52
H index
77
i10 index
18246
Citations
Tim Bollerslev : Citation Profile
Duke University | RESEARCH PRODUCTION: 72 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 (2017 and 2016)
| Year | Title of citing document | |
|---|---|---|
| 2016 | Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2016-03. Full description at Econpapers || Download paper | |
| 2016 | Volatility Discovery. (2016). Dias, Gustavo Fruet ; Scherrer, Cristina M ; Papailias, Fotis . In: CREATES Research Papers. RePEc:aah:create:2016-07. Full description at Econpapers || Download paper | |
| 2016 | Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10. Full description at Econpapers || Download paper | |
| 2016 | Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: CREATES Research Papers. RePEc:aah:create:2016-17. Full description at Econpapers || Download paper | |
| 2016 | Volume, Volatility and Public News Announcements. (2016). Li, Jia ; Xue, Yuan . In: CREATES Research Papers. RePEc:aah:create:2016-19. Full description at Econpapers || Download paper | |
| 2016 | Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. (2016). Violante, Francesco ; de Magistris, Paolo Santucci ; Barletta, Andrea . In: CREATES Research Papers. RePEc:aah:create:2016-20. Full description at Econpapers || Download paper | |
| 2016 | The Drift Burst Hypothesis. (2016). Oomen, Roel ; Christensen, Kim ; Reno, Roberto . In: CREATES Research Papers. RePEc:aah:create:2016-28. Full description at Econpapers || Download paper | |
| 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). , Jeroen ; Violante, Francesco ; Stentoft, Lars . In: CREATES Research Papers. RePEc:aah:create:2017-21. Full description at Econpapers || Download paper | |
| 2016 | The Response of Tail Risk Perceptions to Unconventional Monetary Policy. (2016). Sushko, Vladyslav ; Schrimpf, Andreas ; Hattori, Masazumi . In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:8:y:2016:i:2:p:111-36. Full description at Econpapers || Download paper | |
| 2016 | Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements: Evidence from Central Europe. (2016). Wójtowicz, Tomasz ; Lach, Łukasz ; Gurgul, Henryk ; Wojtowicz, Tomasz . In: Managerial Economics. RePEc:agh:journl:v:17:y:2016:i:2:p:217-240. Full description at Econpapers || Download paper | |
| 2016 | Asymmetric stochastic volatility in central and eastern European stock markets. (2016). Hepsag, Aycan . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:2(607):p:135-144. Full description at Econpapers || Download paper | |
| 2017 | Modeling of stock indices with HMM-SV models. (2017). Nkemnole, E B ; Wulu, J T. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:45-60. Full description at Econpapers || Download paper | |
| 2016 | Changes in Informational Value and the Market Reaction to USDA Reports in the Big Data Era. (2016). Karali, Berna ; Adjemian, Michael ; Irwin, Scott H. In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235580. Full description at Econpapers || Download paper | |
| 2016 | The Effect of China’s Pork Reserve Program on Pork Price Volatility. (2016). Yu, YI ; Willis, David . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235829. Full description at Econpapers || Download paper | |
| 2016 | Analysis of Energy and Agricultural Commodity Markets with the Policy Mandated: A Vine Copula-based ARMA-EGARCH Model. (2016). Chen, Kuan-Ju . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:236028. Full description at Econpapers || Download paper | |
| 2016 | Informed Trading in Oil-Futures Market. (2016). Sévi, Benoît ; Rousse, Olivier . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:249788. Full description at Econpapers || Download paper | |
| 2017 | Temperature Anomalies, Radiative Forcing and ENSO. (2017). MORANA, CLAUDIO ; Sbrana, Giacomo . In: MITP: Mitigation, Innovation,and Transformation Pathways. RePEc:ags:feemmi:253732. Full description at Econpapers || Download paper | |
| 2016 | Can Unprocessed Food Prices Really Be One of the Main Responsible Causes for not Achieving Inflation Targets in Turkey?. (2016). Gokta, Pinar . In: Problems of World Agriculture / Problemy Rolnictwa Åšwiatowego. RePEc:ags:polpwa:253045. 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 | |
| 2016 | Impact of Food Reserve Programs on Price Levels and Volatility: Natural Experiment from Benin Rice Market in West Africa. (2016). Lawani, Abdelaziz ; Fiamohe, Rose ; Reed, Michael . In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252860. Full description at Econpapers || Download paper | |
