Details about Bernard Eugene Bollen

Access statistics for papers by Bernard Eugene Bollen.

Last updated 2017-02-09. Update your information in the RePEc Author Service.

Short-id: pbo695

Working Papers

1999

1. Estimating Daily Volatility in Financial Markets Utilizing Intraday Data
   Working Papers, School of Economics, La Trobe University View citations (7)
   Also in Working Papers, School of Economics, La Trobe University (1999) View citations (9)
   See also Journal Article Estimating daily volatility in financial markets utilizing intraday data, Journal of Empirical Finance, Elsevier (2002) View citations (64) (2002)

1998

2. A General Volatility Framework and the Generalised Historical Volatility Estimator
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)

1996

3. Estimating Daily Volatility from Intraday Data
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

Journal Articles

2016

1. How is β related to asset returns?
   Applied Economics, 2016, 48, (21), 1925-1935 View citations (2)

2015

2. The Global Financial Crisis and Its Impact on Australian Bank Risk
   International Review of Finance, 2015, 15, (1), 89-111 View citations (9)
3. What should the value of lambda be in the exponentially weighted moving average volatility model?
   Applied Economics, 2015, 47, (8), 853-860 View citations (7)

2013

4. An alternative approach to the modelling of interest rate pass through and asymmetric adjustment
   Economics Letters, 2013, 120, (3), 491-494 View citations (5)

2010

5. The security market plane
   Applied Financial Economics, 2010, 20, (15), 1231-1240 View citations (3)

2009

6. Idiosyncratic volatility and security returns: Australian evidence
   Applied Financial Economics, 2009, 19, (19), 1573-1579 View citations (7)

2002

7. A benchmark for measuring bias in estimated daily value at risk
   International Review of Financial Analysis, 2002, 11, (1), 85-100 View citations (9)
8. Estimating daily volatility in financial markets utilizing intraday data
   Journal of Empirical Finance, 2002, 9, (5), 551-562 View citations (64)
   See also Working Paper Estimating Daily Volatility in Financial Markets Utilizing Intraday Data, Working Papers (1999) View citations (7) (1999)

2001

9. Is there a maturity effect in the price of the S&P 500 futures contract?
   Applied Economics Letters, 2001, 8, (11), 693-695 View citations (9)