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Details about Tim Bollerslev
Access statistics for papers by Tim Bollerslev.
Last updated 2009-09-14. Update your information in the RePEc Author Service .
Short-id: pbo66
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Journal Articles Chapters
Working Papers
2009
Tails, Fears and Risk Premia
CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
CREATES Research Papers, School of Economics and Management, University of Aarhus
2008
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
Working Papers, Queen's University, Department of Economics
Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007) View citations
Expected Stock Returns and Variance Risk Premia
CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007) View citations Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations
Glossary to ARCH (GARCH)
CREATES Research Papers, School of Economics and Management, University of Aarhus
2007
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
See also Journal Article in Journal of Econometrics (2009)
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures
CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2004) View citations
See also Journal Article in Proceedings (2005)
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks
CREATES Research Papers, School of Economics and Management, University of Aarhus
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
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in Journal of Econometrics (2007)
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations
See also Journal Article in Journal of International Economics (2007)
Risk, Jumps, and Diversification
CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
See also Journal Article in Journal of Econometrics (2008)
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
See also Journal Article in The Review of Economics and Statistics (2007)
2005
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
CFS Working Paper Series, Center for Financial Studies View citations
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations
See also Journal Article in American Economic Review (2005)
Practical Volatility and Correlation Modeling for Financial Market Risk Management
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations CFS Working Paper Series, Center for Financial Studies (2005) View citations
See also Chapter (2007)
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
NBER Working Papers, National Bureau of Economic Research, Inc View citations
Also in CFS Working Paper Series, Center for Financial Studies (2004) View citations PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) View citations
Volatility Forecasting
NBER Working Papers, National Bureau of Economic Research, Inc View citations
Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations CFS Working Paper Series, Center for Financial Studies (2005) View citations
2004
Realized Beta: Persistence and Predictability
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
Also in CFS Working Paper Series, Center for Financial Studies (2004) View citations
2003
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
Also in CFS Working Paper Series, Center for Financial Studies (2003) View citations
Volatility puzzles: a unified framework for gauging return-volatility regressions
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
2002
Analytic Evaluation of Volatility Forecasts
CIRANO Working Papers, CIRANO View citations
See also Journal Article in International Economic Review (2004)
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2002) View citations CIRANO Working Papers, CIRANO (2002) View citations
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Working Papers, Duke University, Department of Economics View citations
Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2002) View citations
See also Journal Article in American Economic Review (2003)
Modeling and Forecasting Realized Volatility
Working Papers, Duke University, Department of Economics View citations
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2001) View citations
See also Journal Article in Econometrica (2003)
Parametric and Nonparametric Volatility Measurement
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations
2001
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
See also Journal Article in Journal of Econometrics (2002)
2000
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
NBER Working Papers, National Bureau of Economic Research, Inc View citations
Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations
The Distribution of Stock Return Volatility
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations
1999
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation
New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
High frequency data, frequency domain inference and volatility forecasting
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
See also Journal Article in The Review of Economics and Statistics (2001)
The Distribution of Exchange Rate Volatility
NBER Working Papers, National Bureau of Economic Research, Inc View citations
Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations
1998
Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment
