Tim Bollerslev : Citation Profile

Are you Tim Bollerslev?

Duke University (98% share)
National Bureau of Economic Research (NBER) (1% share)
Aarhus Universitet (1% share)

57

H index

86

i10 index

25042

Citations

RESEARCH PRODUCTION:

86

Articles

100

Papers

4

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   35 years (1985 - 2020). See details.
   Cites by year: 715
   Journals where Tim Bollerslev has often published
   Relations with other researchers
   Recent citing documents: 941.    Total self citations: 110 (0.44 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo66
   Updated: 2021-03-01    RAS profile: 2020-09-05    
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Relations with other researchers

Works with:

Patton, Andrew (6)

Quaedvlieg, Rogier (5)

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 (724)

Degiannakis, Stavros (293)

Chang, Chia-Lin (275)

GUPTA, RANGAN (198)

Caporin, Massimiliano (178)

Asai, Manabu (176)

Shephard, Neil (174)

Laurent, Sébastien (137)

Diebold, Francis (128)

Christoffersen, Peter (127)

Medeiros, Marcelo (120)

Cites to:

Andersen, Torben (227)

Diebold, Francis (205)

Engle, Robert (150)

Shephard, Neil (98)

Tauchen, George (77)

Campbell, John (71)

Barndorff-Nielsen, Ole (67)

Schwert, G. (62)

Baillie, Richard (53)

Meddahi, Nour (53)

Gallant, A. (53)

Main data

Where Tim Bollerslev has published?

Journals with more than one article published# docs
Journal of Econometrics25
Journal of Business & Economic Statistics6
Journal of Finance5
Econometrica4
Journal of International Money and Finance4
The Review of Economics and Statistics4
Journal of Financial Economics4
Journal of Empirical Finance3
Proceedings2
Journal of Applied Econometrics2
Journal of International Economics2
Review of Financial Studies2
International Economic Review2
Review of Economic Studies2
Journal of Financial and Quantitative Analysis2
American Economic Review2

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 (U.S.)5
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Tim Bollerslev (2021 and 2020)

YearTitle of citing document
2020Adaptive Inference in Heteroskedastic Fractional Time Series Models. (2020). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2020-08.

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2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12.

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2020To infinity and beyond: Efficient computation of ARCH(1) models. (2020). Nielsen, Morten ; Noel, Antoine L. In: CREATES Research Papers. RePEc:aah:create:2020-13.

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2021A machine learning approach to volatility forecasting. (2021). Siggaard, Mathias ; Christensen, Kim ; Veliyev, Bezirgen. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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2020Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh. (2020). Saeed, Muhammad Yasir ; Ghafoor, Muhammad Mudasar ; Hamid, Kashif. In: Global Economics Review. RePEc:aaw:journl:v:5:y:2020:i:1:p:102-116.

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2020Exploring the Inflationary Effect of Oil Price Volatility in Africas Oil Exporting Countries. (2020). Adekunle, Ibrahim A ; George, Emmanuel O ; Ogede, Sina J. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/020.

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2020Predicting the volatility in stock return of emerging economy: An empirical approach. (2020). Yadav, Miklesh Prasad ; Khera, Aastha. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(625):y:2020:i:4(625):p:233-244.

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2020Financial stress index, growth and price stability in India: Some recent evidence. (2020). Sahoo, Jayantee. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvii:y:2020:i:1(622):p:105-124.

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2020Volatility Transmission between Oil Prices and Stock Prices as a New Source of Instability: Lessons from the UK Experience. (2020). Of, Dundee University ; Robertson, John . In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2020:p:217-223.

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2021Decoupling 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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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2020Estimation 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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2020Improving Value-at-Risk prediction under model uncertainty. (2018). Yao, Jianfeng ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:1805.03890.

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2020LASSO-Driven Inference in Time and Space. (2019). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen ; Hardle, Wolfgang K. In: Papers. RePEc:arx:papers:1806.05081.

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2020Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2020DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:1808.03668.

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2020A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

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2020Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor. In: Papers. RePEc:arx:papers:1901.05024.

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2020A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2021Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123.

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2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

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2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

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2020Artificial intelligence approach to momentum risk-taking. (2019). Cherednik, Ivan. In: Papers. RePEc:arx:papers:1911.08448.

