Tim Bollerslev : Citation Profile


Are you Tim Bollerslev?

Duke University
National Bureau of Economic Research (NBER)
Aarhus Universitet

53

H index

80

i10 index

22247

Citations

RESEARCH PRODUCTION:

71

Articles

96

Papers

3

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   30 years (1985 - 2015). See details.
   Cites by year: 741
   Journals where Tim Bollerslev has often published
   Relations with other researchers
   Recent citing documents: 2011.    Total self citations: 98 (0.44 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo66
   Updated: 2019-10-15    RAS profile: 2015-06-30    
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Relations with other researchers


Works with:

Patton, Andrew (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Tim Bollerslev.

Is cited by:

McAleer, Michael (705)

Chang, Chia-Lin (274)

Degiannakis, Stavros (224)

Shephard, Neil (177)

Caporin, Massimiliano (175)

Asai, Manabu (164)

Laurent, Sébastien (127)

Christoffersen, Peter (127)

GUPTA, RANGAN (126)

Diebold, Francis (122)

Medeiros, Marcelo (120)

Cites to:

Andersen, Torben (208)

Diebold, Francis (183)

Engle, Robert (132)

Shephard, Neil (76)

Tauchen, George (69)

Campbell, John (66)

Schwert, G. (56)

Barndorff-Nielsen, Ole (55)

Baillie, Richard (50)

Drost, Feike C. (49)

Gallant, A. (48)

Main data


Where Tim Bollerslev has published?


Journals with more than one article published# docs
Journal of Econometrics21
Journal of Business & Economic Statistics6
Journal of Finance5
Journal of International Money and Finance4
Econometrica4
The Review of Economics and Statistics4
Journal of Empirical Finance3
Journal of Financial Economics2
International Economic Review2
Journal of International Economics2
Journal of Applied Econometrics2
American Economic Review2
Proceedings2

Working Papers Series with more than one paper published# docs
Working Papers / Duke University, Department of Economics8
CFS Working Paper Series / Center for Financial Studies (CFS)6
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (US)5
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Tim Bollerslev (2018 and 2017)


YearTitle of citing document
2017Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-10.

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2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15.

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2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2017Variance swap payoffs, risk premia and extreme market conditions. (2017). Stentoft, Lars ; Violante, Francesco. In: CREATES Research Papers. RePEc:aah:create:2017-21.

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2017Inference from the futures: ranking the noise cancelling accuracy of realized measures. (2017). Mirone, Giorgio . In: CREATES Research Papers. RePEc:aah:create:2017-24.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-29.

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2018The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-02.

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2018The Risk Premia Embedded in Index Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-07.

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2018Short-Term Market Risks Implied by Weekly Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-08.

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2018Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09.

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2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping. In: CREATES Research Papers. RePEc:aah:create:2018-10.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19.

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2018The drift burst hypothesis. (2018). Reno, Roberto ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-21.

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2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2017). Nielsen, Morten ; Xu, KE ; Narayan, Paresh Kumar ; Dolatabadi, Sepideh. In: CREATES Research Papers. RePEc:aah:create:2018-35.

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2018Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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2018The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). de Magistris, Paolo Santucci ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

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2017The Relationship between Conventional Deposit and Islamic Profit Share Rates: An Analysis of the Turkish Banking Sector العلاقة بين الإيداعات التقليدية ومعدلات ال. (2017). Ertugrul, Hasan ; Atasoy, Burak ; Tekin, Husnu. In: Journal of King Abdulaziz University: Islamic Economics. RePEc:abd:kauiea:v:30:y:2017:i:4:no:7:p:103-117.

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2018Volatility Spillover among Equity Indices and Crude Oil Prices: Evidence from Islamic Markets امتداد التقلب بين مؤشرات الأسهم وأسعار النفط الخام: شواهد . (2018). Arrak, Islem ; Mansour, Walid ; Majdoub, Jihed. In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:31:y:2018:i:1:no:2:p:27-45.

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2018Volatility Spillover among Equity Indices and Crude Oil Prices: Evidence from Islamic Markets امتداد التقلب بين مؤشرات الأسهم وأسعار النفط الخام: شواهد . (2018). Arrak, Islem ; Mansour, Walid ; Majdoub, Jihed. In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:31:y:2018:i:1:p:27-45.

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2019Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility. (2019). Fantazzini, Dean ; Bazhenov, T. In: Russian Journal of Industrial Economics. RePEc:ach:journl:y:2019:id:724.

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2019Studying the Volatility of Pakistan Stock Exchange and Shanghai Stock Exchange Markets in the Light of CPEC: An Application of GARCH and EGARCH Modelling. (2019). Fatima, Samreen ; Fraz, Tayyab Raza ; Ahsanuddin, Muhammad. In: International Journal of Sciences. RePEc:adm:journl:v:8:y:2019:i:3:p:125-132.

