53
H index
80
i10 index
22247
Citations
Tim Bollerslev : Citation Profile
Duke University | RESEARCH PRODUCTION: 71 Articles 96 Papers 3 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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30 years (1985 - 2015). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Tim Bollerslev. | Is cited by:
| Cites to:
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Main data
Where Tim Bollerslev has published?
Recent works citing Tim Bollerslev (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2017 | Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-10. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2017 | Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16. Full description at Econpapers || Download paper | |
| 2017 | Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19. Full description at Econpapers || Download paper | |
| 2017 | Variance swap payoffs, risk premia and extreme market conditions. (2017). Stentoft, Lars ; Violante, Francesco. In: CREATES Research Papers. RePEc:aah:create:2017-21. Full description at Econpapers || Download paper | |
| 2017 | Inference from the futures: ranking the noise cancelling accuracy of realized measures. (2017). Mirone, Giorgio . In: CREATES Research Papers. RePEc:aah:create:2017-24. Full description at Econpapers || Download paper | |
| 2017 | Decoupling 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. Full description at Econpapers || Download paper | |
| 2017 | Consistency 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. Full description at Econpapers || Download paper | |
| 2017 | Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-29. Full description at Econpapers || Download paper | |
| 2017 | Is 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. Full description at Econpapers || Download paper | |
| 2017 | Long- 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2018 | The Risk Premia Embedded in Index Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-07. Full description at Econpapers || Download paper | |
| 2018 | Short-Term Market Risks Implied by Weekly Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-08. Full description at Econpapers || Download paper | |
| 2018 | Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09. Full description at Econpapers || Download paper | |
| 2018 | Reexamining 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. Full description at Econpapers || Download paper | |
| 2018 | Models 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2018 | The drift burst hypothesis. (2018). Reno, Roberto ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-21. Full description at Econpapers || Download paper | |
| 2017 | Economic 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. Full description at Econpapers || Download paper | |
| 2018 | Realizing 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2019 | Resuscitating the co-fractional model of Granger (1986). (2019). de Magistris, Paolo Santucci ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02. Full description at Econpapers || Download paper | |
| 2019 | Assessing 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. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2018 | Volatility 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. Full description at Econpapers || Download paper | |
| 2018 | Volatility 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. Full description at Econpapers || Download paper | |
| 2019 | Forecasting 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. Full description at Econpapers || Download paper | |
| 2019 | Studying 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. Full description at Econpapers || Download paper | |
| 2017 | Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly. Full description at Econpapers || Download paper | |
| 2019 | Testing 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. Full description at Econpapers || Download paper | |
| 2019 | Memory 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. Full description at Econpapers || Download paper | |
| 2018 | Macroeconomic 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. Full description at Econpapers || Download paper | |
| 2017 | Dynamic 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. Full description at Econpapers || Download paper | |
| 2017 | Modeling 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. Full description at Econpapers || Download paper | |
| 2017 | Asymmetric 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. Full description at Econpapers || Download paper | |
| 2017 | What 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. Full description at Econpapers || Download paper | |
| 2017 | Future 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. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Surprise 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. Full description at Econpapers || Download paper | |
| 2017 | Forecasting Tax Revenue and its Volatility in Tanzania. (2017). Chimilila, Cyril. In: African Journal of Economic Review. RePEc:ags:afjecr:264561. Full description at Econpapers || Download paper | |
| 2017 | Price 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. Full description at Econpapers || Download paper | |
| 2017 | SYSTEMATIC 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. Full description at Econpapers || Download paper | |
| 2017 | Temperature Anomalies, Radiative Forcing and ENSO. (2017). Sbrana, Giacomo ; MORANA, CLAUDIO. In: MITP: Mitigation, Innovation and Transformation Pathways. RePEc:ags:feemmi:253732. Full description at Econpapers || Download paper | |
| 2017 | Impacts 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. Full description at Econpapers || Download paper | |
| 2018 | FOOD 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2018 | How 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. Full description at Econpapers || Download paper | |
| 2017 | DOES 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. Full description at Econpapers || Download paper | |
| 2018 | Asymmetric 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2017 | VOLATILITY 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. Full description at Econpapers || Download paper | |
| 2017 | Wave after Wave: Contagion Risk from Commodity Markets. (2017). Algieri, Bernardina ; Leccadito, Arturo. In: Discussion Papers. RePEc:ags:ubzefd:257801. Full description at Econpapers || Download paper | |
| 2017 | Media Coverage and Food Commodities: Agricultural Futures Prices and Volatility Effects. (2017). Torero, Maximo ; Almanzar, Miguel . In: Discussion Papers. RePEc:ags:ubzefd:264781. Full description at Econpapers || Download paper | |
| 2017 | Heterogeneity and Clustering of Defaults. (2017). Turner, Matthew ; Terovitis, Spyridon ; Galanis, Girogos ; Karlis, Alexandros . In: Economic Research Papers. RePEc:ags:uwarer:270011. Full description at Econpapers || Download paper | |
| 2017 | Impact 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. Full description at Econpapers || Download paper | |
| 2017 | Weekend 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. Full description at Econpapers || Download paper | |
