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.

Last updated 2012-03-27. Update your information in the RePEc Author Service.

Short-id: pbo66

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Working Papers

2012

1. Financial Risk Measurement for Financial Risk Management
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2011)
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011)

2011

2. Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
   CREATES Research Papers, School of Economics and Management, University of Aarhus
3. 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.) View citations (1)

2010

4. A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
   Working Papers, Duke University, Department of Economics
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007) View citations (1)
   See also Journal Article in Journal of Econometrics (2009)
5. Estimation of Jump Tails
   CREATES Research Papers, School of Economics and Management, University of Aarhus
   Also in Working Papers, Duke University, Department of Economics (2010)
   See also Journal Article in Econometrica (2011)
6. Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns
   CREATES Research Papers, School of Economics and Management, University of Aarhus
7. Tails, Fears and Risk Premia
   Working Papers, Duke University, Department of Economics
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2009) View citations (2)
   See also Journal Article in Journal of Finance (2011)
8. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
   Working Papers, Duke University, Department of Economics View citations (1)
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2009) View citations (1)
   Working Papers, Duke University, Department of Economics (2009) View citations (1)
   See also Journal Article in Review of Finance (2011)

2008

9. 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 (15)
   See also Journal Article in Journal of Applied Econometrics (2010)
10. Expected Stock Returns and Variance Risk Premia
    CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (5)
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007) View citations (18)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations (9)
    See also Journal Article in Review of Financial Studies (2009)
11. Glossary to ARCH (GARCH)
    CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (6)

2007

12. 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 (2)
    See also Journal Article in Journal of Econometrics (2011)
13. 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 (1)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2004) View citations (18)
    See also Journal Article in Journal of Econometrics (2011)
14. Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks
    CREATES Research Papers, School of Economics and Management, University of Aarhus
    See also Journal Article in Journal of Econometrics (2010)
15. 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 (9)
    See also Journal Article in Journal of Econometrics (2007)
16. 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 (71)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations (13)
    See also Journal Article in Journal of International Economics (2007)
17. Risk, Jumps, and Diversification
    CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (7)
    See also Journal Article in Journal of Econometrics (2008)
18. 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 (87)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (15)
    See also Journal Article in The Review of Economics and Statistics (2007)

2005

19. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    CFS Working Paper Series, Center for Financial Studies View citations (26)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (27)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (27)
    See also Journal Article in American Economic Review (2005)
20. Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
    Open Access publications from University of Toulouse 1 Capitole, University of Toulouse 1 Capitole View citations (43)
    See also Journal Article in Econometrica (2005)
21. 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 (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (14)
    CFS Working Paper Series, Center for Financial Studies (2005) View citations (6)
    See also Chapter (2007)
22. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    Also in CFS Working Paper Series, Center for Financial Studies (2004) View citations (3)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) View citations (76)
23. Volatility Forecasting
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (40)
    CFS Working Paper Series, Center for Financial Studies (2005) View citations (18)

2004

24. Realized Beta: Persistence and Predictability
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (7)
    Also in CFS Working Paper Series, Center for Financial Studies (2004) View citations (7)

2003

25. 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 (11)
    Also in CFS Working Paper Series, Center for Financial Studies (2003) View citations (14)
26. 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 (6)

2002

27. Analytic Evaluation of Volatility Forecasts
    CIRANO Working Papers, CIRANO View citations (11)
    See also Journal Article in International Economic Review (2004)
28. 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 (17)
    Also in CIRANO Working Papers, CIRANO (2002) View citations (6)
29. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    Working Papers, Duke University, Department of Economics View citations (13)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (56)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (15)
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2002) View citations (13)
    See also Journal Article in American Economic Review (2003)
30. Modeling and Forecasting Realized Volatility
    Working Papers, Duke University, Department of Economics View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (31)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2001) View citations (20)
    See also Journal Article in Econometrica (2003)
31. Parametric and Nonparametric Volatility Measurement
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (31)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (46)

2001

32. 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 (5)
    See also Journal Article in Journal of Econometrics (2002)

2000

33. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (30)
    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 (5)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations (9)
34. The Distribution of Stock Return Volatility
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (16)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (25)

1999

35. (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 (6)
36. 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)
37. The Distribution of Exchange Rate Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (31)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations (31)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations (77)

1998

38. 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 (1)

1997

39. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)

