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Details about Tim Bollerslev

E-mail:
Homepage:http://www.econ.duke.edu/~boller
Phone:919-660-1846
Postal address:Department of Economics, Duke University, Durham, NC 27708
Workplace:Department of Economics, Duke University, (more information at EDIRC)
National Bureau of Economic Research (NBER), (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Tim Bollerslev.

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Short-id: pbo66


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Working Papers

2013

  1. Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions
    Working Papers, Duke University, Department of Economics Downloads View citations (1)

2012

  1. Financial Risk Measurement for Financial Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2011) Downloads
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) Downloads
  2. Stock Return and Cash Flow Predictability: The Role of Volatility Risk
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads

2011

  1. Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads
  2. Stock return predictability and variance risk premia: statistical inference and international evidence
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)

2010

  1. A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
    Working Papers, Duke University, Department of Economics Downloads
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2009)
  2. Estimation of Jump Tails
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads
    Also in Working Papers, Duke University, Department of Economics (2010) Downloads

    See also Journal Article in Econometrica (2011)
  3. Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads
    See also Journal Article in Journal of Econometrics (2013)
  4. Tails, Fears and Risk Premia
    Working Papers, Duke University, Department of Economics Downloads
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2009) Downloads View citations (3)

    See also Journal Article in Journal of Finance (2011)
  5. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2009) Downloads View citations (1)
    Working Papers, Duke University, Department of Economics (2009) Downloads View citations (1)

    See also Journal Article in Review of Finance (2011)

2008

  1. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
    Working Papers, Queen's University, Department of Economics Downloads
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007) Downloads View citations (18)

    See also Journal Article in Journal of Applied Econometrics (2010)
  2. Expected Stock Returns and Variance Risk Premia
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (9)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2006) Downloads View citations (9)
    CREATES Research Papers, School of Economics and Management, University of Aarhus (2007) Downloads View citations (18)

    See also Journal Article in Review of Financial Studies (2009)
  3. Glossary to ARCH (GARCH)
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (14)

2007

  1. 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 Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2011)
  2. 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 Downloads View citations (2)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2004) Downloads View citations (18)

    See also Journal Article in Journal of Econometrics (2011)
  3. Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads
    See also Journal Article in Journal of Econometrics (2010)
  4. 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 Downloads View citations (28)
    See also Journal Article in Journal of Econometrics (2007)
  5. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (117)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) Downloads View citations (13)

    See also Journal Article in Journal of International Economics (2007)
  6. Risk, Jumps, and Diversification
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2008)
  7. 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 Downloads View citations (172)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (11)

    See also Journal Article in The Review of Economics and Statistics (2007)

2005

  1. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (30)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (32)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) Downloads View citations (30)

    See also Journal Article in American Economic Review (2005)
  2. 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 Downloads View citations (7)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (10)

    See also Chapter (2007)
  3. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) Downloads View citations (81)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2004) Downloads View citations (10)
  4. Volatility Forecasting
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) Downloads View citations (41)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (22)

2004

  1. Realized Beta: Persistence and Predictability
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (8)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2004) Downloads View citations (9)

2003

  1. 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 Downloads View citations (20)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2003) Downloads View citations (11)
  2. 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.) Downloads View citations (6)

2002

  1. Analytic Evaluation of Volatility Forecasts
    CIRANO Working Papers, CIRANO Downloads View citations (12)
    See also Journal Article in International Economic Review (2004)
  2. CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) Downloads View citations (14)
    CIRANO Working Papers, CIRANO (2002) Downloads View citations (4)
  3. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    Working Papers, Duke University, Department of Economics Downloads View citations (13)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) Downloads View citations (54)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (15)
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2002) Downloads View citations (14)

    See also Journal Article in American Economic Review (2003)
  4. Modeling and Forecasting Realized Volatility
    Working Papers, Duke University, Department of Economics Downloads View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (34)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2001) Downloads View citations (19)

    See also Journal Article in Econometrica (2003)
  5. Parametric and Nonparametric Volatility Measurement
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (31)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) Downloads View citations (45)

2001

  1. 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.) Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2002)

