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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 Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)

Access statistics for papers by Tim Bollerslev.

Last updated 2020-09-05. Update your information in the RePEc Author Service.

Short-id: pbo66


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Working Papers

2018

  1. Risk Everywhere: Modeling and Managing Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (121)
    See also Journal Article Risk Everywhere: Modeling and Managing Volatility, The Review of Financial Studies, Society for Financial Studies (2018) Downloads View citations (117) (2018)

2016

  1. Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (7)
    See also Journal Article Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions, Journal of Econometrics, Elsevier (2018) Downloads View citations (40) (2018)
  2. Volume, Volatility and Public News Announcements
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    See also Journal Article Volume, Volatility, and Public News Announcements, The Review of Economic Studies, Review of Economic Studies Ltd (2018) Downloads View citations (41) (2018)

2015

  1. Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    Also in Working Papers, Duke University, Department of Economics (2013) Downloads View citations (2)

    See also Journal Article Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) Downloads View citations (24) (2016)
  2. Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article Exploiting the errors: A simple approach for improved volatility forecasting, Journal of Econometrics, Elsevier (2016) Downloads View citations (160) (2016)

2014

  1. Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
  2. Tail Risk Premia and Return Predictability
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article Tail risk premia and return predictability, Journal of Financial Economics, Elsevier (2015) Downloads View citations (124) (2015)

2012

  1. Financial Risk Measurement for Financial Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (5)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) Downloads View citations (8)

    See also Chapter Financial Risk Measurement for Financial Risk Management, Handbook of the Economics of Finance, Elsevier (2013) Downloads View citations (41) (2013)
  2. Stock Return and Cash Flow Predictability: The Role of Volatility Risk
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article Stock return and cash flow predictability: The role of volatility risk, Journal of Econometrics, Elsevier (2015) Downloads View citations (22) (2015)

2011

  1. Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  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 (31)
    See also Journal Article Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence, Journal of Financial and Quantitative Analysis, Cambridge University Press (2014) Downloads View citations (140) (2014)

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, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (8)

    See also Journal Article A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects, Journal of Econometrics, Elsevier (2009) Downloads View citations (110) (2009)
  2. Estimation of Jump Tails
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Working Papers, Duke University, Department of Economics (2010) Downloads

    See also Journal Article Estimation of Jump Tails, Econometrica, Econometric Society (2011) Downloads View citations (40) (2011)
  3. Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article Jump tails, extreme dependencies, and the distribution of stock returns, Journal of Econometrics, Elsevier (2013) Downloads View citations (61) (2013)
  4. Tails, Fears and Risk Premia
    Working Papers, Duke University, Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (6)

    See also Journal Article Tails, Fears, and Risk Premia, Journal of Finance, American Finance Association (2011) Downloads View citations (283) (2011)
  5. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    Working Papers, Duke University, Department of Economics Downloads View citations (7)
    Also in Working Papers, Duke University, Department of Economics (2009) Downloads View citations (5)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (5)

    See also Journal Article Volatility in Equilibrium: Asymmetries and Dynamic Dependencies, Review of Finance, European Finance Association (2011) Downloads View citations (18) (2011)

2008

  1. Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns
    Working Paper, Economics Department, Queen's University Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (19)

    See also Journal Article Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) Downloads View citations (101) (2010)
  2. Expected Stock Returns and Variance Risk Premia
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (18)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (30)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2006) Downloads View citations (8)

    See also Journal Article Expected Stock Returns and Variance Risk Premia, The Review of Financial Studies, Society for Financial Studies (2009) Downloads View citations (735) (2009)
  3. Glossary to ARCH (GARCH)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (68)

2007

  1. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (7)
    See also Journal Article A reduced form framework for modeling volatility of speculative prices based on realized variation measures, Journal of Econometrics, Elsevier (2011) Downloads View citations (108) (2011)
  2. Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2004) Downloads View citations (23)

    See also Journal Article Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities, Journal of Econometrics, Elsevier (2011) Downloads View citations (186) (2011)
  3. Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    See also Journal Article Jumps and betas: A new framework for disentangling and estimating systematic risks, Journal of Econometrics, Elsevier (2010) Downloads View citations (69) (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 (157)
    See also Journal Article 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, Elsevier (2007) Downloads View citations (155) (2007)
  5. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (536)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) Downloads View citations (14)