| 2018 | Modeling 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. Full description at Econpapers || Download paper | |
| 2017 | Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut. In: Papers. RePEc:arx:papers:1509.01175. Full description at Econpapers || Download paper | |
| 2018 | Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). BarunÃk, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946. Full description at Econpapers || Download paper | |
| 2018 | Model-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. Full description at Econpapers || Download paper | |
| 2017 | Limit-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. Full description at Econpapers || Download paper | |
| 2017 | Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; BarunÃk, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489. Full description at Econpapers || Download paper | |
| 2018 | Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700. Full description at Econpapers || Download paper | |
| 2017 | Evidence 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. Full description at Econpapers || Download paper | |
| 2019 | Multivariate Garch with dynamic beta. (2018). Raddant, Matthias ; Wagner, Friedrich . In: Papers. RePEc:arx:papers:1609.07051. Full description at Econpapers || Download paper | |
| 2017 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332. Full description at Econpapers || Download paper | |
| 2018 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185. Full description at Econpapers || Download paper | |
| 2017 | Chebyshev Reduced Basis Function applied to Option Valuation. (2017). Gaton, Victor ; de Frutos, Javier. In: Papers. RePEc:arx:papers:1701.01429. Full description at Econpapers || Download paper | |
| 2017 | Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152. Full description at Econpapers || Download paper | |
| 2017 | Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes. (2017). Chatterjee, Swarnankur. In: Papers. RePEc:arx:papers:1701.07175. Full description at Econpapers || Download paper | |
| 2019 | Probability density of lognormal fractional SABR model. (2019). Akahori, Jiro ; Wang, Tai-Ho ; Song, Xiaoming . In: Papers. RePEc:arx:papers:1702.08081. Full description at Econpapers || Download paper | |
| 2017 | A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors. (2017). Mukhoti, Sujay ; Ranjan, Pritam . In: Papers. RePEc:arx:papers:1703.06603. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2017 | Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Kruger, Fabian. In: Papers. RePEc:arx:papers:1705.04537. Full description at Econpapers || Download paper | |
| 2018 | Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling. (2018). Zeng, Yaxiong ; Klabjan, Diego. In: Papers. RePEc:arx:papers:1706.01833. Full description at Econpapers || Download paper | |
| 2017 | Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587. Full description at Econpapers || Download paper | |
| 2017 | Bayesian 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. Full description at Econpapers || Download paper | |
| 2018 | Statistical properties and multifractality of Bitcoin. (2018). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1707.07618. Full description at Econpapers || Download paper | |
| 2017 | Optimum thresholding using mean and conditional mean square error. (2017). , ; Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339. Full description at Econpapers || Download paper | |
| 2017 | Systematic Noise: Micro-movements in Equity Options Markets. (2017). Wu, Adam . In: Papers. RePEc:arx:papers:1708.06855. Full description at Econpapers || Download paper | |
| 2017 | Dynamic 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. Full description at Econpapers || Download paper | |
| 2017 | Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587. Full description at Econpapers || Download paper | |
| 2017 | Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). BarunÃk, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622. Full description at Econpapers || Download paper | |
| 2018 | Dynamic 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. Full description at Econpapers || Download paper | |
| 2019 | Testing 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. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2018 | Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296. Full description at Econpapers || Download paper | |
| 2019 | A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643. Full description at Econpapers || Download paper | |
| 2017 | Financial Time Series Prediction Using Deep Learning. (2017). Navon, Ariel ; Keller, Yosi. In: Papers. RePEc:arx:papers:1711.04174. Full description at Econpapers || Download paper | |
| 2019 | Forecasting dynamic return distributions based on ordered binary choice. (2019). BarunÃk, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681. Full description at Econpapers || Download paper | |
| 2018 | A Neural Stochastic Volatility Model. (2018). Luo, Rui ; Wang, Jun ; Xu, Xiaojun ; Zhang, Weinan. In: Papers. RePEc:arx:papers:1712.00504. Full description at Econpapers || Download paper | |
| 2017 | Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479. Full description at Econpapers || Download paper | |
| 2018 | A 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. Full description at Econpapers || Download paper | |
| 2017 | A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527. Full description at Econpapers || Download paper | |
| 2017 | On Long Memory Origins and Forecast Horizons. (2017). Vera-Valdés, J. In: Papers. RePEc:arx:papers:1712.08057. Full description at Econpapers || Download paper | |
| 2018 | A 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. Full description at Econpapers || Download paper | |
| 2018 | Efficient 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. Full description at Econpapers || Download paper | |
| 2019 | A 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. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Tim Bollerslev has edited the books:
| Year | Title | Type | Cited |
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Works by Tim Bollerslev:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 55 |
| 2011 | A 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: 55 | article | |
| 2007 | Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 37 |
| 2010 | Jumps 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: 37 | article | |
| 2007 | Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 125 |
| 2011 | Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 125 | article | |
| 2004 | Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2004) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 125 | paper | |
| 2005 | Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2005) In: Proceedings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 125 | article | |
| 2007 | Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 380 |
| 2008 | Expected Stock Returns and Variance Risk Premia.(2008) In: CREATES Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 380 | paper | |