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2020Revisiting the Epps effect using volume time averaging: An exercise in R. (2019). Gebbie, Tim ; Bukuru, Roger ; Chang, Patrick. In: Papers. RePEc:arx:papers:1912.02416.

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2020Bayesian Median Autoregression for Robust Time Series Forecasting. (2020). Li, Meng ; Zeng, Zijian. In: Papers. RePEc:arx:papers:2001.01116.

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2020Disentangling shock diffusion on complex networks: Identification through graph planarity. (2020). Chakrabarti, Anindya S ; di Matteo, Tiziana ; Kumar, Sudarshan. In: Papers. RePEc:arx:papers:2001.01518.

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2020Path-dependent volatility models. (2020). Lacombe, Chloe ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2001.05248.

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2020A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. (2020). Gao, Junbin ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Li, Zhengkun. In: Papers. RePEc:arx:papers:2001.08374.

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2020Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911.

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2020Risk Fluctuation Characteristics of Internet Finance: Combining Industry Characteristics with Ecological Value. (2020). Shuai, Hefan ; Xiao, Yadong ; Marshall, Tom ; Ye, Nan ; Mi, Chuanmin ; Xu, Runjie. In: Papers. RePEc:arx:papers:2001.09798.

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2020An internal fraud model for operational losses in retail banking. (2020). Vega, Marco ; Paredes, Roc'Io. In: Papers. RePEc:arx:papers:2002.03235.

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2020Gaussian process imputation of multiple financial series. (2020). Tobar, Felipe ; Cuevas, Alejandro ; de Wolff, Taco. In: Papers. RePEc:arx:papers:2002.05789.

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2020TPLVM: Portfolio Construction by Students $t$-process Latent Variable Model. (2020). Nakagawa, Kei ; Uchiyama, Yusuke. In: Papers. RePEc:arx:papers:2002.06243.

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2020Deep Learning for Asset Bubbles Detection. (2020). Marchal, Alexis ; Bashchenko, Oksana. In: Papers. RePEc:arx:papers:2002.06405.

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2020Cross-sectional Stock Price Prediction using Deep Learning for Actual Investment Management. (2020). Nakagawa, Kei ; Abe, Masaya. In: Papers. RePEc:arx:papers:2002.06975.

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2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

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2021Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135.

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2020Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656.

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2020Investigating the influence Brexit had on Financial Markets, in particular the GBP/EUR exchange rate. (2020). Filletti, Michael. In: Papers. RePEc:arx:papers:2003.05895.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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2020Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

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2020Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015.

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2021An extensive study of stylized facts displayed by Bitcoin returns. (2020). Brigatti, E ; Bertella, M A ; Silva, J N ; F. N. M. de Sousa Filho, . In: Papers. RePEc:arx:papers:2004.05870.

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2020Clustering volatility regimes for dynamic trading strategies. (2020). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963.

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2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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2020Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data. (2020). Fallahgoul, Hasan. In: Papers. RePEc:arx:papers:2004.11686.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Defining an intrinsic stickiness parameter of stock price returns. (2020). Andersen, Jorgen Vitting ; Massad, Naji. In: Papers. RePEc:arx:papers:2005.02351.

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2020Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2020Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2020Using Machine Learning to Forecast Future Earnings. (2020). Zhou, Yue ; Xu, Zhaoyu ; Cui, Xinyue. In: Papers. RePEc:arx:papers:2005.13995.

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2020The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158.

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2021An Adaptive Recursive Volatility Prediction Method. (2020). Wintenberger, Olivier ; Werge, Nicklas. In: Papers. RePEc:arx:papers:2006.02077.

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2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Roh, Kum-Hwan ; Kim, Young Shin. In: Papers. RePEc:arx:papers:2006.07669.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2021Learning a functional control for high-frequency finance. (2020). Lehalle, Charles-Albert ; Lauriere, Mathieu ; Leal, Laura. In: Papers. RePEc:arx:papers:2006.09611.

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2020Investment Disputes and Abnormal Volatility of Stocks. (2020). Baruník, Jozef ; Drabek, Zdenek ; Nevrla, Matej. In: Papers. RePEc:arx:papers:2006.10505.

