Tim Bollerslev : Citation Profile

Are you Tim Bollerslev?

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

53

H index

78

i10 index

19886

Citations

RESEARCH PRODUCTION:

72

Articles

96

Papers

3

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   30 years (1985 - 2015). See details.
   Cites by year: 662
   Journals where Tim Bollerslev has often published
   Relations with other researchers
   Recent citing documents: 972.    Total self citations: 96 (0.48 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbo66
   Updated: 2018-06-16    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 (650)

Chang, Chia-Lin (237)

Degiannakis, Stavros (196)

Shephard, Neil (167)

Caporin, Massimiliano (153)

Asai, Manabu (149)

Christoffersen, Peter (126)

Diebold, Francis (122)

Laurent, Sébastien (121)

Medeiros, Marcelo (117)

Engle, Robert (108)

Cites to:

Andersen, Torben (207)

Diebold, Francis (182)

Engle, Robert (129)

Tauchen, George (69)

Campbell, John (69)

Shephard, Neil (68)

Schwert, G. (65)

Barndorff-Nielsen, Ole (55)

Baillie, Richard (50)

Drost, Feike C. (49)

Meddahi, Nour (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 Finance6
Econometrica4
Journal of International Money and Finance4
The Review of Economics and Statistics4
Journal of Empirical Finance3
Journal of Applied Econometrics2
Journal of International Economics2
Proceedings2
Journal of Financial Economics2
International Economic Review2
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 (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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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. 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 ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo ; Silvennoinen, Annastiina. 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). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich. 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 Risk Premia Embedded in Index Options. (2018). Andersen, Torben G ; 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 G ; 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 G ; 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). Amado, Cristina ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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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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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). Panda, Pradiptarathi ; Chittine, Jyothi ; Deo, Malabika . 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). Nkemnole, E B ; Wulu, J T. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:45-60.

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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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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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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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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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2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). 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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2017Local Parametric Estimation in High Frequency Data. (2017). 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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2018Multivariate 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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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). 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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2017Probability density of lognormal fractional SABR model. (2017). 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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2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2018Testing if the market microstructure noise is a function of 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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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2017A 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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2017A simple model for forecasting conditional return distributions. (2017). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2017A Neural Stochastic Volatility Model. (2017). 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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2018A 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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2018Universal features of price formation in financial markets: perspectives from Deep Learning. (2018). Sirignano, Justin ; Cont, Rama. In: Papers. RePEc:arx:papers:1803.06917.

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2018Exploring the predictability of range-based volatility estimators using RNNs. (2018). Petneh, G'Abor. In: Papers. RePEc:arx:papers:1803.07152.

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2018Computing the CEV option pricing formula using the semiclassical approximation of path integral. (2018). Araneda, Axel A ; Villena, Marcelo J. In: Papers. RePEc:arx:papers:1803.10376.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, KE. In: Papers. RePEc:arx:papers:1804.02348.

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2018Econophysics Beyond General Equilibrium: the Business Cycle Model. (2018). Olkhov, Victor. In: Papers. RePEc:arx:papers:1804.04721.

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2018Distributions of Historic Market Data -- Implied and Realized Volatility. (2018). Moghaddam, Dashti M ; Serota, R A ; Liu, Zhiyuan. In: Papers. RePEc:arx:papers:1804.05279.

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2018Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: Papers. RePEc:arx:papers:1804.07978.

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2018Closed-form approximations in derivatives pricing: The Kristensen-Mele approach. (2018). Kurz, Michael. In: Papers. RePEc:arx:papers:1804.08904.

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

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2018Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2018Effects of a Price limit Change on Market Stability at the Intraday Horizon in the Korean Stock Market. (2018). Kim, Wonse ; Jun, Sungjae. In: Papers. RePEc:arx:papers:1805.04728.

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2017Exploring the Returns and Volatility Spillover Effect in Taiwan and Japan Stock Markets. (2017). Peng, Chi-Lu ; Wang, Cheng-Te ; Tsai, Chin-Chang ; Chung, Chi-Fu . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:175-187.