1996

40. DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
41. 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 (48)
    See also Journal Article in Journal of Finance (1997)

1994

42. On Periodic Autogressive Conditional Heteroskedasticity
    CIRANO Working Papers, CIRANO
43. Periodic Autoregressive Conditional Heteroskedasticity
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (6)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations (19)
    See also Journal Article in Journal of Business & Economic Statistics (1996)

1993

44. 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)
45. 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

46. Financial Market Efficiency Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)

1991

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

1990

50. 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

51. INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (32)
    See also Journal Article in Review of Economic Studies (1991)

1988

52. FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES
    Working Papers, Michigan State - Econometrics and Economic Theory
53. Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (111)

Journal Articles

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 View citations (6)
   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 View citations (14)
   Also in Proceedings, 2005 (2005) View citations (1)
   See also Working Paper (2007)
3. Estimation of Jump Tails
   Econometrica, 2011, 79, (6), 1727-1783 View citations (2)
   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
5. Realized volatility forecasting and market microstructure noise
   Journal of Econometrics, 2011, 160, (1), 220-234 View citations (17)
6. Tails, Fears, and Risk Premia
   Journal of Finance, 2011, 66, (6), 2165-2211 View citations (9)
   See also Working Paper (2010)
7. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
   Review of Finance, 2011, 16, (1), 31-80 View citations (8)
   See also Working Paper (2010)

2010

8. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
   Journal of Applied Econometrics, 2010, 25, (2), 233-261 View citations (9)
   See also Working Paper (2008)
9. Jumps and betas: A new framework for disentangling and estimating systematic risks
   Journal of Econometrics, 2010, 157, (2), 220-235 View citations (4)
   See also Working Paper (2007)

2009

10. 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 (19)
    See also Working Paper (2010)
11. Expected Stock Returns and Variance Risk Premia
    Review of Financial Studies, 2009, 22, (11), 4463-4492 View citations (32)
    See also Working Paper (2008)

2008

12. Risk, jumps, and diversification
    Journal of Econometrics, 2008, 144, (1), 234-256 View citations (15)
    See also Working Paper (2007)

2007

13. Investor Attention and Time-varying Comovements
    European Financial Management, 2007, 13, (3), 394-422 View citations (3)
14. 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 (18)
    See also Working Paper (2007)
15. Real-time price discovery in global stock, bond and foreign exchange markets
    Journal of International Economics, 2007, 73, (2), 251-277 View citations (72)
    See also Working Paper (2007)
16. 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 (89)
    See also Working Paper (2007)

2006

17. Comment
    Journal of Business & Economic Statistics, 2006, 24, 173-179
18. Leverage and Volatility Feedback Effects in High-Frequency Data
    Journal of Financial Econometrics, 2006, 4, (3), 353-384 View citations (23)
19. Volatility puzzles: a simple framework for gauging return-volatility regressions
    Journal of Econometrics, 2006, 131, (1-2), 123-150 View citations (36)

2005

20. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    American Economic Review, 2005, 95, (2), 398-404 View citations (26)
    See also Working Paper (2005)
21. Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
    Econometrica, 2005, 73, (1), 279-296 View citations (55)
    See also Working Paper (2005)
22. Stock returns and volatility: pricing the long-run and short-run components of market risk
    Proceedings, 2005 View citations (2)

2004

23. ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
    International Economic Review, 2004, 45, (4), 1079-1110 View citations (62)
    See also Working Paper (2002)
24. 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

25. Measuring and modeling systematic risk in factor pricing models using high-frequency data
    Journal of Empirical Finance, 2003, 10, (5), 533-558 View citations (17)
26. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    American Economic Review, 2003, 93, (1), 38-62 View citations (253)
    See also Working Paper (2002)
27. Modeling and Forecasting Realized Volatility
    Econometrica, 2003, 71, (2), 579-625 View citations (439)
    See also Working Paper (2002)

2002

28. 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 (4)
29. Estimating stochastic volatility diffusion using conditional moments of integrated volatility
    Journal of Econometrics, 2002, 109, (1), 33-65 View citations (77)
    See also Working Paper (2001)
30. The Message in Daily Exchange Rates: A Conditional-Variance Tale
    Journal of Business & Economic Statistics, 2002, 20, (1), 60-68 View citations (2)
    Also in Journal of Business & Economic Statistics, 1989, 7, (3), 297-305 (1989) View citations (192)

