Tim Bollerslev
Names
first:  Tim 
last:  Bollerslev 
Contact
email:  
homepage:  http://www.econ.duke.edu/~boller 
phone:  9196601846 
postal address:  Department of Economics, Duke University, Durham, NC 27708 
Affiliations

Duke University
→ Department of Economics (weight: 98%)
 website
 location: Durham, North Carolina (United States)

National Bureau of Economic Research (NBER) (weight: 1%)
 website
 location: Cambridge, Massachusetts (United States)

Aarhus Universitet
→ Institut for Økonomi
→ Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 1%)
 website
 location: Aarhus, Denmark
Research profile
author of:

Analytic Evaluation of Volatility Forecasts
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi 
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on HighFrequency Data and Realized Volatilities
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi 
Micro Effects of Macro Announcements: RealTime Price Discovery in Foreign Exchange
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara 
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
by Tim Bollerslev & Hao Zhou 
High frequency data, frequency domain inference and volatility forecasting
by Tim Bollerslev & Jonathan H. Wright 
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES.
by BAILLIE, R. T. & BOLLERSLEV, T. 
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES.
by BAILLIE, R. T. & BOLLERSLEV, R. T. 
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics.
by Baillie, R. T. & Bollerslev, T. 
The Long Memory of the Foreward Premium.
by Baillie, R. T. & Bollerslev, T. 
The Distribution of Exchange Rate Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys 
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys 
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys 
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange.
by Baillie, R. T. & Bollerslev, T. & Redfearn, M. 
QuasiMaximum Likelihood Estimation of Dynamic Models with TimeVarying Covariances
by Tim Bollerslev & Jeffrey M. Wooldridge 
Parametric and Nonparametric Volatility Measurement
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold 
Financial Market Efficiency Tests
by Tim Bollerslev & Robert J. Hodrick 
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the LongRun in High Frequency Returns
by Torben G. Andersen & Tim Bollerslev 
DMDollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
by Torben G. Andersen & Tim Bollerslev 
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
by Torben G. Andersen & Tim Bollerslev 
Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment
by Torben G. Anderson & Tim Bollerslev & Ashish Das 
The Distribution of Exchange Rate Volatility
by Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys 
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys 
The Distribution of Stock Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens 
Micro Effects of Macro Announcements: RealTime Price Discovery in Foreign Exchange
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega 
The Distribution of Stock Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens 
Micro Effects of Macro Announcements: RealTime Price Discovery in Foreign Exchange?
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega 
Parametric and Nonparametric Volatility Measurement
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold 
Dan Nelson Remembered.
by Bollerslev, Tim & Rossi, Peter E. 
Periodic Autoregressive Conditional Heteroscedasticity.
by Bollerslev, Tim & Ghysels, Eric 
Equity Trading Volume and Volatility: Latent Information Arrivals and Common LongRun Dependencies.
by Bollerslev, Tim & Jubinski, Dan 
The Message in Daily Exchange Rates: A ConditionalVariance Tale.
by Baillie, Richard T. & Bollerslev, Tim 
The Message in Daily Exchange Rates: A ConditionalVariance Tale.
by Baillie, Richard T. & Bollerslev, Tim 
A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom.
by Bollerslev, Tim & Hylleberg, Svend 
Common Persistence in Conditional Variances.
by Bollerslev, Tim & Engle, Robert F. 
Modeling and Forecasting Realized Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys 
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts.
by Andersen, Torben G. & Bollerslev, Tim 
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCHNIG model
by Lars Forsberg & Tim Bollerslev 
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return.
by Bollerslev, Tim 
Modelling the Coherence in Shortrun Nominal Exchange Rates: A Multivariate Generalized ARCH Model.
by Bollerslev, Tim 
HighFrequency Data, Frequency Domain Inference, And Volatility Forecasting
by Tim Bollerslev & Jonathan H. Wright 
A Capital Asset Pricing Model with TimeVarying Covariances.
by Bollerslev, Tim & Engle, Robert F. & Wooldridge, Jeffrey M. 