| 2006 | Expected stock returns and variance risk premia.(2006) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 380 | paper | |
| 2009 | Expected Stock Returns and Variance Risk Premia.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 380 | article | |
| 2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 466 |
| 2005 | Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 466 | paper | |
| 2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 466 | article | |
| 2007 | Risk, Jumps, and Diversification In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 78 |
| 2008 | Risk, jumps, and diversification.(2008) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 78 | article | |
| 2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 338 |
| 2007 | Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 338 | article | |
| 2006 | Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 338 | paper | |
| 2007 | Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 78 |
| 2010 | Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns.(2010) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 78 | article | |
| 2008 | Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns.(2008) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 78 | paper | |
| 2007 | A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 78 |
| 2010 | A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 78 | paper | |
| 2009 | A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 78 | article | |
| 2008 | Glossary to ARCH (GARCH) In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 35 |
| 2009 | Volatility in Equilibrium: Asymmetries and Dynamic Dependencies In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
| 2010 | Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2009 | Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2011 | Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2011) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
| 2009 | Tails, Fears and Risk Premia In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 140 |
| 2011 | Tails, Fears, and Risk Premia.(2011) In: Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 140 | article | |
| 2010 | Tails, Fears and Risk Premia.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 140 | paper | |
| 2010 | Estimation of Jump Tails In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 21 |
| 2010 | Estimation of Jump Tails.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
| 2011 | Estimation of Jump Tails.(2011) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
| 2010 | Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 26 |
| 2013 | Jump tails, extreme dependencies, and the distribution of stock returns.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | article | |
| 2011 | Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
| 2012 | Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2011 | Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2011 | Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Stock Return and Cash Flow Predictability: The Role of Volatility Risk In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
| 2015 | Stock return and cash flow predictability: The role of volatility risk.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2014 | Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2014 | Tail Risk Premia and Return Predictability In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
| 2013 | Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2015 | Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 44 |
| 2003 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review. [Full Text][Citation analysis] | article | 569 |
| 2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 569 | paper | |
| 2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 569 | paper | |
| 2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 569 | paper | |
| 2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 569 | paper | |
| 2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review. [Full Text][Citation analysis] | article | 53 |
| 2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
| 2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
| 2005 | A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
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| 1994 | Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 144 | paper | |
| 1999 | Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 65 |
| 2002 | The Message in Daily Exchange Rates: A Conditional-Variance Tale. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 305 |
| 1989 | The Message in Daily Exchange Rates: A Conditional-Variance Tale..(1989) In: Journal of Business & Economic Statistics. [Citation analysis] This paper has another version. Agregated cites: 305 | article | |
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| 2007 | Investor Attention and Time-varying Comovements In: European Financial Management. [Full Text][Citation analysis] | article | 18 |
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| 1993 | Cointegration, Fractional Cointegration, and Exchange RAte Dynamics..(1993) In: Michigan State - Econometrics and Economic Theory. [Citation analysis] This paper has another version. Agregated cites: 145 | paper | |
| 1997 | Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. In: Journal of Finance. [Full Text][Citation analysis] | article | 218 |
| 1996 | Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns.(1996) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 218 | paper | |
| 1998 | Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: Journal of Finance. [Full Text][Citation analysis] | article | 309 |
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| 2002 | Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 89 |
| 2004 | ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 89 | article | |
| 2002 | Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 12 |
| 2002 | Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2002 | CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1994 | On Periodic Autogressive Conditional Heteroskedasticity In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 75 |
| 2011 | Stock return predictability and variance risk premia: statistical inference and international evidence.(2011) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | paper | |
| 2002 | Modeling and Forecasting Realized Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 1261 |
| 2003 | Modeling and Forecasting Realized Volatility.(2003) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1261 | article | |
| 2001 | Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1261 | paper | |
| 2001 | Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1261 | paper | |
| 1993 | Common Persistence in Conditional Variances. In: Econometrica. [Full Text][Citation analysis] | article | 103 |
| 2005 | Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica. [Full Text][Citation analysis] | article | 120 |
| 1997 | Order flow and the bid-ask spread: An empirical probability model of screen-based trading In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 24 |