    See also Journal Article Real-time price discovery in global stock, bond and foreign exchange markets, Journal of International Economics, Elsevier (2007) Downloads View citations (507) (2007)
  6. Risk, Jumps, and Diversification
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (11)
    See also Journal Article Risk, jumps, and diversification, Journal of Econometrics, Elsevier (2008) Downloads View citations (110) (2008)
  7. Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (868)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (26)

    See also Journal Article Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility, The Review of Economics and Statistics, MIT Press (2007) Downloads View citations (862) (2007)

2005

  1. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (86)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (86)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (86)

    See also Journal Article A Framework for Exploring the Macroeconomic Determinants of Systematic Risk, American Economic Review, American Economic Association (2005) Downloads View citations (86) (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 (17)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (24)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (19)

    See also Chapter Practical Volatility and Correlation Modeling for Financial Market Risk Management, NBER Chapters, National Bureau of Economic Research, Inc (2007) Downloads View citations (20) (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 (45)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) Downloads View citations (83)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2004) Downloads View citations (34)
  4. Volatility Forecasting
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (55)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (37)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (40)

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 (13)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2004) Downloads View citations (13)

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 (45)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2003) Downloads View citations (45)
  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 (14)
    See also Journal Article ANALYTICAL EVALUATION OF VOLATILITY FORECASTS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2004) View citations (114) (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 View citations (6)
    Also in CIRANO Working Papers, CIRANO (2002) Downloads View citations (7)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) Downloads View citations (15)
  3. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    Working Papers, Duke University, Department of Economics Downloads View citations (34)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) Downloads View citations (62)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (35)
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2002) Downloads View citations (34)

    See also Journal Article Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange, American Economic Review, American Economic Association (2003) Downloads View citations (818) (2003)
  4. Modeling and Forecasting Realized Volatility
    Working Papers, Duke University, Department of Economics Downloads View citations (30)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2001) Downloads View citations (40)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (56)

    See also Journal Article Modeling and Forecasting Realized Volatility, Econometrica, Econometric Society (2003) View citations (1849) (2003)
  5. Parametric and Nonparametric Volatility Measurement
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (70)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (62)

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 (7)
    See also Journal Article Estimating stochastic volatility diffusion using conditional moments of integrated volatility, Journal of Econometrics, Elsevier (2002) Downloads View citations (179) (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 (112)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) Downloads View citations (13)
    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 (10)

    See also Journal Article Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian, Multinational Finance Journal, Multinational Finance Journal (2000) Downloads View citations (101) (2000)
  2. The Distribution of Stock Return Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (41)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (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 (55)
  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 High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting, The Review of Economics and Statistics, MIT Press (2001) Downloads View citations (66) (2001)
  3. The Distribution of Exchange Rate Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (54)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) Downloads View citations (47)
    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 (90)

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 (5)

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 (26)

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 (11)
  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 (33)
    See also Journal Article Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns, Journal of Finance, American Finance Association (1997) Downloads View citations (382) (1997)

1994

  1. On Periodic Autogressive Conditional Heteroskedasticity
    CIRANO Working Papers, CIRANO Downloads View citations (1)
  2. Periodic Autoregressive Conditional Heteroskedasticity
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (14)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) Downloads View citations (22)

    See also Journal Article Periodic Autoregressive Conditional Heteroscedasticity, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (174) (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 Cointegration, Fractional Cointegration, and Exchange Rate Dynamics, Journal of Finance, American Finance Association (1994) Downloads View citations (186) (1994)
  2. The Long Memory of the Foreward Premium
    Working Papers, Michigan State - Econometrics and Economic Theory
    See also Journal Article The long memory of the forward premium, Journal of International Money and Finance, Elsevier (1994) Downloads View citations (148) (1994)

1992

  1. Financial Market Efficiency Tests
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (34)

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
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1991) Downloads

    See also Journal Article Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange, Journal of International Money and Finance, Elsevier (1993) Downloads View citations (16) (1993)

1990

  1. PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (1)
    See also Journal Article Prediction in dynamic models with time-dependent conditional variances, Journal of Econometrics, Elsevier (1992) Downloads View citations (108) (1992)

1989

  1. INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (33)
    See also Journal Article Intra-Day and Inter-Market Volatility in Foreign Exchange Rates, The Review of Economic Studies, Review of Economic Studies Ltd (1991) Downloads View citations (153) (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 View citations (1)
  2. Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (112)

1986

  1. Generalized autoregressive conditional heteroskedasticity
    EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels Downloads View citations (7059)
    See also Journal Article Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, Elsevier (1986) Downloads View citations (8058) (1986)

