Tim Bollerslev : Citation Profile

Are you Tim Bollerslev?

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

62

H index

91

i10 index

30661

Citations

RESEARCH PRODUCTION:

86

Articles

100

Papers

4

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   35 years (1985 - 2020). See details.
   Cites by year: 876
   Journals where Tim Bollerslev has often published
   Relations with other researchers
   Recent citing documents: 1959.    Total self citations: 112 (0.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo66
   Updated: 2023-03-25    RAS profile: 2020-09-05    
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Relations with other researchers

Works with:

Quaedvlieg, Rogier (3)

Patton, Andrew (3)

Pedersen, Lasse (2)

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

Is cited by:

Degiannakis, Stavros (333)

GUPTA, RANGAN (281)

Chang, Chia-Lin (225)

Caporin, Massimiliano (197)

Shephard, Neil (190)

Asai, Manabu (181)

Laurent, Sébastien (161)

Diebold, Francis (149)

Nielsen, Morten (136)

Baruník, Jozef (135)

Medeiros, Marcelo (131)

Cites to:

Andersen, Torben (250)

Diebold, Francis (235)

Engle, Robert (178)

Shephard, Neil (118)

Campbell, John (88)

Tauchen, George (84)

Schwert, G. (68)

Hansen, Peter (63)

Lunde, Asger (58)

Baillie, Richard (57)

Meddahi, Nour (56)

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
Journal of International Money and Finance4
Econometrica4
Journal of Financial Economics4
The Review of Economics and Statistics4
Journal of Empirical Finance3
Review of Economic Studies2
Journal of International Economics2
Proceedings2
Journal of Financial and Quantitative Analysis2
Journal of Applied Econometrics2
International Economic Review2
Review of Financial Studies2
American Economic Review2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc17
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 (2022 and 2021)

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

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05.

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2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2021Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. (2021). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: CREATES Research Papers. RePEc:aah:create:2021-13.

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2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2022Betting on mean reversion in the VIX? Evidence from ETP flows. (2022). Posselt, Anders Merrild ; Nielsen, Ole Linnemann. In: CREATES Research Papers. RePEc:aah:create:2022-06.

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2021The Risk Analysis of Sukuk: An Empirical Evidence from Pakistan ????? ????? ??????: ???? ??????? ?? ???????. (2021). Iqbal, Anam ; Azam, Khuram Mobusher ; Aslam, Ejaz. In: Journal of King Abdulaziz University: Islamic Economics. RePEc:abd:kauiea:v:34:y:2021:i:1:no:2:p:25-43.

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2022Modelling the Relationship Between Trading Volume and Stock Returns Volatility for Islamic and Conventional Banks: The Case of Saudi Arabia ????? ??????? ??? ??? ??????? ????? ????? ?????? ?????? ????. (2022). Saci, Karima. In: Journal of King Abdulaziz University: Islamic Economics. RePEc:abd:kauiea:v:35:y:2022:i:1:no:3:p:41-55.

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2021Effect of Exchange Rate Volatility on Tax Revenue Performance in Sub-Saharan Africa. (2021). Ofori, Isaac Kwesi ; Obeng, Camara Kwasi ; Mwinlaaru, Peter Y. In: Research Africa Network Working Papers. RePEc:abh:wpaper:21/031.

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2021Implied Dividend Volatility and Expected Growth. (2021). Martin, Ian ; Gormsen, Niels J. In: AEA Papers and Proceedings. RePEc:aea:apandp:v:111:y:2021:p:361-65.

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2021TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21.

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2021Modelling of Daily Price Volatility of South Africa Property Stock Market Using GARCH Analysis. (2021). Ajay, Cyril A ; Fateye, Tosin B. In: AfRES. RePEc:afr:wpaper:2021-013.

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2021Effect of Exchange Rate Volatility on Tax Revenue Performance in Sub-Saharan Africa. (2021). Ofori, Isaac K ; Mwinlaaru, Peter Y ; Obeng, Camara K. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:21/031.

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2021A pragmatic evaluation of the interconnection between currency futures return volatility, open interest and volume. (2021). Johnson, Johney ; Devan, Karthika P. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(626):y:2021:i:1(626):p:289-296.

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2021Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices. (2021). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(627):y:2021:i:2(627):p:259-284.

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2022Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model. (2022). Suchitra, S ; Rangappa, K B ; Chetan, G K. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:151-164.

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2021Multifactorial analysis of the price formation in the terms of a risk-free rate. (2021). Radu, Iulian ; Anghel, Mdlina-Gabriela ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(628):y:2021:i:3(628):p:33-44.

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2021Time-varying volatility spillover of foreign exchange rate in three Asian markets: Based on DCC-GARCH approach. (2021). Sahoo, Malayaranjan ; Mishra, Amritkant ; Srivastava, Purwa ; Gupta, Mohini. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(629):y:2021:i:4(629):p:105-120.

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2021.

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2021.

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2021.

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2021Unravelling complex market relationships. A study on the price volatility of Brazilian pork using a DCC-MGARCH approach. (2021). Brummer, Bernhard ; Jaghdani, Tinoush Jamali ; Rosero, Gabriel . In: 94th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid). RePEc:ags:aesc21:311090.

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2022Determinants of Stock Market Volatility in Africa. (2022). Uhunmwangho, Monday. In: African Journal of Economic Review. RePEc:ags:afjecr:320586.

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2021.