NBER Working Papers, National Bureau of Economic Research, Inc View citations
1997
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
NBER Working Papers, National Bureau of Economic Research, Inc View citations
1996
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
NBER Working Papers, National Bureau of Economic Research, Inc View citations
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in Journal of Finance (1997)
1994
On Periodic Autogressive Conditional Heteroskedasticity
CIRANO Working Papers, CIRANO
Periodic Autoregressive Conditional Heteroskedasticity
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations
See also Journal Article in Journal of Business & Economic Statistics (1996)
1993
ARCH Models
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
See also Chapter (1986)
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics
Working Papers, Michigan State - Econometrics and Economic Theory View citations
See also Journal Article in Journal of Finance (1994)
The Long Memory of the Foreward Premium
Working Papers, Michigan State - Econometrics and Economic Theory
See also Journal Article in Journal of International Money and Finance (1994)
1992
Financial Market Efficiency Tests
NBER Working Papers, National Bureau of Economic Research, Inc View citations
1991
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange
Working Papers, Tilburg - Center for Economic Research
Bear Squeezes in the Hyperinflation 1920s Foreign Exchange
Working Papers, Michigan State - Econometrics and Economic Theory
1990
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES
Working Papers, Michigan State - Econometrics and Economic Theory
See also Journal Article in Journal of Econometrics (1992)
1989
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES
Working Papers, Michigan State - Econometrics and Economic Theory View citations
See also Journal Article in Review of Economic Studies (1991)
1988
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES
Working Papers, Michigan State - Econometrics and Economic Theory
Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances
Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations
Journal Articles
2009
A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects
Journal of Econometrics , 2009, 150 , (2), 151-166 View citations
See also Working Paper (2007)
2008
Risk, jumps, and diversification
Journal of Econometrics , 2008, 144 , (1), 234-256
See also Working Paper (2007)
2007
Investor Attention and Time-varying Comovements
European Financial Management , 2007, 13 , (3), 394-422
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
Journal of Econometrics , 2007, 138 , (1), 125-180 View citations
See also Working Paper (2007)
Real-time price discovery in global stock, bond and foreign exchange markets
Journal of International Economics , 2007, 73 , (2), 251-277 View citations
See also Working Paper (2007)
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
The Review of Economics and Statistics , 2007, 89 , (4), 701-720 View citations
See also Working Paper (2007)
2006
Comment
Journal of Business & Economic Statistics , 2006, 24 , 173-179
Leverage and Volatility Feedback Effects in High-Frequency Data
Journal of Financial Econometrics , 2006, 4 , (3), 353-384 View citations
Volatility puzzles: a simple framework for gauging return-volatility regressions
Journal of Econometrics , 2006, 131 , (1-2), 123-150 View citations
2005
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
American Economic Review , 2005, 95 , (2), 398-404 View citations
See also Working Paper (2005)
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
Econometrica , 2005, 73 , (1), 279-296 View citations
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Proceedings , 2005 View citations
See also Working Paper (2007)
2004
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
International Economic Review , 2004, 45 , (4), 1079-1110 View citations
See also Working Paper (2002)
Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65]
Journal of Econometrics , 2004, 119 , (1), 221-222
2003
Measuring and modeling systematic risk in factor pricing models using high-frequency data
Journal of Empirical Finance , 2003, 10 , (5), 533-558 View citations
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
American Economic Review , 2003, 93 , (1), 38-62 View citations
See also Working Paper (2002)
Modeling and Forecasting Realized Volatility
Econometrica , 2003, 71 , (2), 579-625 View citations
See also Working Paper (2002)
2002
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model
Journal of Applied Econometrics , 2002, 17 , (5), 535-548 View citations
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Journal of Econometrics , 2002, 109 , (1), 33-65 View citations
See also Working Paper (2001)
The Message in Daily Exchange Rates: A Conditional-Variance Tale
Journal of Business & Economic Statistics , 2002, 20 , (1), 60-68 View citations
Also in Journal of Business & Economic Statistics , 1989, 7 , (3), 297-305 (1989) View citations
2001
Financial econometrics: Past developments and future challenges
Journal of Econometrics , 2001, 100 , (1), 41-51 View citations
High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting
The Review of Economics and Statistics , 2001, 83 , (4), 596-602 View citations
See also Working Paper (1999)