The long memory of the forward premium
by Baillie, Richard T. & Bollerslev, Tim 
Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 3365]
by Bollerslev, Tim & Zhou, Hao 
The Distribution of Exchange Rate Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys 
Modeling and Forecasting Realized Volatility
by Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul 
Modeling and pricing long memory in stock market volatility
by Bollerslev, Tim & Ole Mikkelsen, Hans 
Order flow and the bidask spread: An empirical probability model of screenbased trading
by Bollerslev, Tim & Domowitz, Ian & Wang, Jianxin 
The distribution of realized stock return volatility
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko 
The forward premium anomaly is not as bad as you think
by Baillie, Richard T. & Bollerslev, Tim 
On Periodic Autogressive Conditional Heteroskedasticity
by Tim Bollerslev & Eric Ghysels 
Correcting the Errors : A Note on Volatility Forecast Evaluation Based on HighFrequency Data and Realized Volatilities
by ANDERSEN, Torben G. & BOLLERSLEV, Tim & MEDDAHI, Nour 
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys 
Modeling and Forecasting Realized Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys 
Longterm equity anticipation securities and stock market volatility dynamics
by Bollerslev, Tim & Ole Mikkelsen, Hans 
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
by Baillie, Richard T. & Bollerslev, Tim 
Intraday periodicity and volatility persistence in financial markets
by Andersen, Torben G. & Bollerslev, Tim 
Fractionally integrated generalized autoregressive conditional heteroskedasticity
by Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole 
ARCH modeling in finance : A review of the theory and empirical evidence
by Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F. 
Prediction in dynamic models with timedependent conditional variances
by Baillie, Richard T. & Bollerslev, Tim 
Forecasting financial market volatility: Sample frequency visavis forecast horizon
by Andersen, Torben G. & Bollerslev, Tim & Lange, Steve 
Intraday and interday volatility in the Japanese stock market
by Andersen, Torben G. & Bollerslev, Tim & Cai, Jun 
Modeling and Forecasting Realized Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys 
Volatility puzzles: a unified framework for gauging returnvolatility regressions
by Tim Bollerslev & Hao Zhou 
Bidask spreads and volatility in the foreign exchange market : An empirical analysis
by Bollerslev, Tim & Melvin, Michael 
Measuring and modeling systematic risk in factor pricing models using highfrequency data
by Bollerslev, Tim & Zhang, Benjamin Y. B. 
Semiparametric estimation of longmemory volatility dependencies: The role of highfrequency data
by Bollerslev, Tim & Wright, Jonathan H. 
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi 
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
by Baillie, Richard T. & Bollerslev, Tim & Redfearn, Michael R. 
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES
by BAILLIE, R. T. & BOLLERSLEV, T. 
Periodic Autoregressive Conditional Heteroskedasticity.
by Bollerslev, T. & Ghysels, E. 
Bear Squeezes in the Hyperinflation 1920s Foreign Exchange.
by Baillie, R. T. & Bollerslev, T. & Redfearn, M. R. 
Periodic Autoregressive Conditional Heteroskedasticity.
by Bollerslev, T. & Ghysels, E. 
Practical Volatility and Correlation Modeling for Financial Market Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Realized Beta: Persistence and Predictability
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu 
Correcting the Errors: Volatility Forecast Evaluation Using HighFrequency Data and Realized Volatilities
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi 
RealTime Price Discovery in Stock, Bond and Foreign Exchange Markets
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega 
Practical Volatility and Correlation Modeling for Financial Market Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Volatility Forecasting
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Volatility Forecasting
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu 
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu 
RealTime Price Discovery in Stock, Bond and Foreign Exchange Markets
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega 
Dynamic estimation of volatility risk premia and investor risk aversion from optionimplied and realized volatilities
by Tim Bollerslev & Michael S. Gibson & Hao Zhou 
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold 
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
by Bollerslev, Tim & Zhou, Hao 
Financial econometrics: Past developments and future challenges
by Bollerslev, Tim 
Trading Patterns and Prices in the Interbank Foreign Exchange Market.
by Bollerslev, Tim & Domowitz, Ian 
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the LongRun in High Frequency Returns.
by Andersen, Torben G. & Bollerslev, Tim 
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics.
by Baillie, Richard T. & Bollerslev, Tim 
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold 
Arch models
by Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B.
edited by 
Leverage and Volatility Feedback Effects in HighFrequency Data
by Tim Bollerslev & Julia Litvinova & George Tauchen 
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu 
Volatility puzzles: a simple framework for gauging returnvolatility regressions
by Bollerslev, Tim & Zhou, Hao 
Generalized autoregressive conditional heteroskedasticity
by Bollerslev, Tim 
Noarbitrage semimartingale restrictions for continuoustime volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
by Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav 
Comment
by Andersen, Torben G. & Bollerslev, Tim & Frederiksen, Per Houmann & Nielsen, Morten Orregaard 
NoArbitrage SemiMartingale Restrictions for ContinuousTime Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications
by Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev 
Realtime price discovery in global stock, bond and foreign exchange markets
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega 
The Distribution of Realized Exchange Rate Volatility
by Andersen T. G. & Bollerslev T. & Diebold F. X. & Labys P. 