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2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

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2019Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:03-19.

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2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19.

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2018Macroeconomic uncertainty and FDI in developing countries. (2018). Das, Pradeep Kumar . In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:15-30.

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2017Dynamic regime switching behaviour between cash and futures market: A case of interest rates in India. (2017). Chittine, Jyothi ; Deo, Malabika ; Panda, Pradiptarathi. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(613):y:2017:i:4(613):p:169-190.

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2017Modeling of stock indices with HMM-SV models. (2017). Wulu, J T ; Nkemnole, E B. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:45-60.

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2017Asymmetric Price Volatility Interaction between U.S. Food and Energy Markets. (2017). Saghaian, Sayed H ; Chen, BO ; Walters, Cory G ; Nemati, Mehdi . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258240.

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2017What drives the regional integration of agribusiness stocks? Evidence in worldwide perspective. (2017). Valdes, Rodrigo . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258265.

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2017Future volatility forecast in agricultural commodity markets. (2017). Guimaraes, Jonathan S ; Cruz, Jose Cesar . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258480.

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2017The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2017). Chavas, Jean-Paul ; Li, Jian. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259185.

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2017Surprise and Dispersion: Informational Impact of USDA Announcements. (2017). Frijns, Bart ; Tourani-Rad, Alireza ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259208.

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2017Forecasting Tax Revenue and its Volatility in Tanzania. (2017). Chimilila, Cyril. In: African Journal of Economic Review. RePEc:ags:afjecr:264561.

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2017Price Volatility Modelling – Wheat: GARCH Model Application. (2017). Ermak, M ; Maitah, M ; Malec, K. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276061.

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2017SYSTEMATIC RISK FACTORS AND STOCK RETURN VOLATILITY. (2017). Ali, Syed Kamran ; Ahmed, Ishtiaq ; Hashmi, Shujahat Haider. In: APSTRACT: Applied Studies in Agribusiness and Commerce. RePEc:ags:apstra:265587.

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2017Temperature Anomalies, Radiative Forcing and ENSO. (2017). Sbrana, Giacomo ; MORANA, CLAUDIO. In: MITP: Mitigation, Innovation and Transformation Pathways. RePEc:ags:feemmi:253732.

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2017Impacts of Export Restrictions on Food Price Volatility: Evidence from VAR-X and EGARCH-X Models. (2017). Dalheimer, Bernhard ; Jaghdani, Tinoush Jamali ; Brummer, Bernhard. In: 57th Annual Conference, Weihenstephan, Germany, September 13-15, 2017. RePEc:ags:gewi17:262151.

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2018FOOD PRICE SENSITIVITY TO CHANGES IN PETROLEUM PRICE AND EXCHANGE RATE IN GHANA: A COINTEGRATION ANALYSIS. (2018). Ebenezer, Appiah Collins ; Mensa-Bonsu, Akwasi ; Baptist, John. In: 2018 Conference (2nd), August 8-11, Kumasi, Ghana. RePEc:ags:ghaaae:277791.

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2018The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2018). Chavas, J.-P., ; Li, J. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275976.

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2018The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets. (2018). Shiferaw, Y. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275991.

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2018How Have China s Agricultural Price Support Policies Affected Market Prices?: A Quantile Regression Evaluation. (2018). Li, J ; Chavas, J.-P., . In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277557.

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2017DOES FEAR (VIX INDEX) INCITE VOLATILITY IN FOOD PRICES?. (2017). Inar, Gokhan ; Uzmay, Ayse. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:266472.

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2018Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets. (2018). Saghaian, Sayed ; Chen, BO ; Walters, Cory ; Nemati, Mehdi . In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:267609.

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2018The Effect of Exchange Rate Volatility on Agricultural Exports in Nigeria: An Autoregressive Distributed Lag (ARDL) Bounds Test Approach. (2018). Akinbode, S O ; Ojo, O T. In: Nigerian Journal of Agricultural Economics. RePEc:ags:naaenj:280316.

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2017VOLATILITY SPILLOVER BETWEEN OIL PRICES, US DOLLAR EXCHANGE RATES AND INTERNATIONAL AGRICULTURAL COMMODITIES PRICES. (2017). Siami-Namini, Sima ; Hudson, Darren. In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252845.

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2017Wave after Wave: Contagion Risk from Commodity Markets. (2017). Algieri, Bernardina ; Leccadito, Arturo. In: Discussion Papers. RePEc:ags:ubzefd:257801.

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2017Media Coverage and Food Commodities: Agricultural Futures Prices and Volatility Effects. (2017). Torero, Maximo ; Almanzar, Miguel . In: Discussion Papers. RePEc:ags:ubzefd:264781.