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2017Volatility Modelling and Parametric Value-At-Risk Forecast Accuracy: Evidence from Metal Products. (2017). Mabrouk, Samir. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:63-80.

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2017Oil Price Volatility and Fiscal Behaviour if Government in Nigeria. (2017). fasanya, Ismail ; Aregbeyen, Omo . In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2017:p:118-134.

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2017Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices. (2017). Darabi, Roya ; Ghorashi, Felor . In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2017:p:44-48.

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2018Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model. (2018). Demos, Antonis ; Kyriakopoulou, Dimitra . In: DEOS Working Papers. RePEc:aue:wpaper:1802.

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2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian . In: Working Papers. RePEc:awi:wpaper:0632.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2017A Mixtured Localized Likelihood Method for GARCH Models with Multiple Change-points. (2017). Xing, Haipeng ; Zhou, Sichen ; Yuan, Hongsong . In: Review of Economics & Finance. RePEc:bap:journl:170204.

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2017Portfolio Optimization Using Multivariate t-Copulas with Conditionally Skewed Margins. (2017). Shekhar, Chirag ; Trede, Mark. In: Review of Economics & Finance. RePEc:bap:journl:170303.

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2018Measuring the Impact of Monetary Policy Attention on Global Asset Volatility Using Search Data. (2018). Wohlfarth, Paul. In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1803.

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2017Expected Currency Returns and Volatility Risk Premia. (2017). ORNELAS, JOSE ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:454.

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2017Volatility Risk Premia and Future Commodity Returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:455.

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2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Viola, Alessandra Pasqualina . In: Working Papers Series. RePEc:bcb:wpaper:466.

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2018How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation. (2018). Jin, Xisong . In: BCL working papers. RePEc:bcl:bclwop:bclwp118.

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2017Study on spillover effect between international soybean market and Chinas domestic soybean market. (2017). Ma, Kun ; Diao, Gang. In: Ensayos sobre Política Económica. RePEc:bdr:ensayo:v:35:y:2017:i:84:p:260-266.

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2017Islamic Calendar Anomalies: Evidence from Pakistan. (2017). Syed, Fatima ; Khan, Naimat U. In: Business & Economic Review. RePEc:bec:imsber:v:9:y:2017:i:3:p:104-122.

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2017Oil, equities, and the zero lower bound. (2017). Vigfusson, Robert ; Kwon, Hannah ; Johannsen, Benjamin K ; Datta, Deepa . In: BIS Working Papers. RePEc:bis:biswps:617.

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2017Volatility risk premia and future commodities returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: BIS Working Papers. RePEc:bis:biswps:619.

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2017Macroprudential policy and bank risk. (2017). Gambacorta, Leonardo ; Binici, Mahir ; Altunbas, Yener. In: BIS Working Papers. RePEc:bis:biswps:646.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

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2017Risk assessment of oil price from static and dynamic modelling approaches. (2017). Wei, Yi-Ming ; Mi, Zhifu ; Tang, Bao-Jun ; Guan, Dabo ; Cao, Hong ; Yu, Hao ; Cong, Rong-Gang. In: CEEP-BIT Working Papers. RePEc:biw:wpaper:102.

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2017Rare disaster risk and the expected equity risk premium. (2017). Berkman, Henk ; Lee, John B ; Jacobsen, Ben. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:351-372.

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2017How return and risk experiences shape investor beliefs and preferences. (2017). , Arvid ; Smith, Tom ; Post, Thomas. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:759-788.

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2017Fund Volatility Index using equity market state prices. (2017). O'Neill, Michael J ; Smith, Tom ; Liu, Zhangxin . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:837-853.

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2017Normality of stock returns with event time clocks. (2017). Ling, Xin . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:277-298.

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2017Revisiting the Forward Premium Anomaly Using Consumption Habits: A New Keynesian Model. (2017). de Paoli, Bianca ; Sondergaard, Jens . In: Economica. RePEc:bla:econom:v:84:y:2017:i:335:p:516-540.

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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]		paper43
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: 43		article
2007Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks In: CREATES Research Papers.
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