2000

  1. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (43)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) Downloads View citations (7)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) Downloads View citations (10)
  2. The Distribution of Stock Return Volatility
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (21)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (31)

1999

  1. (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- Downloads View citations (8)
  2. High frequency data, frequency domain inference and volatility forecasting
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads
    See also Journal Article in The Review of Economics and Statistics (2001)
  3. The Distribution of Exchange Rate Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (37)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) Downloads View citations (78)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) Downloads View citations (32)

1998

  1. Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

1997

  1. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)

1996

  1. DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
  2. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (31)
    See also Journal Article in Journal of Finance (1997)

1994

  1. On Periodic Autogressive Conditional Heteroskedasticity
    CIRANO Working Papers, CIRANO Downloads
  2. Periodic Autoregressive Conditional Heteroskedasticity
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (8)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) Downloads View citations (18)

    See also Journal Article in Journal of Business & Economic Statistics (1996)

1993

  1. Cointegration, Fractional Cointegration, and Exchange RAte Dynamics
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (14)
    See also Journal Article in Journal of Finance (1994)
  2. 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

  1. Financial Market Efficiency Tests
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)

1991

  1. Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange
    Working Papers, Tilburg - Center for Economic Research
  2. Bear Squeezes in the Hyperinflation 1920s Foreign Exchange
    Working Papers, Michigan State - Econometrics and Economic Theory
  3. Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    See also Journal Article in Journal of International Money and Finance (1993)

1990

  1. 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

  1. INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (31)
    See also Journal Article in Review of Economic Studies (1991)

1988

  1. FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES
    Working Papers, Michigan State - Econometrics and Economic Theory
  2. Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (108)

1986

  1. Generalized autoregressive conditional heteroskedasticity
    EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels Downloads View citations (851)
    See also Journal Article in Journal of Econometrics (1986)

Journal Articles

2013

  1. Jump tails, extreme dependencies, and the distribution of stock returns
    Journal of Econometrics, 2013, 172, (2), 307-324 Downloads View citations (3)
    See also Working Paper (2010)
  2. Risk and return: Long-run relations, fractional cointegration, and return predictability
    Journal of Financial Economics, 2013, 108, (2), 409-424 Downloads View citations (3)

2011

  1. A reduced form framework for modeling volatility of speculative prices based on realized variation measures
    Journal of Econometrics, 2011, 160, (1), 176-189 Downloads View citations (16)
    See also Working Paper (2007)
  2. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
    Journal of Econometrics, 2011, 160, (1), 235-245 Downloads View citations (30)
    Also in Proceedings, 2005 (2005) Downloads View citations (1)

    See also Working Paper (2007)
  3. Estimation of Jump Tails
    Econometrica, 2011, 79, (6), 1727-1783 Downloads View citations (7)
    See also Working Paper (2010)
  4. Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction
    Journal of Time Series Econometrics, 2011, 3, (1), 1-8 Downloads
  5. Realized volatility forecasting and market microstructure noise
    Journal of Econometrics, 2011, 160, (1), 220-234 Downloads View citations (29)
  6. Tails, Fears, and Risk Premia
    Journal of Finance, 2011, 66, (6), 2165-2211 Downloads View citations (41)
    See also Working Paper (2010)
  7. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    Review of Finance, 2011, 16, (1), 31-80 Downloads View citations (11)
    See also Working Paper (2010)

2010

  1. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
    Journal of Applied Econometrics, 2010, 25, (2), 233-261 Downloads View citations (19)
    See also Working Paper (2008)
  2. Jumps and betas: A new framework for disentangling and estimating systematic risks
    Journal of Econometrics, 2010, 157, (2), 220-235 Downloads View citations (11)
    See also Working Paper (2007)

2009

  1. A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects
    Journal of Econometrics, 2009, 150, (2), 151-166 Downloads View citations (32)
    See also Working Paper (2010)
  2. Expected Stock Returns and Variance Risk Premia
    Review of Financial Studies, 2009, 22, (11), 4463-4492 Downloads View citations (91)
    See also Working Paper (2008)