| 2016 | INVESTIGATION ON THE CAUSAL RELATIONSHIP BETWEEN INFLATION, OUTPUT GROWTH AND THEIR UNCERTAINTIES IN ROMANIA. (2016). Asandului, Mircea ; Pintilescu, Carmen ; JEMNA, Danut-Vasile ; VIORICA, Elena-Daniela . In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2016:j:17:pintilescuc. Full description at Econpapers || Download paper | |
| 2016 | Has the Grexit news spilled over into euro area financial markets? The role of domestic political leaders, supranational executives and institutions. (2016). Sacchi, Agnese ; Gregori, Wildmer Daniel. In: Mo.Fi.R. Working Papers. RePEc:anc:wmofir:134. 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 | |
| 2016 | Learning from the past, predicting the statistics for the future, learning an evolving system. (2016). Levin, Daniel ; Lyons, Terry ; Ni, Hao . In: Papers. RePEc:arx:papers:1309.0260. Full description at Econpapers || Download paper | |
| 2016 | Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models. (2016). Wang, Li-Xin . In: Papers. RePEc:arx:papers:1401.1888. Full description at Econpapers || Download paper | |
| 2016 | Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models. (2016). Wang, Li-Xin . In: Papers. RePEc:arx:papers:1401.1891. Full description at Econpapers || Download paper | |
| 2016 | Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Martin, Gael ; Forbes, Catherine ; Maneesoonthorn, Worapree . In: Papers. RePEc:arx:papers:1401.3911. Full description at Econpapers || Download paper | |
| 2016 | A multivariate model for financial indices and an algorithm for detection of jumps in the volatility. (2016). Bonino, Mario ; Pigato, Paolo ; Camelia, Matteo . In: Papers. RePEc:arx:papers:1404.7632. Full description at Econpapers || Download paper | |
| 2016 | Bin Size Independence in Intra-day Seasonalities for Relative Prices. (2016). Guevara, Esteban . In: Papers. RePEc:arx:papers:1501.05176. Full description at Econpapers || Download paper | |
| 2016 | Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733. Full description at Econpapers || Download paper | |
| 2016 | Semimartingale detection and goodness-of-fit tests. (2016). Bull, Adam D.. In: Papers. RePEc:arx:papers:1506.00088. Full description at Econpapers || Download paper | |
| 2016 | Stochastic model of financial markets reproducing scaling and memory in volatility return intervals. (2016). Gontis, Vygintas ; Stanley, Eugene H ; Podobnik, Boris ; Kononovicius, Aleksejus ; Havlin, Shlomo . In: Papers. RePEc:arx:papers:1507.05203. 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 | |
| 2016 | Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118. Full description at Econpapers || Download paper | |
| 2016 | FX Options in Target Zone. (2016). Carr, Peter ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1512.01527. Full description at Econpapers || Download paper | |
| 2017 | Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159. Full description at Econpapers || Download paper | |
| 2016 | Dynamic Multi-Factor Bid-Offer Adjustment Model: A Feedback Mechanism for Dealers (Market Makers) to Deal (Grapple) with the Uncertainty Principle of the Social Sciences. (2016). Kashyap, Ravi . In: Papers. RePEc:arx:papers:1601.00085. Full description at Econpapers || Download paper | |
| 2016 | Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1601.05199. 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 | |
| 2016 | Tail Risk Premia for Long-Term Equity Investors. (2016). Rauch, Johannes . In: Papers. RePEc:arx:papers:1602.00865. Full description at Econpapers || Download paper | |
| 2016 | Should employers pay their employees better? An asset pricing approach. (2016). Aboura, Sofiane ; Valeyre, Sebastien ; Bonnin, Francois ; Liu, Qian ; Grebenkov, Denis . In: Papers. RePEc:arx:papers:1602.00931. Full description at Econpapers || Download paper | |
| 2016 | Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542. Full description at Econpapers || Download paper | |
| 2016 | Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models. (2016). Krishnamurthy, Vikram ; Sass, Jorn ; Leoff, Elisabeth . In: Papers. RePEc:arx:papers:1602.05323. 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 | |
| 2016 | Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution. (2016). Stavroyiannis, Stavros . In: Papers. RePEc:arx:papers:1602.05749. Full description at Econpapers || Download paper | |
| 2016 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper | |
| 2017 | Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700. Full description at Econpapers || Download paper | |
| 2016 | Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:1604.01338. 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 | |
| 2016 | On the Surprising Explanatory Power of Higher Realized Moments in Practice. (2016). Shen, Keren ; Li, Wai Keung ; Yao, Jianfeng . In: Papers. RePEc:arx:papers:1604.07969. Full description at Econpapers || Download paper | |