Journal Articles

2020

  1. Good Volatility, Bad Volatility, and the Cross Section of Stock Returns
    Journal of Financial and Quantitative Analysis, 2020, 55, (3), 751-781 Downloads View citations (27)
  2. Multivariate leverage effects and realized semicovariance GARCH models
    Journal of Econometrics, 2020, 217, (2), 411-430 Downloads View citations (10)
  3. Realized Semicovariances
    Econometrica, 2020, 88, (4), 1515-1551 Downloads View citations (14)

2019

  1. High-dimensional multivariate realized volatility estimation
    Journal of Econometrics, 2019, 212, (1), 116-136 Downloads View citations (8)

2018

  1. Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
    Journal of Econometrics, 2018, 207, (1), 71-91 Downloads View citations (40)
    See also Working Paper Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions, CREATES Research Papers (2016) Downloads View citations (7) (2016)
  2. Risk Everywhere: Modeling and Managing Volatility
    The Review of Financial Studies, 2018, 31, (7), 2729-2773 Downloads View citations (117)
    See also Working Paper Risk Everywhere: Modeling and Managing Volatility, CEPR Discussion Papers (2018) Downloads View citations (121) (2018)
  3. Volume, Volatility, and Public News Announcements
    The Review of Economic Studies, 2018, 85, (4), 2005-2041 Downloads View citations (41)
    See also Working Paper Volume, Volatility and Public News Announcements, CREATES Research Papers (2016) Downloads View citations (3) (2016)

2016

  1. Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions
    Journal of Applied Econometrics, 2016, 31, (6), 1005-1025 Downloads View citations (24)
    See also Working Paper Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions, CREATES Research Papers (2015) Downloads View citations (4) (2015)
  2. Exploiting the errors: A simple approach for improved volatility forecasting
    Journal of Econometrics, 2016, 192, (1), 1-18 Downloads View citations (160)
    See also Working Paper Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting, CREATES Research Papers (2015) Downloads View citations (2) (2015)
  3. Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns
    Journal of Financial Economics, 2016, 120, (3), 464-490 Downloads View citations (40)

2015

  1. Stock return and cash flow predictability: The role of volatility risk
    Journal of Econometrics, 2015, 187, (2), 458-471 Downloads View citations (22)
    See also Working Paper Stock Return and Cash Flow Predictability: The Role of Volatility Risk, CREATES Research Papers (2012) Downloads View citations (1) (2012)
  2. Tail risk premia and return predictability
    Journal of Financial Economics, 2015, 118, (1), 113-134 Downloads View citations (124)
    See also Working Paper Tail Risk Premia and Return Predictability, CREATES Research Papers (2014) Downloads View citations (2) (2014)

2014

  1. Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
    Journal of Financial and Quantitative Analysis, 2014, 49, (3), 633-661 Downloads View citations (140)
    See also Working Paper Stock return predictability and variance risk premia: statistical inference and international evidence, Finance and Economics Discussion Series (2011) Downloads View citations (31) (2011)
  2. Time-varying jump tails
    Journal of Econometrics, 2014, 183, (2), 168-180 Downloads View citations (27)

2013

  1. Jump tails, extreme dependencies, and the distribution of stock returns
    Journal of Econometrics, 2013, 172, (2), 307-324 Downloads View citations (61)
    See also Working Paper Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns, CREATES Research Papers (2010) Downloads (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 (88)

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 (108)
    See also Working Paper A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures, CREATES Research Papers (2007) Downloads View citations (7) (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 (186)
    Also in Proceedings, 2005 (2005) Downloads View citations (4)

    See also Working Paper Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities, CREATES Research Papers (2007) Downloads View citations (5) (2007)
  3. Estimation of Jump Tails
    Econometrica, 2011, 79, (6), 1727-1783 Downloads View citations (40)
    See also Working Paper Estimation of Jump Tails, CREATES Research Papers (2010) Downloads (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 (111)
  6. Tails, Fears, and Risk Premia
    Journal of Finance, 2011, 66, (6), 2165-2211 Downloads View citations (283)
    See also Working Paper Tails, Fears and Risk Premia, Working Papers (2010) Downloads (2010)
  7. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    Review of Finance, 2011, 16, (1), 31-80 Downloads View citations (18)
    See also Working Paper Volatility in Equilibrium: Asymmetries and Dynamic Dependencies, Working Papers (2010) Downloads View citations (7) (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 (101)
    See also Working Paper Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns, Working Paper (2008) Downloads View citations (2) (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 (69)
    See also Working Paper Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks, CREATES Research Papers (2007) Downloads View citations (3) (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 (110)
    See also Working Paper A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects, Working Papers (2010) Downloads (2010)
  2. Expected Stock Returns and Variance Risk Premia
    The Review of Financial Studies, 2009, 22, (11), 4463-4492 Downloads View citations (735)
    See also Working Paper Expected Stock Returns and Variance Risk Premia, CREATES Research Papers (2008) Downloads View citations (18) (2008)

