Tim Bollerslev : Citation Profile

Are you Tim Bollerslev?

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

53

H index

81

i10 index

22570

Citations

RESEARCH PRODUCTION:

83

Articles

99

Papers

4

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   33 years (1985 - 2018). See details.
   Cites by year: 683
   Journals where Tim Bollerslev has often published
   Relations with other researchers
   Recent citing documents: 1602.    Total self citations: 106 (0.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo66
   Updated: 2019-11-16    RAS profile: 2019-10-14    
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Relations with other researchers

Works with:

Patton, Andrew (6)

Quaedvlieg, Rogier (4)

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 (709)

Degiannakis, Stavros (291)

Chang, Chia-Lin (274)

Shephard, Neil (177)

Caporin, Massimiliano (176)

Asai, Manabu (164)

GUPTA, RANGAN (137)

Diebold, Francis (128)

Laurent, Sébastien (128)

Christoffersen, Peter (127)

Medeiros, Marcelo (120)

Cites to:

Andersen, Torben (231)

Diebold, Francis (204)

Engle, Robert (143)

Shephard, Neil (86)

Tauchen, George (75)

Campbell, John (71)

Barndorff-Nielsen, Ole (63)

Schwert, G. (61)

Baillie, Richard (53)

French, Kenneth (52)

Meddahi, Nour (52)

Main data

Where Tim Bollerslev has published?

Journals with more than one article published# docs
Journal of Econometrics24
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
Journal of Applied Econometrics2
Review of Financial Studies2
Journal of International Economics2
American Economic Review2
Review of Economic Studies2
International Economic Review2
Proceedings2

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

Recent works citing Tim Bollerslev (2019 and 2018)

YearTitle of citing document
2018HIGH FREQUENCY IMPACT OF MONETARY POLICY AND MACROECONOMIC SURPRISES ON US MSAS, AGGREGATE US HOUSING RETURNS AND ASYMMETRIC VOLATILITY. (2018). GUPTA, RANGAN ; Marfatia, Hardik A ; Nyakabawo, Wendy. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:22:y:2018:i:1:p:204-229.

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2018BAYESIAN SHRINKAGE ESTIMATION OF TIME-VARYING COVARIANCE MATRICES IN FINANCIAL TIME SERIES. (2018). , Amanda ; Ki, Wing. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:22:y:2018:i:1:p:369-404.

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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 ; Grassi, Stefano ; Delle Monache, Davide. 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). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-21.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2019The Economic Value of VIX ETPs. (2019). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2019-14.

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

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

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2019Complex Neural Fuzzy Prediction Using Multi-Swarm Continuous Ant Colony Optimization. (2019). Weng, Wei-Chu ; Li, Chunshien. In: Current Trends In Computer Sciences & Applications. RePEc:abr:jctcsa:v:1:y:2019:i:3:p:68-79.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2017Dynamic 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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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Gerlach, Richard ; Chen, Qian ; Wang, Chao. 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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2017Semiparametric GARCH via Bayesian model averaging. (2017). Gerlach, Richard H ; Ye, Wilson . In: Papers. RePEc:arx:papers:1708.07587.

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

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

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

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

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

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2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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

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2018A Neural Stochastic Volatility Model. (2018). Wang, Jun ; Xu, Xiaojun ; Zhang, Weinan ; Luo, Rui. 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). di Matteo, Tiziana ; Buonocore, Riccardo Junior ; Verma, Anshul. In: Papers. RePEc:arx:papers:1712.02138.

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2019A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery. In: Papers. RePEc:arx:papers:1712.05527.

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2017On Long Memory Origins and Forecast Horizons. (2017). Vera-Valdés, J. Eduardo. 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). Lewis, Alan L ; Papadopoulos, Yiannis A. In: Papers. RePEc:arx:papers:1801.06141.

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

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

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

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2018Exploring the predictability of range-based volatility estimators using RNNs. (2018). , J'Ozsef ; 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). Villena, Marcelo ; Araneda, Axel A. 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). Serota, R A ; Liu, Zhiyuan ; Moghaddam, Dashti M. 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). Yao, Jianfeng ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:1805.03890.

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2019Total, asymmetric and frequency connectedness between oil and forex markets. (2019). Kocenda, Evzen ; 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). Jun, Sung Jae ; Kim, Wonse. In: Papers. RePEc:arx:papers:1805.04728.