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2017Heterogeneity and Clustering of Defaults. (2017). Turner, Matthew ; Terovitis, Spyridon ; Galanis, Girogos ; Karlis, Alexandros . In: Economic Research Papers. RePEc:ags:uwarer:270011.

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2017Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market. (2017). Mohibul, MD ; Islam, Anisul M. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:157--172.

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2017Weekend Effect and Short Sales: Evidence from Hong Kong. (2017). Cai, Jinghan ; Zhai, Weili ; Xia, LE ; He, Jibao. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:8-18.

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2018Modeling the Volatility and Forecasting the Stock Price of the German Stock Index (DAX30). (2018). Nguyen, Tristan ; Mai, Thi Thanh. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2018:p:72-92.

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2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut. In: Papers. RePEc:arx:papers:1509.01175.

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2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). Baruník, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946.

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2018Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2017Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei. In: Papers. RePEc:arx:papers:1602.00731.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2017Evidence of Self-Organization in Time Series of Capital Markets. (2017). , Leopoldo ; Garc, Alba Lucero ; Morales-Matamoros, Oswaldo ; Soto-Campos, Carlos Arturo . In: Papers. RePEc:arx:papers:1604.03996.

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2019Multivariate Garch with dynamic beta. (2018). Raddant, Matthias ; Wagner, Friedrich . In: Papers. RePEc:arx:papers:1609.07051.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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2017Chebyshev Reduced Basis Function applied to Option Valuation. (2017). Gaton, Victor ; de Frutos, Javier. In: Papers. RePEc:arx:papers:1701.01429.

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2017Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152.

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2017Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes. (2017). Chatterjee, Swarnankur. In: Papers. RePEc:arx:papers:1701.07175.

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2019Probability density of lognormal fractional SABR model. (2019). Akahori, Jiro ; Wang, Tai-Ho ; Song, Xiaoming . In: Papers. RePEc:arx:papers:1702.08081.

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2017A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors. (2017). Mukhoti, Sujay ; Ranjan, Pritam . In: Papers. RePEc:arx:papers:1703.06603.

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2017A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1705.00535.

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2017A Novel Approach to Forecasting Financial Volatility with Gaussian Process Envelopes. (2017). Asad, Syed Ali ; Nyikosa, Favour ; Osborne, Michael A ; Roberts, Stephen J. In: Papers. RePEc:arx:papers:1705.00891.

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2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Kruger, Fabian. In: Papers. RePEc:arx:papers:1705.04537.

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2018Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling. (2018). Zeng, Yaxiong ; Klabjan, Diego. In: Papers. RePEc:arx:papers:1706.01833.

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2017Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

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2018Statistical properties and multifractality of Bitcoin. (2018). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1707.07618.

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2017Optimum thresholding using mean and conditional mean square error. (2017). , ; Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339.

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2017Systematic Noise: Micro-movements in Equity Options Markets. (2017). Wu, Adam . In: Papers. RePEc:arx:papers:1708.06855.

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2017Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Papaioannou, Panagiotis G ; Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas . In: Papers. RePEc:arx:papers:1708.07063.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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2017A Modified Levy Jump-Diffusion Model Based on Market Sentiment Memory for Online Jump Prediction. (2017). Zhu, Zheqing ; Li, Lei ; Liu, Jian-Guo. In: Papers. RePEc:arx:papers:1709.03611.

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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2019A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2017Financial Time Series Prediction Using Deep Learning. (2017). Navon, Ariel ; Keller, Yosi. In: Papers. RePEc:arx:papers:1711.04174.

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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2018A Neural Stochastic Volatility Model. (2018). Luo, Rui ; Wang, Jun ; Xu, Xiaojun ; Zhang, Weinan. In: Papers. RePEc:arx:papers:1712.00504.

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2017Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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2017On Long Memory Origins and Forecast Horizons. (2017). Vera-Valdés, J. In: Papers. RePEc:arx:papers:1712.08057.

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2018A First Option Calibration of the GARCH Diffusion Model by a PDE Method. (2018). Papadopoulos, Yiannis A ; Lewis, Alan L. In: Papers. RePEc:arx:papers:1801.06141.

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2018Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation. (2018). Mendonca, Keegan ; Zuev, Konstantin M ; Pantelous, Athanasios A ; Kontosakos, Vasileios E. In: Papers. RePEc:arx:papers:1803.03364.

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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894.

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More than 100 citations found, this list is not complete...