| 2016 | Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230. Full description at Econpapers || Download paper | |
| 2016 | Discrete Wavelet Transform-Based Prediction of Stock Index: A Study on National Stock Exchange Fifty Index. (2016). Jothimani, Dhanya ; Yadav, Surendra S ; Shankar, Ravi . In: Papers. RePEc:arx:papers:1605.07278. Full description at Econpapers || Download paper | |
| 2016 | What does past correlation structure tell us about the future? An answer from network filtering. (2016). di Matteo, Tiziana ; Aste, Tomaso . In: Papers. RePEc:arx:papers:1605.08908. Full description at Econpapers || Download paper | |
| 2016 | On the usual misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: Papers. RePEc:arx:papers:1606.02045. Full description at Econpapers || Download paper | |
| 2016 | Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03597. Full description at Econpapers || Download paper | |
| 2016 | Using String Invariants for Prediction Searching for Optimal Parameters. (2016). Pincak, Richard ; Bundzel, Marek ; Kasanicky, Tomas . In: Papers. RePEc:arx:papers:1606.06003. Full description at Econpapers || Download paper | |
| 2016 | Artificial Neural Network and Time Series Modeling Based Approach to Forecasting the Exchange Rate in a Multivariate Framework. (2016). Ghosh, Indranil ; Chaudhuri, Tamal Datta . In: Papers. RePEc:arx:papers:1607.02093. Full description at Econpapers || Download paper | |
| 2016 | Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; BarunÃk, Jozef. In: Papers. RePEc:arx:papers:1607.08214. Full description at Econpapers || Download paper | |
| 2016 | On the Market-Neutrality of Optimal Pairs-Trading Strategies. (2016). Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1608.08268. Full description at Econpapers || Download paper | |
| 2016 | Entropy and efficiency of the ETF market. (2016). Calcagnile, Lucio Maria ; Marmi, Stefano ; Corsi, Fulvio . In: Papers. RePEc:arx:papers:1609.04199. Full description at Econpapers || Download paper | |
| 2016 | The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177. Full description at Econpapers || Download paper | |
| 2017 | Multivariate GARCH with dynamic beta. (2017). Raddant, Matthias ; Wagner, Friedrich . In: Papers. RePEc:arx:papers:1609.07051. Full description at Econpapers || Download paper | |
| 2016 | Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016. (2016). Menezes, Rui ; Bentes, Sonia . In: Papers. RePEc:arx:papers:1610.00259. Full description at Econpapers || Download paper | |
| 2016 | Volatility Inference and Return Dependencies in Stochastic Volatility Models. (2016). Pfante, Oliver ; Bertschinger, Nils . In: Papers. RePEc:arx:papers:1610.00312. Full description at Econpapers || Download paper | |
| 2016 | Decoupling the short- and long-term behavior of stochastic volatility. (2016). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger . In: Papers. RePEc:arx:papers:1610.00332. Full description at Econpapers || Download paper | |
| 2016 | Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models. (2016). Wintenberger, Olivier ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, P. In: Papers. RePEc:arx:papers:1610.02863. Full description at Econpapers || Download paper | |
| 2016 | Uncertainty Estimates in the Heston Model via Fisher Information. (2016). Pfante, Oliver ; Bertschinger, Nils . In: Papers. RePEc:arx:papers:1610.04760. Full description at Econpapers || Download paper | |
| 2016 | Detection of intensity bursts using Hawkes processes: an application to high frequency financial data. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Filimonov, Vladimir . In: Papers. RePEc:arx:papers:1610.05383. Full description at Econpapers || Download paper | |
| 2016 | Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations. (2016). Li, Cheng . In: Papers. RePEc:arx:papers:1612.04507. Full description at Econpapers || Download paper | |
| 2016 | Predictability Hidden by Anomalous Observations. (2016). Scaillet, Olivier ; Camponovo, Lorenzo ; Trojani, Fabio . In: Papers. RePEc:arx:papers:1612.05072. Full description at Econpapers || Download paper | |
| 2016 | Optimal Investment under Information Driven Contagious Distress. (2016). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1612.06133. Full description at Econpapers || Download paper | |
| 2016 | Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488. Full description at Econpapers || Download paper | |
| 2017 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). 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 | |
| 2017 | Probability density of lognormal fractional SABR model. (2017). 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 | |