The Distribution of Realized Exchange Rate Volatility
Journal of the American Statistical Association , 2001, 96 , 42-55 View citations
The distribution of realized stock return volatility
Journal of Financial Economics , 2001, 61 , (1), 43-76 View citations
2000
Intraday and interday volatility in the Japanese stock market
Journal of International Financial Markets, Institutions and Money , 2000, 10 , (2), 107-130 View citations
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
Journal of Econometrics , 2000, 98 , (1), 81-106 View citations
The forward premium anomaly is not as bad as you think
Journal of International Money and Finance , 2000, 19 , (4), 471-488 View citations
1999
Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies
Journal of Business & Economic Statistics , 1999, 17 , (1), 9-21 View citations
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
Journal of Empirical Finance , 1999, 6 , (5), 457-477 View citations
Long-term equity anticipation securities and stock market volatility dynamics
Journal of Econometrics , 1999, 92 , (1), 75-99 View citations
1998
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
International Economic Review , 1998, 39 , (4), 885-905 View citations
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
Journal of Finance , 1998, 53 , (1), 219-265 View citations
1997
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
Journal of Finance , 1997, 52 , (3), 975-1005 View citations
See also Working Paper (1996)
Intraday periodicity and volatility persistence in financial markets
Journal of Empirical Finance , 1997, 4 , (2-3), 115-158 View citations
Order flow and the bid-ask spread: An empirical probability model of screen-based trading
Journal of Economic Dynamics and Control , 1997, 21 , (8-9), 1471-1491 View citations
1996
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Journal of Econometrics , 1996, 74 , (1), 3-30 View citations
Modeling and pricing long memory in stock market volatility
Journal of Econometrics , 1996, 73 , (1), 151-184 View citations
Periodic Autoregressive Conditional Heteroscedasticity
Journal of Business & Economic Statistics , 1996, 14 , (2), 139-51 View citations
See also Working Paper (1994)
1995
Dan Nelson Remembered
Journal of Business & Economic Statistics , 1995, 13 , (4), 361-64 View citations
1994
Bid--ask spreads and volatility in the foreign exchange market: An empirical analysis
Journal of International Economics , 1994, 36 , (3-4), 355-372 View citations
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
Journal of Finance , 1994, 49 , (2), 737-45 View citations
See also Working Paper (1993)
The long memory of the forward premium
Journal of International Money and Finance , 1994, 13 , (5), 565-571 View citations
See also Working Paper (1993)
1993
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
Journal of International Money and Finance , 1993, 12 , (5), 511-521
Common Persistence in Conditional Variances
Econometrica , 1993, 61 , (1), 167-86 View citations
Trading Patterns and Prices in the Interbank Foreign Exchange Market
Journal of Finance , 1993, 48 , (4), 1421-43 View citations
1992
ARCH modeling in finance: A review of the theory and empirical evidence
Journal of Econometrics , 1992, 52 , (1-2), 5-59 View citations
Prediction in dynamic models with time-dependent conditional variances
Journal of Econometrics , 1992, 52 , (1-2), 91-113 View citations
See also Working Paper (1990)
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Econometric Reviews , 1992, 11 , (2), 143-172 View citations
1991
Intra-day and Inter-market Volatility in Foreign Exchange Rates
Review of Economic Studies , 1991, 58 , (3), 565-85 View citations
See also Working Paper (1989)
Les modéles ARCH en finance: un point sur la théorie et les résultats empiriques
Annales d'Economie et de Statistique , 1991, (24), 01 View citations
1990
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
Journal of International Money and Finance , 1990, 9 , (3), 309-324 View citations
Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model
The Review of Economics and Statistics , 1990, 72 , (3), 498-505 View citations
1989
Common Stochastic Trends in a System of Exchange Rates
Journal of Finance , 1989, 44 , (1), 167-81 View citations
1988
A Capital Asset Pricing Model with Time-Varying Covariances
Journal of Political Economy , 1988, 96 , (1), 116-31 View citations
1987
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
The Review of Economics and Statistics , 1987, 69 , (3), 542-47 View citations
1986
Generalized autoregressive conditional heteroskedasticity
Journal of Econometrics , 1986, 31 , (3), 307-327 View citations
Modelling the persistence of conditional variances
Econometric Reviews , 1986, 5 , (1), 1-50 View citations
Reply
Econometric Reviews , 1986, 5 , (1), 81-87
1985
A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom
Oxford Bulletin of Economics and Statistics , 1985, 47 , (2), 153-70 View citations
Chapters
2007
Practical Volatility and Correlation Modeling for Financial Market Risk Management
A chapter in The Risks of Financial Institutions , 2007, pp 513-548
See also Working Paper (2005)
2006
Volatility and Correlation Forecasting
Elsevier View citations
1986
Arch models
Chapter 49 in Handbook of Econometrics , 1986, vol. 4, pp 2959-3038
See also Working Paper (1993)