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2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Wang, Chao ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1805.08653.

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2018Power-law cross-correlations: Issues, solutions and future challenges. (2018). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Papers. RePEc:arx:papers:1806.01616.

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

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

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2018A 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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2019Forecasting market states. (2019). Aste, Tomaso ; Procacci, Pier Francesco. In: Papers. RePEc:arx:papers:1807.05836.

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2018Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423.

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2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). Baruník, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823.

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

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

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2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

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2019Model Risk Measurement under Wasserstein Distance. (2019). Schlogl, Erik ; Feng, YU. In: Papers. RePEc:arx:papers:1809.03641.

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2019Tail probabilities for short-term returns on stocks. (2019). Wilmott, Paul ; Rasmussen, Henrik O. In: Papers. RePEc:arx:papers:1809.08416.

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2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2019). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:1809.09928.

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2018Probabilistic forecasting and simulation of electricity prices. (2018). Ziel, Florian ; Muniain, Peru. In: Papers. RePEc:arx:papers:1810.08418.

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2018Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Magris, Martin ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1810.12200.

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2018Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series. (2018). Liu, Yuanyuan ; Yang, Yaodong ; Luo, Rui ; Zhang, Qiang. In: Papers. RePEc:arx:papers:1811.03711.

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2018How does stock market volatility react to oil shocks?. (2018). Manera, Matteo ; Bastianin, Andrea. In: Papers. RePEc:arx:papers:1811.03820.

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2019Selection mechanisms affect volatility in evolving markets. (2019). Dewhurst, David Rushing ; Arnold, Michael Vincent ; van Oort, Colin Michael. In: Papers. RePEc:arx:papers:1812.05657.

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2018A new time-varying model for forecasting long-memory series. (2018). Grigoletto, Matteo ; Bisaglia, Luisa. In: Papers. RePEc:arx:papers:1812.07295.

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

Tim Bollerslev has edited the books:

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Works by Tim Bollerslev:

YearTitleTypeCited
2007A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures In: CREATES Research Papers.
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2011A reduced form framework for modeling volatility of speculative prices based on realized variation measures.(2011) In: Journal of Econometrics.
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2007Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks In: CREATES Research Papers.
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2010Jumps and betas: A new framework for disentangling and estimating systematic risks.(2010) In: Journal of Econometrics.
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2007Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities In: CREATES Research Papers.
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2011Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2011) In: Journal of Econometrics.
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2004Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2004) In: Finance and Economics Discussion Series.
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2005Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2005) In: Proceedings.
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2007Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
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2008Expected Stock Returns and Variance Risk Premia.(2008) In: CREATES Research Papers.
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2006Expected stock returns and variance risk premia.(2006) In: Finance and Economics Discussion Series.
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2009Expected Stock Returns and Variance Risk Premia.(2009) In: Review of Financial Studies.
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2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
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2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
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2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics.
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2007Risk, Jumps, and Diversification In: CREATES Research Papers.
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2008Risk, jumps, and diversification.(2008) In: Journal of Econometrics.
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2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
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2007Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics.
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2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
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2007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers.
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2010Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns.(2010) In: Journal of Applied Econometrics.
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2008Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns.(2008) In: Working Paper.
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2007A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects In: CREATES Research Papers.
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2010A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects.(2010) In: Working Papers.
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2009A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects.(2009) In: Journal of Econometrics.
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2008Glossary to ARCH (GARCH) In: CREATES Research Papers.
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2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies In: CREATES Research Papers.
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2010Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2010) In: Working Papers.
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2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2009) In: Working Papers.
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2011Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2011) In: Review of Finance.
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2009Tails, Fears and Risk Premia In: CREATES Research Papers.
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2011Tails, Fears, and Risk Premia.(2011) In: Journal of Finance.
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2010Tails, Fears and Risk Premia.(2010) In: Working Papers.
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2010Estimation of Jump Tails In: CREATES Research Papers.
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2010Estimation of Jump Tails.(2010) In: Working Papers.
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2011Estimation of Jump Tails.(2011) In: Econometrica.
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2010Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns In: CREATES Research Papers.
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2013Jump tails, extreme dependencies, and the distribution of stock returns.(2013) In: Journal of Econometrics.
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2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
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2013Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance.
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2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
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2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
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2011Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability In: CREATES Research Papers.
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2012Stock Return and Cash Flow Predictability: The Role of Volatility Risk In: CREATES Research Papers.
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2015Stock return and cash flow predictability: The role of volatility risk.(2015) In: Journal of Econometrics.
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2014Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns In: CREATES Research Papers.
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2014Tail Risk Premia and Return Predictability In: CREATES Research Papers.
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2015Tail risk premia and return predictability.(2015) In: Journal of Financial Economics.
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2015Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions In: CREATES Research Papers.
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2013Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.(2013) In: Working Papers.
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2016Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions.(2016) In: Journal of Applied Econometrics.
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2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
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2016Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics.
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2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions.(2018) In: Journal of Econometrics.
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2016Volume, Volatility and Public News Announcements In: CREATES Research Papers.
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2018Volume, Volatility, and Public News Announcements.(2018) In: Review of Economic Studies.
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1991es modéles ARCH en finance : un point sur la théorie et les résultats empiriques In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article0
2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
[Full Text][Citation analysis]		article568
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers.
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2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
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2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
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2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
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2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
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2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article739
1995Dan Nelson Remembered. In: Journal of Business & Economic Statistics.
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1996Periodic Autoregressive Conditional Heteroscedasticity. In: Journal of Business & Economic Statistics.
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1994Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche.
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1994Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche.
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1999Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies. In: Journal of Business & Economic Statistics.
[Citation analysis]		article63
2002The Message in Daily Exchange Rates: A Conditional-Variance Tale. In: Journal of Business & Economic Statistics.
[Citation analysis]		article305
1989The Message in Daily Exchange Rates: A Conditional-Variance Tale..(1989) In: Journal of Business & Economic Statistics.
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2006Comment In: Journal of Business & Economic Statistics.
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2007Investor Attention and Time-varying Comovements In: European Financial Management.
[Full Text][Citation analysis]		article18
1993 Trading Patterns and Prices in the Interbank Foreign Exchange Market. In: Journal of Finance.
[Full Text][Citation analysis]		article174
1994 Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. In: Journal of Finance.
[Full Text][Citation analysis]		article145
1993Cointegration, Fractional Cointegration, and Exchange RAte Dynamics..(1993) In: Michigan State - Econometrics and Economic Theory.
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1997 Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article220
1996Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns.(1996) In: NBER Working Papers.
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1998Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: Journal of Finance.
[Full Text][Citation analysis]		article310
1988ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
1985A Note on the Relation between Consumers Expenditure and Income in the United Kingdom. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article1
1998Towards a unified framework for high and low frequency return volatility modeling In: Statistica Neerlandica.
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2011Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors Introduction In: Journal of Time Series Econometrics.
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2002Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper86
2004ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review.
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2002Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities In: CIRANO Working Papers.