2008

  1. Risk, jumps, and diversification
    Journal of Econometrics, 2008, 144, (1), 234-256 Downloads View citations (110)
    See also Working Paper Risk, Jumps, and Diversification, CREATES Research Papers (2007) Downloads View citations (11) (2007)

2007

  1. Investor Attention and Time‐varying Comovements
    European Financial Management, 2007, 13, (3), 394-422 Downloads View citations (32)
  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 (155)
    See also Working Paper 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 (2007) Downloads View citations (157) (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 (507)
    See also Working Paper Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets, CREATES Research Papers (2007) Downloads View citations (536) (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 (862)
    See also Working Paper Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility, CREATES Research Papers (2007) Downloads View citations (868) (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 (228)
  3. Volatility puzzles: a simple framework for gauging return-volatility regressions
    Journal of Econometrics, 2006, 131, (1-2), 123-150 Downloads View citations (130)

2005

  1. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    American Economic Review, 2005, 95, (2), 398-404 Downloads View citations (86)
    See also Working Paper A Framework for Exploring the Macroeconomic Determinants of Systematic Risk, PIER Working Paper Archive (2005) Downloads View citations (86) (2005)
  2. Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
    Econometrica, 2005, 73, (1), 279-296 Downloads View citations (180)
  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 View citations (114)
    See also Working Paper Analytic Evaluation of Volatility Forecasts, CIRANO Working Papers (2002) Downloads View citations (14) (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 View citations (1)

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 (59)
  2. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    American Economic Review, 2003, 93, (1), 38-62 Downloads View citations (818)
    See also Working Paper Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange, Working Papers (2002) Downloads View citations (34) (2002)
  3. Modeling and Forecasting Realized Volatility
    Econometrica, 2003, 71, (2), 579-625 View citations (1849)
    See also Working Paper Modeling and Forecasting Realized Volatility, Working Papers (2002) Downloads View citations (30) (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 (69)
  2. Estimating stochastic volatility diffusion using conditional moments of integrated volatility
    Journal of Econometrics, 2002, 109, (1), 33-65 Downloads View citations (179)
    See also Working Paper Estimating stochastic volatility diffusion using conditional moments of integrated volatility, Finance and Economics Discussion Series (2001) Downloads View citations (7) (2001)
  3. The Message in Daily Exchange Rates: A Conditional-Variance Tale
    Journal of Business & Economic Statistics, 2002, 20, (1), 60-68 View citations (22)
    Also in Journal of Business & Economic Statistics, 1989, 7, (3), 297-305 (1989) View citations (390)

2001

  1. Financial econometrics: Past developments and future challenges
    Journal of Econometrics, 2001, 100, (1), 41-51 Downloads View citations (19)
  2. High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting
    The Review of Economics and Statistics, 2001, 83, (4), 596-602 Downloads View citations (66)
    See also Working Paper High frequency data, frequency domain inference and volatility forecasting, International Finance Discussion Papers (1999) Downloads (1999)
  3. The Distribution of Realized Exchange Rate Volatility
    Journal of the American Statistical Association, 2001, 96, 42-55 Downloads View citations (1095)
  4. The distribution of realized stock return volatility
    Journal of Financial Economics, 2001, 61, (1), 43-76 Downloads View citations (1047)
  5. Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns
    Journal of Finance, 2001, 56, (1), 305-327 Downloads View citations (33)

2000

  1. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    Multinational Finance Journal, 2000, 4, (3-4), 159-179 Downloads View citations (101)
    See also Working Paper Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian, NBER Working Papers (2000) Downloads View citations (112) (2000)
  2. 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 (102)
  3. Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
    Journal of Econometrics, 2000, 98, (1), 81-106 Downloads View citations (82)
  4. 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 (205)

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 (101)
  2. Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
    Journal of Empirical Finance, 1999, 6, (5), 457-477 Downloads View citations (169)
  3. Long-term equity anticipation securities and stock market volatility dynamics
    Journal of Econometrics, 1999, 92, (1), 75-99 Downloads View citations (93)