2008

  1. Risk, jumps, and diversification
    Journal of Econometrics, 2008, 144, (1), 234-256 Downloads View citations (21)
    See also Working Paper (2007)

2007

  1. Investor Attention and Time-varying Comovements
    European Financial Management, 2007, 13, (3), 394-422 Downloads View citations (3)
  2. 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 Downloads View citations (35)
    See also Working Paper (2007)
  3. Real-time price discovery in global stock, bond and foreign exchange markets
    Journal of International Economics, 2007, 73, (2), 251-277 Downloads View citations (91)
    See also Working Paper (2007)
  4. 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 Downloads View citations (161)
    See also Working Paper (2007)

2006

  1. Comment
    Journal of Business & Economic Statistics, 2006, 24, 173-179 Downloads
  2. Leverage and Volatility Feedback Effects in High-Frequency Data
    Journal of Financial Econometrics, 2006, 4, (3), 353-384 Downloads View citations (39)
  3. Volatility puzzles: a simple framework for gauging return-volatility regressions
    Journal of Econometrics, 2006, 131, (1-2), 123-150 Downloads View citations (48)

2005

  1. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    American Economic Review, 2005, 95, (2), 398-404 Downloads View citations (29)
    See also Working Paper (2005)
  2. Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
    Econometrica, 2005, 73, (1), 279-296 Downloads View citations (67)
  3. Stock returns and volatility: pricing the long-run and short-run components of market risk
    Proceedings, 2005 Downloads View citations (2)

2004

  1. ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
    International Economic Review, 2004, 45, (4), 1079-1110 Downloads View citations (66)
    See also Working Paper (2002)
  2. 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 Downloads

2003

  1. Measuring and modeling systematic risk in factor pricing models using high-frequency data
    Journal of Empirical Finance, 2003, 10, (5), 533-558 Downloads View citations (23)
  2. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    American Economic Review, 2003, 93, (1), 38-62 Downloads View citations (318)
    See also Working Paper (2002)
  3. Modeling and Forecasting Realized Volatility
    Econometrica, 2003, 71, (2), 579-625 Downloads View citations (662)
    See also Working Paper (2002)

2002

  1. 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 Downloads View citations (16)
  2. Estimating stochastic volatility diffusion using conditional moments of integrated volatility
    Journal of Econometrics, 2002, 109, (1), 33-65 Downloads View citations (90)
    See also Working Paper (2001)
  3. The Message in Daily Exchange Rates: A Conditional-Variance Tale
    Journal of Business & Economic Statistics, 2002, 20, (1), 60-68 View citations (3)
    Also in Journal of Business & Economic Statistics, 1989, 7, (3), 297-305 (1989) View citations (224)

2001

  1. Financial econometrics: Past developments and future challenges
    Journal of Econometrics, 2001, 100, (1), 41-51 Downloads View citations (13)
  2. High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting
    The Review of Economics and Statistics, 2001, 83, (4), 596-602 Downloads View citations (17)
    See also Working Paper (1999)
  3. The Distribution of Realized Exchange Rate Volatility
    Journal of the American Statistical Association, 2001, 96, 42-55 Downloads View citations (438)
  4. The distribution of realized stock return volatility
    Journal of Financial Economics, 2001, 61, (1), 43-76 Downloads View citations (402)

2000

  1. Intraday and interday volatility in the Japanese stock market
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (2), 107-130 Downloads View citations (43)
  2. Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
    Journal of Econometrics, 2000, 98, (1), 81-106 Downloads View citations (41)
  3. The forward premium anomaly is not as bad as you think
    Journal of International Money and Finance, 2000, 19, (4), 471-488 Downloads View citations (120)

1999

  1. 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 (36)
  2. Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
    Journal of Empirical Finance, 1999, 6, (5), 457-477 Downloads View citations (56)
  3. Long-term equity anticipation securities and stock market volatility dynamics
    Journal of Econometrics, 1999, 92, (1), 75-99 Downloads View citations (61)

1998

  1. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
    International Economic Review, 1998, 39, (4), 885-905 View citations (506)
  2. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
    Journal of Finance, 1998, 53, (1), 219-265 Downloads View citations (184)