2001

31. Financial econometrics: Past developments and future challenges
    Journal of Econometrics, 2001, 100, (1), 41-51 View citations (9)
32. High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting
    The Review of Economics and Statistics, 2001, 83, (4), 596-602 View citations (7)
    See also Working Paper (1999)
33. The Distribution of Realized Exchange Rate Volatility
    Journal of the American Statistical Association, 2001, 96, 42-55 View citations (333)
34. The distribution of realized stock return volatility
    Journal of Financial Economics, 2001, 61, (1), 43-76 View citations (314)

2000

35. Intraday and interday volatility in the Japanese stock market
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (2), 107-130 View citations (31)
36. Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
    Journal of Econometrics, 2000, 98, (1), 81-106 View citations (32)
37. The forward premium anomaly is not as bad as you think
    Journal of International Money and Finance, 2000, 19, (4), 471-488 View citations (94)

1999

38. 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 (10)
39. Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
    Journal of Empirical Finance, 1999, 6, (5), 457-477 View citations (39)
40. Long-term equity anticipation securities and stock market volatility dynamics
    Journal of Econometrics, 1999, 92, (1), 75-99 View citations (56)

1998

41. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
    International Economic Review, 1998, 39, (4), 885-905 View citations (363)
42. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
    Journal of Finance, 1998, 53, (1), 219-265 View citations (76)

1997

43. 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 (64)
    See also Working Paper (1996)
44. Intraday periodicity and volatility persistence in financial markets
    Journal of Empirical Finance, 1997, 4, (2-3), 115-158 View citations (233)
45. 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 (10)

1996

46. Fractionally integrated generalized autoregressive conditional heteroskedasticity
    Journal of Econometrics, 1996, 74, (1), 3-30 View citations (367)
47. Modeling and pricing long memory in stock market volatility
    Journal of Econometrics, 1996, 73, (1), 151-184 View citations (230)
48. Periodic Autoregressive Conditional Heteroscedasticity
    Journal of Business & Economic Statistics, 1996, 14, (2), 139-51 View citations (35)
    See also Working Paper (1994)

1995

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

1994

50. 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 (47)
51. Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
    Journal of Finance, 1994, 49, (2), 737-45 View citations (69)
    See also Working Paper (1993)
52. The long memory of the forward premium
    Journal of International Money and Finance, 1994, 13, (5), 565-571 View citations (80)
    See also Working Paper (1993)

1993

53. Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
    Journal of International Money and Finance, 1993, 12, (5), 511-521 View citations (4)
    See also Working Paper (1991)
54. Common Persistence in Conditional Variances
    Econometrica, 1993, 61, (1), 167-86 View citations (71)
55. Trading Patterns and Prices in the Interbank Foreign Exchange Market
    Journal of Finance, 1993, 48, (4), 1421-43 View citations (125)

1992

56. ARCH modeling in finance: A review of the theory and empirical evidence
    Journal of Econometrics, 1992, 52, (1-2), 5-59 View citations (887)
57. Prediction in dynamic models with time-dependent conditional variances
    Journal of Econometrics, 1992, 52, (1-2), 91-113 View citations (62)
    See also Working Paper (1990)

1991

58. Intra-day and Inter-market Volatility in Foreign Exchange Rates
    Review of Economic Studies, 1991, 58, (3), 565-85 View citations (28)
    See also Working Paper (1989)
59. Les modéles ARCH en finance: un point sur la théorie et les résultats empiriques
    Annales d'Economie et de Statistique, 1991, (24), 1-59

1990

60. 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 (51)
61. 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 (151)

1989

62. Common Stochastic Trends in a System of Exchange Rates
    Journal of Finance, 1989, 44, (1), 167-81 View citations (149)

1988

63. A Capital Asset Pricing Model with Time-Varying Covariances
    Journal of Political Economy, 1988, 96, (1), 116-31 View citations (463)

1987

64. 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 (308)

1986

65. Generalized autoregressive conditional heteroskedasticity
    Journal of Econometrics, 1986, 31, (3), 307-327 View citations (2481)

1985

66. 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 View citations (1)
   See also Working Paper (2005)

2006

2. Volatility and Correlation Forecasting
   Elsevier View citations (45)

1986

3. Arch models
   Chapter 49 in Handbook of Econometrics, 1986, vol. 4, pp 2959-3038 View citations (130)

Software Items