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2002Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities.(2002) In: Cahiers de recherche.
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2002CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES.(2002) In: Cahiers de recherche.
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1994On Periodic Autogressive Conditional Heteroskedasticity In: CIRANO Working Papers.
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2018Risk Everywhere: Modeling and Managing Volatility In: CEPR Discussion Papers.
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2018Risk Everywhere: Modeling and Managing Volatility.(2018) In: Review of Financial Studies.
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2014Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence In: Journal of Financial and Quantitative Analysis.
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2011Stock return predictability and variance risk premia: statistical inference and international evidence.(2011) In: Finance and Economics Discussion Series.
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2002Modeling and Forecasting Realized Volatility In: Working Papers.
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2003Modeling and Forecasting Realized Volatility.(2003) In: Econometrica.
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2001Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers.
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2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
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1993Common Persistence in Conditional Variances. In: Econometrica.
[Full Text][Citation analysis]		article103
2005Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica.
[Full Text][Citation analysis]		article125
1997Order flow and the bid-ask spread: An empirical probability model of screen-based trading In: Journal of Economic Dynamics and Control.
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1986Arch models In: Handbook of Econometrics.
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2006Volatility and Correlation Forecasting In: Handbook of Economic Forecasting.
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2001Financial econometrics: Past developments and future challenges In: Journal of Econometrics.
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2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article122
2001Estimating stochastic volatility diffusion using conditional moments of integrated volatility.(2001) In: Finance and Economics Discussion Series.
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2004Corrigendum to Estimating stochastic volatility diffusion using conditional moments of integrated volatility [J. Econom. 109 (2002) 33-65] In: Journal of Econometrics.
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2006Volatility puzzles: a simple framework for gauging return-volatility regressions In: Journal of Econometrics.
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2007No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications In: Journal of Econometrics.
[Full Text][Citation analysis]		article94
2007No-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.
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2011Realized volatility forecasting and market microstructure noise In: Journal of Econometrics.
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2014Time-varying jump tails In: Journal of Econometrics.
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2019High-dimensional multivariate realized volatility estimation In: Journal of Econometrics.
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1986Generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article5983
1986Generalized autoregressive conditional heteroskedasticity.(1986) In: EERI Research Paper Series.
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1992ARCH modeling in finance : A review of the theory and empirical evidence In: Journal of Econometrics.
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1992Prediction in dynamic models with time-dependent conditional variances In: Journal of Econometrics.
[Full Text][Citation analysis]		article84
1990PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES..(1990) In: Michigan State - Econometrics and Economic Theory.
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1996Modeling and pricing long memory in stock market volatility In: Journal of Econometrics.
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1996Fractionally integrated generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article876
1999Long-term equity anticipation securities and stock market volatility dynamics In: Journal of Econometrics.
[Full Text][Citation analysis]		article69
2000Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article58
2003Measuring and modeling systematic risk in factor pricing models using high-frequency data In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article35
1997Intraday periodicity and volatility persistence in financial markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article455
1999Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article106
1994Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis In: Journal of International Economics.
[Full Text][Citation analysis]		article78
2000Intraday and interday volatility in the Japanese stock market In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article77
2013Risk and return: Long-run relations, fractional cointegration, and return predictability In: Journal of Financial Economics.
[Full Text][Citation analysis]		article52
2016Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article9
2001The distribution of realized stock return volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]		article678
1993Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article13
1991Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange.(1991) In: Discussion Paper.
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1994The long memory of the forward premium In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article125
1993The Long Memory of the Foreward Premium..(1993) In: Michigan State - Econometrics and Economic Theory.
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2000The forward premium anomaly is not as bad as you think In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article166
1990A 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]		article84
2003Volatility puzzles: a unified framework for gauging return-volatility regressions In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper6
1999High frequency data, frequency domain inference and volatility forecasting In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper40
2001High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting.(2001) In: The Review of Economics and Statistics.
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2005Stock returns and volatility: pricing the long-run and short-run components of market risk In: Proceedings.
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1988FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES In: Michigan State - Econometrics and Economic Theory.
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1989INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES. In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]		paper132
1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates.(1991) In: Review of Economic Studies.
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1991Bear Squeezes in the Hyperinflation 1920s Foreign Exchange. In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]		paper0
1999The Distribution of Exchange Rate Volatility In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]		paper75
1999The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers.
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1999The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers.
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1999Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: Multinational Finance Journal.
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2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: NBER Working Papers.
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1999Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian.(1999) In: Center for Financial Institutions Working Papers.
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1999(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1991Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange. In: Tilburg - Center for Economic Research.
[Citation analysis]		paper0
1998Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts. In: International Economic Review.
[Citation analysis]		article951
2002Bridging 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]		article33
1988Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances In: Working papers.
[Citation analysis]		paper105
2007Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters.
[Full Text][Citation analysis]		chapter19
2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers.
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2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive.
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2005Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series.
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2002Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers.
[Full Text][Citation analysis]		paper44
2002Parametric and Nonparametric Volatility Measurement.(2002) In: Center for Financial Institutions Working Papers.
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2005Volatility Forecasting In: NBER Working Papers.
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2005Volatility Forecasting.(2005) In: PIER Working Paper Archive.
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2005Volatility forecasting.(2005) In: CFS Working Paper Series.
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2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper93
2004Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive.
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2004Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series.
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1992Financial Market Efficiency Tests In: NBER Working Papers.
[Full Text][Citation analysis]		paper28
1996DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: NBER Working Papers.
[Full Text][Citation analysis]		paper8
1997Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
1998Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2000The Distribution of Stock Return Volatility In: NBER Working Papers.
[Full Text][Citation analysis]		paper33
2000The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers.
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This paper has another version. Agregated cites: 33		paper
2006Leverage and Volatility Feedback Effects in High-Frequency Data In: Journal of Financial Econometrics.
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