Details about Tim Bollerslev

E-mail:
Homepage:	http://www.econ.duke.edu/Econ/Faculty/Users/tbollerslev.html
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), Aarhus Universitet, (more information at EDIRC)

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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Working Papers

2009

1. Tails, Fears and Risk Premia
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
2. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2008

3. 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
4. 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
5. Glossary to ARCH (GARCH)
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2007

6. 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)
7. 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
8. 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)
9. Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks
   CREATES Research Papers, School of Economics and Management, University of Aarhus
10. 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)
11. 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)
12. 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)
13. 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

14. 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)
15. 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)
16. 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
17. 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

18. 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

19. 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
20. 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

21. Analytic Evaluation of Volatility Forecasts
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in International Economic Review (2004)
22. 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
23. 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)
24. 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)
25. 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

26. 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

27. 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
28. 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

29. (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
30. 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)
31. 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

32. 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

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

1996

34. DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
35. 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

36. On Periodic Autogressive Conditional Heteroskedasticity
    CIRANO Working Papers, CIRANO
37. 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

38. ARCH Models
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Chapter (1986)
39. 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)
40. 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

41. Financial Market Efficiency Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1991

42. Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange
    Working Papers, Tilburg - Center for Economic Research
43. Bear Squeezes in the Hyperinflation 1920s Foreign Exchange
    Working Papers, Michigan State - Econometrics and Economic Theory

1990

44. 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

45. 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

46. FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES
    Working Papers, Michigan State - Econometrics and Economic Theory
47. 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

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 View citations
   See also Working Paper (2007)

2008

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

2007

3. Investor Attention and Time-varying Comovements
   European Financial Management, 2007, 13, (3), 394-422
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
   Journal of Econometrics, 2007, 138, (1), 125-180 View citations
   See also Working Paper (2007)
5. 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)
6. 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

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

2005

10. 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)
11. Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
    Econometrica, 2005, 73, (1), 279-296 View citations
12. 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

13. ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
    International Economic Review, 2004, 45, (4), 1079-1110 View citations
    See also Working Paper (2002)
14. 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

15. Measuring and modeling systematic risk in factor pricing models using high-frequency data
    Journal of Empirical Finance, 2003, 10, (5), 533-558 View citations
16. 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)
17. Modeling and Forecasting Realized Volatility
    Econometrica, 2003, 71, (2), 579-625 View citations
    See also Working Paper (2002)

2002

18. 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
19. 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)
20. 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

21. Financial econometrics: Past developments and future challenges
    Journal of Econometrics, 2001, 100, (1), 41-51 View citations
22. 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)
23. The Distribution of Realized Exchange Rate Volatility
    Journal of the American Statistical Association, 2001, 96, 42-55 View citations
24. The distribution of realized stock return volatility
    Journal of Financial Economics, 2001, 61, (1), 43-76 View citations

2000

25. Intraday and interday volatility in the Japanese stock market
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (2), 107-130 View citations
26. Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
    Journal of Econometrics, 2000, 98, (1), 81-106 View citations
27. 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

28. 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
29. Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
    Journal of Empirical Finance, 1999, 6, (5), 457-477 View citations
30. Long-term equity anticipation securities and stock market volatility dynamics
    Journal of Econometrics, 1999, 92, (1), 75-99 View citations

1998

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

1997

33. 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)
34. Intraday periodicity and volatility persistence in financial markets
    Journal of Empirical Finance, 1997, 4, (2-3), 115-158 View citations
35. 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

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

1995

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

1994

40. 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
41. Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
    Journal of Finance, 1994, 49, (2), 737-45 View citations
    See also Working Paper (1993)
42. 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

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

1992

46. ARCH modeling in finance: A review of the theory and empirical evidence
    Journal of Econometrics, 1992, 52, (1-2), 5-59 View citations
47. 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)
48. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
    Econometric Reviews, 1992, 11, (2), 143-172 View citations

1991

49. 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)
50. 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

51. 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
52. 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

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

1988

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

1987

55. 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

56. Generalized autoregressive conditional heteroskedasticity
    Journal of Econometrics, 1986, 31, (3), 307-327 View citations
57. Modelling the persistence of conditional variances
    Econometric Reviews, 1986, 5, (1), 1-50 View citations
58. Reply
    Econometric Reviews, 1986, 5, (1), 81-87

1985

59. 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

1. 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

2. Volatility and Correlation Forecasting
   Elsevier View citations

1986

3. Arch models
   Chapter 49 in Handbook of Econometrics, 1986, vol. 4, pp 2959-3038
   See also Working Paper (1993)