1997

  1. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
    Journal of Finance, 1997, 52, (3), 975-1005 Downloads View citations (122)
    See also Working Paper (1996)
  2. Intraday periodicity and volatility persistence in financial markets
    Journal of Empirical Finance, 1997, 4, (2-3), 115-158 Downloads View citations (292)
  3. 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 Downloads View citations (21)

1996

  1. Fractionally integrated generalized autoregressive conditional heteroskedasticity
    Journal of Econometrics, 1996, 74, (1), 3-30 Downloads View citations (518)
  2. Modeling and pricing long memory in stock market volatility
    Journal of Econometrics, 1996, 73, (1), 151-184 Downloads View citations (300)
  3. Periodic Autoregressive Conditional Heteroscedasticity
    Journal of Business & Economic Statistics, 1996, 14, (2), 139-51 View citations (67)
    See also Working Paper (1994)

1995

  1. Dan Nelson Remembered
    Journal of Business & Economic Statistics, 1995, 13, (4), 361-64 View citations (2)

1994

  1. Bid--ask spreads and volatility in the foreign exchange market: An empirical analysis
    Journal of International Economics, 1994, 36, (3-4), 355-372 Downloads View citations (56)
  2. Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
    Journal of Finance, 1994, 49, (2), 737-45 Downloads View citations (95)
    See also Working Paper (1993)
  3. The long memory of the forward premium
    Journal of International Money and Finance, 1994, 13, (5), 565-571 Downloads View citations (87)
    See also Working Paper (1993)

1993

  1. Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
    Journal of International Money and Finance, 1993, 12, (5), 511-521 Downloads View citations (7)
    See also Working Paper (1991)
  2. Common Persistence in Conditional Variances
    Econometrica, 1993, 61, (1), 167-86 Downloads View citations (85)
  3. Trading Patterns and Prices in the Interbank Foreign Exchange Market
    Journal of Finance, 1993, 48, (4), 1421-43 Downloads View citations (137)

1992

  1. ARCH modeling in finance: A review of the theory and empirical evidence
    Journal of Econometrics, 1992, 52, (1-2), 5-59 Downloads View citations (989)
  2. Prediction in dynamic models with time-dependent conditional variances
    Journal of Econometrics, 1992, 52, (1-2), 91-113 Downloads View citations (64)
    See also Working Paper (1990)

1991

  1. Intra-day and Inter-market Volatility in Foreign Exchange Rates
    Review of Economic Studies, 1991, 58, (3), 565-85 Downloads View citations (63)
    See also Working Paper (1989)
  2. Les modéles ARCH en finance: un point sur la théorie et les résultats empiriques
    Annales d'Economie et de Statistique, 1991, (24), 1-59 Downloads View citations (2)

1990

  1. 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 Downloads View citations (56)
  2. 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 Downloads View citations (413)

1989

  1. Common Stochastic Trends in a System of Exchange Rates
    Journal of Finance, 1989, 44, (1), 167-81 Downloads View citations (186)

1988

  1. A Capital Asset Pricing Model with Time-Varying Covariances
    Journal of Political Economy, 1988, 96, (1), 116-31 Downloads View citations (617)

1987

  1. A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
    The Review of Economics and Statistics, 1987, 69, (3), 542-47 Downloads View citations (390)

1986

  1. Generalized autoregressive conditional heteroskedasticity
    Journal of Econometrics, 1986, 31, (3), 307-327 Downloads View citations (3445)
    See also Working Paper (1986)

1985

  1. 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 (1)

Edited books

2010

  1. Volatility and Time Series Econometrics: Essays in Honor of Robert Engle
    OUP Catalogue, Oxford University Press View citations (5)

Chapters

2007

  1. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    A chapter in The Risks of Financial Institutions, 2007, pp 513-548 Downloads View citations (2)
    See also Working Paper (2005)

2006

  1. Volatility and Correlation Forecasting
    Elsevier Downloads View citations (61)

1986

  1. Arch models
    Chapter 49 in Handbook of Econometrics, 1986, vol. 4, pp 2959-3038 Downloads View citations (127)

Software Items

 
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