1998

  1. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
    International Economic Review, 1998, 39, (4), 885-905 View citations (1606)
  2. Towards a unified framework for high and low frequency return volatility modeling
    Statistica Neerlandica, 1998, 52, (3), 273-302 Downloads View citations (6)

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 (382)
    See also Working Paper Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns, NBER Working Papers (1996) Downloads View citations (33) (1996)
  2. Intraday periodicity and volatility persistence in financial markets
    Journal of Empirical Finance, 1997, 4, (2-3), 115-158 Downloads View citations (617)
  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 (26)

1996

  1. Fractionally integrated generalized autoregressive conditional heteroskedasticity
    Journal of Econometrics, 1996, 74, (1), 3-30 Downloads View citations (1112)
  2. Modeling and pricing long memory in stock market volatility
    Journal of Econometrics, 1996, 73, (1), 151-184 Downloads View citations (690)
  3. Periodic Autoregressive Conditional Heteroscedasticity
    Journal of Business & Economic Statistics, 1996, 14, (2), 139-51 View citations (174)
    See also Working Paper Periodic Autoregressive Conditional Heteroskedasticity, Cahiers de recherche (1994) View citations (14) (1994)

1995

  1. Dan Nelson Remembered
    Journal of Business & Economic Statistics, 1995, 13, (4), 361-64 View citations (3)

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 (135)
  2. Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
    Journal of Finance, 1994, 49, (2), 737-45 Downloads View citations (186)
    See also Working Paper Cointegration, Fractional Cointegration, and Exchange RAte Dynamics, Working Papers (1993) View citations (14) (1993)
  3. The long memory of the forward premium
    Journal of International Money and Finance, 1994, 13, (5), 565-571 Downloads View citations (148)
    See also Working Paper The Long Memory of the Foreward Premium, Working Papers (1993) (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 (16)
    See also Working Paper Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange, Other publications TiSEM (1991) Downloads (1991)
  2. Common Persistence in Conditional Variances
    Econometrica, 1993, 61, (1), 167-86 Downloads View citations (129)
  3. Trading Patterns and Prices in the Interbank Foreign Exchange Market
    Journal of Finance, 1993, 48, (4), 1421-43 Downloads View citations (211)

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 (1623)
  2. Prediction in dynamic models with time-dependent conditional variances
    Journal of Econometrics, 1992, 52, (1-2), 91-113 Downloads View citations (108)
    See also Working Paper PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES, Working Papers (1990) View citations (1) (1990)

1991

  1. Intra-Day and Inter-Market Volatility in Foreign Exchange Rates
    The Review of Economic Studies, 1991, 58, (3), 565-585 Downloads View citations (153)
    See also Working Paper INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES, Working Papers (1989) View citations (33) (1989)
  2. es modéles ARCH en finance: un point sur la théorie et les résultats empiriques
    Annals of Economics and Statistics, 1991, (24), 1-59 Downloads

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 (126)
  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 (1811)

1988

  1. A Capital Asset Pricing Model with Time-Varying Covariances
    Journal of Political Economy, 1988, 96, (1), 116-31 Downloads View citations (1437)
  2. ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS
    Journal of Time Series Analysis, 1988, 9, (2), 121-131 Downloads View citations (76)

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 (1037)

1986

  1. Generalized autoregressive conditional heteroskedasticity
    Journal of Econometrics, 1986, 31, (3), 307-327 Downloads View citations (8058)
    See also Working Paper Generalized autoregressive conditional heteroskedasticity, EERI Research Paper Series (1986) Downloads View citations (7059) (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 (71)

Chapters

2013

  1. Financial Risk Measurement for Financial Risk Management
    Elsevier Downloads View citations (41)
    See also Working Paper Financial Risk Measurement for Financial Risk Management, National Bureau of Economic Research, Inc (2012) Downloads View citations (9) (2012)

2007

  1. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    A chapter in The Risks of Financial Institutions, 2007, pp 513-544 Downloads View citations (20)
    See also Working Paper Practical Volatility and Correlation Modeling for Financial Market Risk Management, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) Downloads View citations (17) (2005)

2006

  1. Volatility and Correlation Forecasting
    Elsevier Downloads View citations (279)

1986

  1. Arch models
    Chapter 49 in Handbook of Econometrics, 1986, vol. 4, pp 2959-3038 Downloads View citations (119)
 
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