Expected stock returns and variance risk premia
by Tim Bollerslev & Hao Zhou 
Volatility and Correlation Forecasting
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.
edited by 
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold 
A DiscreteTime Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
by Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen 
Continuoustime Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns
by Tim Bollerslev & Morten Ã. Nielsen & Per Houmann Frederiksen & Torben G. Andersen 
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures
by Torben G. Andersen & Tim Bollerslev & Xin Huang 
RealTime Price Discovery in Global Stock, Bond and Foreign Exchange Markets
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega 
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks
by Viktor Todorov & Tim Bollerslev 
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold 
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from OptionImplied and Realized Volatilities
by Tim Bollerslev & Michael Gibson & Hao Zhou 
ContinuousTime Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
by Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen 
Expected Stock Returns and Variance Risk Premia
by Tim Bollerslev & Hao Zhou 
Glossary to ARCH (GARCH)
by Tim Bollerslev 
Risk, Jumps, and Diversification
by Tim Bollerslev & Tzuo Hann Law & George Tauchen 
Expected Stock Returns and Variance Risk Premia
by Tim Bollerslev & Tzuo Hao & George Tauchen 
Realtime price discovery in global stock, bond and foreign exchange markets
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara 
Risk, jumps, and diversification
by Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George 
Micro Effects of Macro Announcements: RealTime Price Discovery in Foreign Exchange
by Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara 
Micro Effects of Macro Announcements: RealTime Price Discovery in Foreign Exchange
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega 
Investor Attention and Time‐varying Comovements
by Lin Peng & Wei Xiong & Tim Bollerslev 
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
by Tim Bollerslev & Natalia Sizova & George Tauchen 
Practical Volatility and Correlation Modeling for Financial Market Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold
edited by 
A discretetime model for daily S & P500 returns and realized variations: Jumps and leverage effects
by Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George 
Stock returns and volatility: pricing the longrun and shortrun components of market risk
by Tobias Adrian & Joshua V. Rosenberg 
Tails, Fears and Risk Premia
by Tim Bollerslev & Viktor Todorov 
Expected Stock Returns and Variance Risk Premia
by Tim Bollerslev & George Tauchen & Hao Zhou 
Continuoustime models, realized volatilities, and testable distributional implications for daily stock returns
by Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen 
Estimation of Jump Tails
by Tim Bollerslev & Viktor Todorov 
Estimation of Jump Tails
by Tim Bollerslev & Viktor Todorov 
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
by Tim Bollerslev & Natalia Sizova & George Tauchen 
A DiscreteTime Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
by Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen 
Dynamic estimation of volatility risk premia and investor risk aversion from optionimplied and realized volatilities
by Tim Bollerslev & Michael S. Gibson & Hao Zhou 
Tails, Fears and Risk Premia
by Tim Bollerslev & Viktor Todorov 
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
by Tim Bollerslev & Natalia Sizova & George Tauchen 
Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns
by Tim Bollerslev & Viktor Todorov 
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
by Andersen, Torben G. & Bollerslev, Tim & Huang, Xin 
Realized volatility forecasting and market microstructure noise
by Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour 
Jumps and betas: A new framework for disentangling and estimating systematic risks
by Todorov, Viktor & Bollerslev, Tim 
Dynamic estimation of volatility risk premia and investor risk aversion from optionimplied and realized volatilities
by Bollerslev, Tim & Gibson, Michael & Zhou, Hao 
Periodicity, Nonstationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction
by Bollerslev Tim & Christensen Bent Jesper & Haldrup Niels & Lunde Asger 
Stock return predictability and variance risk premia: statistical inference and international evidence
by Tim Bollerslev & James Marrone & Lai Xu & Hao Zhou 
Financial Risk Measurement for Financial Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Financial Risk Measurement for Financial Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
by Tim Bollerslev & Natalia Sizova & George Tauchen 
Risk and Return: LongRun Relationships, Fractional Cointegration, and Return Predictability
by Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen 
Tails, Fears, and Risk Premia
by TIM BOLLERSLEV & VIKTOR TODOROV 
Estimation of Jump Tails
by Tim Bollerslev & Viktor Todorov 
Financial Risk Measurement for Financial Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Jump tails, extreme dependencies, and the distribution of stock returns
by Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi 
Practical volatility and correlation modeling for financial market risk management
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. 
