec:9408)
by Bollerslev, T. & Ghysels, E. - Practical Volatility and Correlation Modeling for Financial Market Risk Management (RePEc:nbr:nberch:9618)
by Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold - Parametric and Nonparametric Volatility Measurement (RePEc:nbr:nberte:0279)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Practical Volatility and Correlation Modeling for Financial Market Risk Management (RePEc:nbr:nberwo:11069)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (RePEc:nbr:nberwo:11134)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu - Volatility Forecasting (RePEc:nbr:nberwo:11188)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (RePEc:nbr:nberwo:11312)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (RePEc:nbr:nberwo:11775)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications (RePEc:nbr:nberwo:12963)
by Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev - Financial Risk Measurement for Financial Risk Management (RePEc:nbr:nberwo:18084)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Financial Market Efficiency Tests (RePEc:nbr:nberwo:4108)
by Tim Bollerslev & Robert J. Hodrick - Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns (RePEc:nbr:nberwo:5752)
by Torben G. Andersen & Tim Bollerslev - DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (RePEc:nbr:nberwo:5783)
by Torben G. Andersen & Tim Bollerslev - Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts (RePEc:nbr:nberwo:6023)
by Torben G. Andersen & Tim Bollerslev - Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment (RePEc:nbr:nberwo:6666)
by Torben G. Anderson & Tim Bollerslev & Ashish Das - The Distribution of Exchange Rate Volatility (RePEc:nbr:nberwo:6961)
by Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian (RePEc:nbr:nberwo:7488)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - The Distribution of Stock Return Volatility (RePEc:nbr:nberwo:7933)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens - Modeling and Forecasting Realized Volatility (RePEc:nbr:nberwo:8160)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (RePEc:nbr:nberwo:8959)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal
[Vulnerable Growth] (RePEc:oup:jfinec:v:20:y:2022:i:2:p:219-252.)
by Tim Bollerslev - Leverage and Volatility Feedback Effects in High-Frequency Data (RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384)
by Tim Bollerslev & Julia Litvinova & George Tauchen - Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (RePEc:oup:restud:v:58:y:1991:i:3:p:565-585.)
by Richard T. Baillie & Tim Bollerslev - Volume, Volatility, and Public News Announcements (RePEc:oup:restud:v:85:y:2018:i:4:p:2005-2041.)
by Tim Bollerslev & Jia Li & Yuan Xue - Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (RePEc:oup:revfin:v:16:y:2011:i:1:p:31-80)
by Tim Bollerslev & Natalia Sizova & George Tauchen - Expected Stock Returns and Variance Risk Premia (RePEc:oup:rfinst:v:22:y:2009:i:11:p:4463-4492)
by Tim Bollerslev & George Tauchen & Hao Zhou - Risk Everywhere: Modeling and Managing Volatility (RePEc:oup:rfinst:v:31:y:2018:i:7:p:2729-2773.)
by Tim Bollerslev & Benjamin Hood & John Huss & Lasse Heje Pedersen - Volatility and Time Series Econometrics: Essays in Honor of Robert Engle (RePEc:oxp:obooks:9780199549498)
by None - Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (RePEc:pen:papers:03-025)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Realized Beta: Persistence and Predictability (RePEc:pen:papers:04-018)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu - Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (RePEc:pen:papers:04-028)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Practical Volatility and Correlation Modeling for Financial Market Risk Management (RePEc:pen:papers:05-007)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (RePEc:pen:papers:05-009)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu - Volatility Forecasting (RePEc:pen:papers:05-011)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Financial Risk Measurement for Financial Risk Management (RePEc:pen:papers:11-037)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns (RePEc:qed:wpaper:1173)
by Tim Bollerslev & Morten Ø. Nielsen & Per Houmann Frederiksen & Torben G. Andersen - Generalized Jump Regressions for Local Moments (RePEc:taf:jnlbes:v:39:y:2021:i:4:p:1015-1025)
by Tim Bollerslev & Jia Li & Leonardo Salim Saker Chaves - Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange (RePEc:tiu:tiucen:b9d0436c-c11c-4f69-b599-6f279b71606c)
by Baillie, R. & Bollerslev, T. & Redfearn, M.R. - Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange (RePEc:tiu:tiutis:b9d0436c-c11c-4f69-b599-6f279b71606c)
by Baillie, R. & Bollerslev, T. & Redfearn, M.R. - A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (RePEc:tpr:restat:v:69:y:1987:i:3:p:542-47)
by Bollerslev, Tim - Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model (RePEc:tpr:restat:v:72:y:1990:i:3:p:498-505)
by Bollerslev, Tim - High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting (RePEc:tpr:restat:v:83:y:2001:i:4:p:596-602)
by Tim Bollerslev & Jonathan H. Wright - Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (RePEc:tpr:restat:v:89:y:2007:i:4:p:701-720)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - A Capital Asset Pricing Model with Time-Varying Covariances (RePEc:ucp:jpolec:v:96:y:1988:i:1:p:116-31)
by Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M - Realized Semicovariances (RePEc:wly:emetrp:v:88:y:2020:i:4:p:1515-1551)
by Tim Bollerslev & Jia Li & Andrew J. Patton & Rogier Quaedvlieg - Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions (RePEc:wly:japmet:v:31:y:2016:i:6:p:1005-1025)
by Tim Bollerslev & Andrew J. Patton & Wenjing Wang - Fixed‐k inference for volatility (RePEc:wly:quante:v:12:y:2021:i:4:p:1053-1084)
by Tim Bollerslev & Jia Li & Zhipeng Liao - The Distribution of Stock Return Volatility (RePEc:wop:pennin:00-27)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens - Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian (RePEc:wop:pennin:00-29)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Modeling and Forecasting Realized Volatility (RePEc:wop:pennin:01-01)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? (RePEc:wop:pennin:02-23)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Parametric and Nonparametric Volatility Measurement (RePEc:wop:pennin:02-27)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - The Distribution of Exchange Rate Volatility (RePEc:wop:pennin:99-08)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (RePEc:zbw:cfswop:200335)
by Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold, - Realized beta: Persistence and predictability (RePEc:zbw:cfswop:200416)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin - Real-time price discovery in stock, bond and foreign exchange markets (RePEc:zbw:cfswop:200419)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara - Practical volatility and correlation modeling for financial market risk management (RePEc:zbw:cfswop:200502)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - A framework for exploring the macroeconomic determinants of systematic risk (RePEc:zbw:cfswop:200504)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin - Volatility forecasting (RePEc:zbw:cfswop:200508)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.