Tim Bollerslev has edited the books:


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Works by Tim Bollerslev:


YearTitleTypeCited
2007A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures In: CREATES Research Papers.
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paper55
2011A reduced form framework for modeling volatility of speculative prices based on realized variation measures.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 55
article
2007Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks In: CREATES Research Papers.
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paper37
2010Jumps and betas: A new framework for disentangling and estimating systematic risks.(2010) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 37
article
2007Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities In: CREATES Research Papers.
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paper125
2011Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 125
article
2004Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2004) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 125
paper
2005Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2005) In: Proceedings.
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This paper has another version. Agregated cites: 125
article
2007Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
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paper380
2008Expected Stock Returns and Variance Risk Premia.(2008) In: CREATES Research Papers.
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paper
2006Expected stock returns and variance risk premia.(2006) In: Finance and Economics Discussion Series.
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paper
2009Expected Stock Returns and Variance Risk Premia.(2009) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 380
article
2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
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paper466
2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 466
paper
2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 466
article
2007Risk, Jumps, and Diversification In: CREATES Research Papers.
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paper78
2008Risk, jumps, and diversification.(2008) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 78
article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
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paper338
2007Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics.
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This paper has another version. Agregated cites: 338
article
2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 338
paper
2007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers.
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paper78
2010Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns.(2010) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 78
article
2008Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns.(2008) In: Working Paper.
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This paper has another version. Agregated cites: 78
paper
2007A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects In: CREATES Research Papers.
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paper78
2010A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 78
paper
2009A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects.(2009) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 78
article
2008Glossary to ARCH (GARCH) In: CREATES Research Papers.
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paper35
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies In: CREATES Research Papers.
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paper19
2010Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2010) In: Working Papers.
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paper
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2009) In: Working Papers.
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paper
2011Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2011) In: Review of Finance.
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article
2009Tails, Fears and Risk Premia In: CREATES Research Papers.
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paper140
2011Tails, Fears, and Risk Premia.(2011) In: Journal of Finance.
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article
2010Tails, Fears and Risk Premia.(2010) In: Working Papers.
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paper
2010Estimation of Jump Tails In: CREATES Research Papers.
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paper21
2010Estimation of Jump Tails.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 21
paper
2011Estimation of Jump Tails.(2011) In: Econometrica.
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article
2010Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns In: CREATES Research Papers.
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paper26
2013Jump tails, extreme dependencies, and the distribution of stock returns.(2013) In: Journal of Econometrics.
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article
2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
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paper19
2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
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paper
2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
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paper
2011Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability In: CREATES Research Papers.
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paper0
2012Stock Return and Cash Flow Predictability: The Role of Volatility Risk In: CREATES Research Papers.
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paper9
2015Stock return and cash flow predictability: The role of volatility risk.(2015) In: Journal of Econometrics.
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article
2014Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns In: CREATES Research Papers.
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paper4
2014Tail Risk Premia and Return Predictability In: CREATES Research Papers.
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paper2
2015Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions In: CREATES Research Papers.
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paper12
2013Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 12
paper
2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
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paper44
2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
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article569
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
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paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers.
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paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers.
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This paper has another version. Agregated cites: 569
paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
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article53
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
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paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
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paper
2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 53
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2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
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article730
1995Dan Nelson Remembered. In: Journal of Business & Economic Statistics.
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1996Periodic Autoregressive Conditional Heteroscedasticity. In: Journal of Business & Economic Statistics.
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1994Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche.
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1999Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies. In: Journal of Business & Economic Statistics.
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2002The Message in Daily Exchange Rates: A Conditional-Variance Tale. In: Journal of Business & Economic Statistics.
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1989The Message in Daily Exchange Rates: A Conditional-Variance Tale..(1989) In: Journal of Business & Economic Statistics.
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1993Cointegration, Fractional Cointegration, and Exchange RAte Dynamics..(1993) In: Michigan State - Econometrics and Economic Theory.
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1997 Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. In: Journal of Finance.
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article218
1996Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns.(1996) In: NBER Working Papers.
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1998Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: Journal of Finance.
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article309
1985A Note on the Relation between Consumers Expenditure and Income in the United Kingdom. In: Oxford Bulletin of Economics and Statistics.
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2011Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors Introduction In: Journal of Time Series Econometrics.
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2002Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers.
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paper89
2004ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review.
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2002Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities In: CIRANO Working Papers.
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2002CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES.(2002) In: Cahiers de recherche.
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1994On Periodic Autogressive Conditional Heteroskedasticity In: CIRANO Working Papers.
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2001Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers.
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2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
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2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility In: Journal of Econometrics.
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1991Bear Squeezes in the Hyperinflation 1920s Foreign Exchange. In: Michigan State - Econometrics and Economic Theory.
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1999The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers.
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1999Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: Multinational Finance Journal.
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1999Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian.(1999) In: Center for Financial Institutions Working Papers.
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1999(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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[Full Text][Citation analysis]
article1092

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