A framework for exploring the macroeconomic determinants of systematic risk
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin 
Realtime price discovery in stock, bond and foreign exchange markets
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara 
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
by Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold 
Volatility forecasting
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. 
Generalized autoregressive conditional heteroskedasticity
by Tim Bollerslev 
Daily House Price Indexes: Construction, Modeling, and LongerRun Predictions
by Tim Bollerslev & Andrew J. Patton & Wang Wenjing 
Realized beta: Persistence and predictability
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin 
Risk and return: Longrun relations, fractional cointegration, and return predictability
by Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George 
Stock Return and Cash Flow Predictability: The Role of Volatility Risk
by Tim Bollerslev & Lai Xu & Hao Zhou 
CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGHFREQUENCY DATA AND REALIZED VOLATILITIES
by Torben G. ANDERSEN & Tim BOLLERSLEV & Nour MEDDAHI 
Roughing up Beta: Continuous vs. Discontinuous Betas, and the CrossSection of Expected Stock Returns
by Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov 
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
by Baillie, R. & Bollerslev, T. & Redfearn, M. R. 
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg 
Tail Risk Premia and Return Predictability
by Tim Bollerslev & Viktor Todorov & Lai Xu 
Daily House Price Indices: Construction, Modeling, and LongerRun Predictions
by Tim Bollerslev & Andrew J. Patton & Wenjing Wang 
Timevarying jump tails
by Bollerslev, Tim & Todorov, Viktor 
Stock return and cash flow predictability: The role of volatility risk
by Bollerslev, Tim & Xu, Lai & Zhou, Hao 
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
by Bollerslev, Tim & Marrone, James & Xu, Lai & Zhou, Hao 
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys 
Tail risk premia and return predictability
by Bollerslev, Tim & Todorov, Viktor & Xu, Lai 
ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS
by Tim Bollerslev 
Towards a unified framework for high and low frequency return volatility modeling
by T. G. Andersen & T. Bollerslev 
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns
by Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor 
Highdimensional multivariate realized volatility estimation
by Bollerslev, Tim & Meddahi, Nour & Nyawa, Serge 
Risk Everywhere: Modeling and Managing Volatility
by Tim Bollerslev & Benjamin Hood & John Huss & Lasse Heje Pedersen 
Risk Everywhere: Modeling and Managing Volatility
by Bollerslev, Tim & Hood, Benjamin & Huss, John & Pedersen, Lasse Heje 
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg 
ContinuousTime Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
by Andersen, Torben G. & Bollerslev, Tim & Frederiksen, Per & Orregaard Nielsen, Morten 
IntraDay and InterMarket Volatility in Foreign Exchange Rates
by Richard T. Baillie & Tim Bollerslev 
Volume, Volatility and Public News Announcements
by Tim Bollerslev & Jia Li & Yuan Xue 
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
by Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier 
Financial Risk Measurement for Financial Risk Management
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.
edited by 
es modéles ARCH en finance : un point sur la théorie et les résultats empiriques
by Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner  L. 
Exploiting the errors: A simple approach for improved volatility forecasting
by Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier 
Volume, Volatility, and Public News Announcements
by Tim Bollerslev & Jia Li & Yuan Xue 
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions
by Tim Bollerslev & Andrew J. Patton & Wenjing Wang 
Volatility Forecasting
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold 
Good Volatility, Bad Volatility, and the Cross Section of Stock Returns
by Bollerslev, Tim & Li, Sophia Zhengzi & Zhao, Bingzhi 
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu 
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns
by Torben G. Andersen & Tim Bollerslev & Ashish Das 
Practical Volatility and Correlation Modeling for Financial Market Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Realized Beta: Persistence and Predictability
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu 
RealTime Price Discovery in Stock, Bond and Foreign Exchange Markets
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega 
Realized Semicovariances
by Tim Bollerslev & Jia Li & Andrew J. Patton & Rogier Quaedvlieg 
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
by Baillie, R. & Bollerslev, T. & Redfearn, M. R. 
Multivariate leverage effects and realized semicovariance GARCH models
by Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier
editor of:

Volatility and Time Series Econometrics: Essays in Honor of Robert Engle
edited by Bollerslev, Tim & Russell, Jeffrey & Watson, Mark