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| 2001 | Estimating stochastic volatility diffusion using conditional moments of integrated volatility.(2001) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 121 | paper | |
| 2004 | Corrigendum to Estimating stochastic volatility diffusion using conditional moments of integrated volatility [J. Econom. 109 (2002) 33-65] In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2006 | Volatility puzzles: a simple framework for gauging return-volatility regressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 83 |
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| 2007 | No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 93 | paper | |
| 2011 | Realized volatility forecasting and market microstructure noise In: Journal of Econometrics. [Full Text][Citation analysis] | article | 63 |
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| 1986 | Generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5939 |
| 1986 | Generalized autoregressive conditional heteroskedasticity.(1986) In: EERI Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5939 | paper | |
| 1992 | ARCH modeling in finance : A review of the theory and empirical evidence In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1315 |
| 1992 | Prediction in dynamic models with time-dependent conditional variances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 83 |
| 1990 | PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES..(1990) In: Michigan State - Econometrics and Economic Theory. [Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
| 1996 | Modeling and pricing long memory in stock market volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 517 |
| 1996 | Fractionally integrated generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 868 |
| 1999 | Long-term equity anticipation securities and stock market volatility dynamics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 69 |
| 2000 | Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 58 |
| 2003 | Measuring and modeling systematic risk in factor pricing models using high-frequency data In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 36 |
| 1997 | Intraday periodicity and volatility persistence in financial markets In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 453 |
| 1999 | Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 104 |
| 1994 | Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis In: Journal of International Economics. [Full Text][Citation analysis] | article | 75 |
| 2000 | Intraday and interday volatility in the Japanese stock market In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 75 |
| 2013 | Risk and return: Long-run relations, fractional cointegration, and return predictability In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 52 |
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| 1993 | Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 13 |
| 1991 | Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange.(1991) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 1994 | The long memory of the forward premium In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 125 |
| 1993 | The Long Memory of the Foreward Premium..(1993) In: Michigan State - Econometrics and Economic Theory. [Citation analysis] This paper has another version. Agregated cites: 125 | paper | |
| 2000 | The forward premium anomaly is not as bad as you think In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 165 |
| 1990 | A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 85 |
| 2003 | Volatility puzzles: a unified framework for gauging return-volatility regressions In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 6 |
| 1999 | High frequency data, frequency domain inference and volatility forecasting In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 39 |
| 2001 | High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting.(2001) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | article | |
| 2005 | Stock returns and volatility: pricing the long-run and short-run components of market risk In: Proceedings. [Full Text][Citation analysis] | article | 2 |
| 1988 | FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 0 |
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| 1991 | Bear Squeezes in the Hyperinflation 1920s Foreign Exchange. In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 0 |
| 1999 | The Distribution of Exchange Rate Volatility In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 75 |
| 1999 | The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | paper | |
| 1999 | The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | paper | |
| 1999 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 73 |
| 2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: Multinational Finance Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 73 | article | |
| 2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 73 | paper | |
| 1999 | Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian.(1999) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 73 | paper | |
| 1999 | (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 28 |
| 1991 | Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange. In: Tilburg - Center for Economic Research. [Citation analysis] | paper | 0 |
| 1998 | Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts. In: International Economic Review. [Citation analysis] | article | 928 |
| 2002 | Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 33 |
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| 2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 19 |
| 2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2005 | Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2002 | Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 44 |
| 2002 | Parametric and Nonparametric Volatility Measurement.(2002) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
| 2005 | Volatility Forecasting In: NBER Working Papers. [Full Text][Citation analysis] | paper | 38 |
| 2005 | Volatility Forecasting.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
| 2005 | Volatility forecasting.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
| 2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 93 |
| 2004 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 93 | paper | |
| 2004 | Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 93 | paper | |
| 1992 | Financial Market Efficiency Tests In: NBER Working Papers. [Full Text][Citation analysis] | paper | 28 |
| 1996 | DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 1997 | Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 1998 | Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2000 | The Distribution of Stock Return Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 33 |
| 2000 | The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 2006 | Leverage and Volatility Feedback Effects in High-Frequency Data In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 128 |
| 2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 27 |
| 2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
| 2004 | Realized Beta: Persistence and Predictability In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 9 |
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