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2020Time series copula models using d-vines and v-transforms: an alternative to GARCH modelling. (2020). McNeil, Alexander J ; Bladt, Martin. In: Papers. RePEc:arx:papers:2006.11088.

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2020Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen. In: Papers. RePEc:arx:papers:2006.12039.

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2020Locally trimmed least squares: conventional inference in possibly nonstationary models. (2020). Kasparis, Ioannis ; Hu, Zhishui ; Wang, Qiying. In: Papers. RePEc:arx:papers:2006.12595.

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2020A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2020Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). Alonso-Gonz, P J ; Ramos, E ; J. J. N'u~nez-Vel'azquez, . In: Papers. RePEc:arx:papers:2006.16383.

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2020Dynamic Hedging using Generated Genetic Programming Implied Volatility Models. (2020). Abdelmalek, Wafa ; Abid, Fathi ; ben Hamida, Sana. In: Papers. RePEc:arx:papers:2006.16407.

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2020A micro-to-macro approach to returns, volumes and waiting times. (2020). Petroni, Filippo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:2007.06262.

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2020Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility. (2020). Abdelmalek, Wafa ; ben Hamida, Sana ; Abid, Fathi. In: Papers. RePEc:arx:papers:2007.07207.

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2020Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets. (2020). Klein, Jules ; Garcin, Matthieu ; Laaribi, Sana. In: Papers. RePEc:arx:papers:2007.09043.

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2020Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2020An estimator for predictive regression: reliable inference for financial economics. (2020). Shephard, Neil. In: Papers. RePEc:arx:papers:2008.06130.

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2020Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822.

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2020Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2020Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2020Volatility Forecasting with 1-dimensional CNNs via transfer learning. (2020). , J'Ozsef ; Petneh, G'Abor ; Aradi, Bernadett. In: Papers. RePEc:arx:papers:2009.05508.

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2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

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2020Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2009.09770.

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2020Distillation of News Flow into Analysis of Stock Reactions. (2020). Bommes, Elisabeth ; Chen, Cathy Y ; Hardle, Wolfgang Karl ; Zhang, Junni L. In: Papers. RePEc:arx:papers:2009.10392.

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2020The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2020). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2009.10972.

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2020A first econometric analysis of the CRIX family. (2020). Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan. In: Papers. RePEc:arx:papers:2009.12129.

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2020Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278.

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2020Are cryptocurrencies becoming more interconnected?. (2020). Perez-Laborda, Alejandro ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios. In: Papers. RePEc:arx:papers:2009.14561.

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2020Tail-risk protection: Machine Learning meets modern Econometrics. (2020). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2010.03315.

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2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

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2020A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets. (2020). Hao, Wenyan ; Chi, Yeguang. In: Papers. RePEc:arx:papers:2010.07402.

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2020Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659.

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2020Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113.

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2020Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning. (2020). Zhang, Weizhong ; Yan, Xing ; Wu, QI ; Liu, Wei ; Ma, Lin. In: Papers. RePEc:arx:papers:2010.08263.

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2020High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2020Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2020Derivatives Pricing in Non-Arbitrage Market. (2020). Gonchar, N S. In: Papers. RePEc:arx:papers:2010.13630.

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2020The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2020Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2020Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939.

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2020Autoregressive models of the time series under volatility uncertainty and application to VaR model. (2020). Yang, Shuzhen ; Peng, Shige. In: Papers. RePEc:arx:papers:2011.09226.

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2020On Classifying the Effects of Policy Announcements on Volatility. (2020). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2011.14094.

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

Tim Bollerslev has edited the books:

YearTitleTypeCited

Works by Tim Bollerslev:

YearTitleTypeCited
2007A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures In: CREATES Research Papers.
[Full Text][Citation analysis]		paper65
2011A reduced form framework for modeling volatility of speculative prices based on realized variation measures.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65		article
2007Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks In: CREATES Research Papers.
[Full Text][Citation analysis]		paper45
2010Jumps and betas: A new framework for disentangling and estimating systematic risks.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45		article
2007Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities In: CREATES Research Papers.
[Full Text][Citation analysis]		paper152
2011Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
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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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