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2021Preisvolatilität auf Agrarmärkten. (2021). Brummer, Bernhard. In: IAMO Discussion Papers. RePEc:ags:iamodp:310089.

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2021Impact of rough stochastic volatility models on long-term life insurance pricing. (2021). Hainaut, Donatien ; Barbarin, Jerome ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021017.

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2021Portfolio insurance under rough volatility and Volterra processes. (2021). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021026.

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2022A subdiffusive stochastic volatility jump model. (2022). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022001.

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2022Asymmetric volatility impulse response functions. (2022). Herwartz, Helmut ; Hafner, Christian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022037.

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2021Unpacking the black box of ICO white papers: a topic modeling approach. (2021). Torsin, Wouter ; Thewissen, James ; Shrestha, Prabal ; Pastwa, Anna M. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021018.

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2022Forecasting total energy’s CO2 emissions. (2022). Leccadito, Arturo ; Algieri, Bernardina ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022003.

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2021Modelación de la Volatilidad del Tipo de Cambio del Dólar en el Perú: Aplicación de los Modelos GARCH y EGARCH.. (2021). Alva, Victor Chung. In: Revista de Análisis Económico y Financiero. RePEc:alp:revaef:07-02.

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2022Can Digital Currencies Serve as Safe Havens in the Post-Covid Era?. (2022). Adom, Dsir A. In: Business, Management and Economics Research. RePEc:arp:bmerar:2022:p:17-27.

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2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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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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2021Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587.

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2021Tail 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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2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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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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2021Stochastic 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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2021Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

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2022Path-dependent volatility models. (2020). Lacombe, Chloe ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2001.05248.

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

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2021Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656.

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2021Streaming 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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2021Time-varying volatility in Bitcoin market and information flow at minute-level frequency. (2020). Antulov-Fantulin, Nino ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2004.00550.

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2021Bias 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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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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2021Clustering 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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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2021Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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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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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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2021Time 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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2022A 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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2022Estimation 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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2022Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837.

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2021Modelling 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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2021On the Origin(s) of the Term Big Data. (2020). Diebold, Francis. In: Papers. RePEc:arx:papers:2008.05835.

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2021Long 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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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2022The 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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2021Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278.

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2021Tail-risk protection: Machine Learning meets modern Econometrics. (2020). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2010.03315.

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2022Roughness 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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2022High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2022Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2022The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2021Using 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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2021Pattern 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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2021Autoregressive 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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2021On 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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2021Quantum Technology for Economists. (2021). Hull, Isaiah ; Sattath, OR ; Wendin, Goran ; Diamanti, Eleni. In: Papers. RePEc:arx:papers:2012.04473.

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2021Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041.

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2021To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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2021Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693.

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2021Time-varying properties of asymmetric volatility and multifractality in Bitcoin. (2021). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2102.07425.

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2021Power-Law Return-Volatility Cross Correlations of Bitcoin. (2021). Takaishi, T. In: Papers. RePEc:arx:papers:2102.08187.

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2021Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209.

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2021Modeling Price Clustering in High-Frequency Prices. (2021). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2102.12112.

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2021Deep Stochastic Volatility Model. (2021). Chen, Ying ; Xu, Xiuqin. In: Papers. RePEc:arx:papers:2102.12658.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2021High-dimensional estimation of quadratic variation based on penalized realized variance. (2021). Podolskij, Mark ; Nielsen, Mikkel Slot ; Christensen, Kim. In: Papers. RePEc:arx:papers:2103.03237.

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2022Online Learning with Radial Basis Function Networks. (2021). Barucca, Paolo ; Firoozye, Nick ; Borrageiro, Gabriel. In: Papers. RePEc:arx:papers:2103.08414.

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2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2021Modelling uncertainty in financial tail risk: a forecasting combination and weighted quantile approach. (2021). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2104.04918.

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2021GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series. (2021). STUPFLER, Gilles ; Kawasaki, Yoshinori ; Kaibuchi, Hibiki. In: Papers. RePEc:arx:papers:2104.09879.

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2021The Impact of Brazil on Global Grain Dynamics: A Study on Cross-Market Volatility Spillovers. (2021). Avileis, Felipe ; Mallory, Mindy. In: Papers. RePEc:arx:papers:2104.12706.

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2021On the joint volatility dynamics in dairy markets. (2021). Rezitis, Anthony ; Kastner, Gregor. In: Papers. RePEc:arx:papers:2104.12707.

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2021FX Market Volatility. (2021). Koshelev, Anton. In: Papers. RePEc:arx:papers:2104.14190.

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2023Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

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2022Deep Reinforcement Trading with Predictable Returns. (2021). Brini, Alessio ; Tantari, Daniele. In: Papers. RePEc:arx:papers:2104.14683.

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2021Order flow in the financial markets from the perspective of the Fractional L\{e}vy stable motion. (2021). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2105.02057.

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2021Global Index on Financial Losses due to Crime in the United States. (2021). Mahanama, Thilini ; Rachev, Svetlozar ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2105.03514.

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2021Generalized Autoregressive Moving Average Models with GARCH Errors. (2021). Zheng, Tingguo ; Chen, Rong ; Xiao, Han. In: Papers. RePEc:arx:papers:2105.05532.

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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]		paper98
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: 98		article
2007Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks In: CREATES Research Papers.
[Full Text][Citation analysis]		paper66
2010Jumps and betas: A new framework for disentangling and estimating systematic risks.(2010) In: Journal of Econometrics.
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