| 2017 | Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling. (2017). 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 | |
| 2017 | Statistical properties and multifractality of Bitcoin. (2017). Takaishi, Tetsuya . In: Papers. RePEc:arx:papers:1707.07618. Full description at Econpapers || Download paper | |
| 2016 | On the statistical properties of multiplicative GARCH models. (2016). Conrad, Christian ; Kleen, Onno . In: Working Papers. RePEc:awi:wpaper:0613. Full description at Econpapers || Download paper | |
| 2017 | Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian . In: Working Papers. RePEc:awi:wpaper:0632. Full description at Econpapers || Download paper | |
| 2017 | On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636. Full description at Econpapers || Download paper | |
| 2016 | The Asymmetric Impact of Portfolio Mix on Bank Performance over the Business Cycle: U.S. and Canadian Evidence. (2016). Calms, Christian ; Thoret, Raymond . In: Review of Economics & Finance. RePEc:bap:journl:160205. Full description at Econpapers || Download paper | |
| 2017 | A Mixtured Localized Likelihood Method for GARCH Models with Multiple Change-points. (2017). Xing, Haipeng ; Zhou, Sichen ; Yuan, Hongsong . In: Review of Economics & Finance. RePEc:bap:journl:170204. Full description at Econpapers || Download paper | |
| 2016 | Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: BCAM Working Papers. RePEc:bbk:bbkcam:1603. Full description at Econpapers || Download paper | |
| 2016 | Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil. (2016). Accioly, Victor Bello ; de Melo, Beatriz Vaz . In: Brazilian Business Review. RePEc:bbz:fcpbbr:v:13:y:2016:i:2:p1-26. Full description at Econpapers || Download paper | |
| 2016 | Estimating Systematic Risk Under Extremely Adverse Market Conditions. (2016). Zhou, Chen ; van Oordt, Maarten. In: Staff Working Papers. RePEc:bca:bocawp:16-22. Full description at Econpapers || Download paper | |
| 2016 | Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility. (2016). Talmi, Jonathan ; Ehrmann, Michael. In: Staff Working Papers. RePEc:bca:bocawp:16-37. Full description at Econpapers || Download paper | |
| 2016 | Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets. (2016). Mauad, Roberto ; Laurini, Márcio ; Aiube, Fernando Antonio ; Lucena, Fernando Antonio . In: Working Papers Series. RePEc:bcb:wpaper:415. Full description at Econpapers || Download paper | |
| 2017 | Expected Currency Returns and Volatility Risk Premia. (2017). ORNELAS, JOSE ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:454. Full description at Econpapers || Download paper | |
| 2017 | Volatility Risk Premia and Future Commodity Returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:455. 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 |
|---|
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 | 38 |
| 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: 38 | article | |
| 2007 | Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 25 |
| 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: 25 | 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 | 87 |
| 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: 87 | 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: 87 | 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: 87 | article | |
| 2007 | Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 255 |
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| 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 | |
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| 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 | 58 |
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| 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: 58 | 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: 58 | 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 | 18 |
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| 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: 16 | paper | |
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| 2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 91 |
| 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: 91 | 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: 91 | paper | |
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| 2006 | Leverage and Volatility Feedback Effects in High-Frequency Data In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 90 |
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| 2004 | Realized Beta: Persistence and Predictability In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 9 |
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