53
H index
80
i10 index
21589
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 (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 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26. 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). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich. 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 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). Christensen, Kim ; Reno, Roberto ; Oomen, Roel. In: CREATES Research Papers. RePEc:aah:create:2018-21. Full description at Econpapers || Download paper | |
| 2018 | Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2018). 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). Gronborg, Niels S ; Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2018-37. 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). Majdoub, Jihed ; Arrak, Islem ; Mansour, Walid. 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). Majdoub, Jihed ; Arrak, Islem ; Mansour, Walid. 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 | |
| 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 | |
| 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). Panda, Pradiptarathi ; Chittine, Jyothi ; Deo, Malabika. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(613):y:2017:i:4(613):p:169-190. 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 | |
| 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 ; Fernandez-Perez, Adrian ; Tourani-Rad, Alireza ; Indriawan, Ivan. 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 | Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2017). Nielsen, Morten ; Xu, KE ; Narayan, Paresh Kumar ; Dolatabadi, Sepideh. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274663. Full description at Econpapers || Download paper | |
| 2017 | Testing the CVAR in the fractional CVAR model. (2017). Nielsen, Morten ; Johansen, Soren. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274720. 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 | 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 | 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 | |
| 2018 | 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 | |
| 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 | |
| 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 | |
| 2018 | 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 | |
| 2017 | 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 | |
| 2018 | Forecasting dynamic return distributions based on ordered binary choice and cross-quantile predictability connection. (2018). 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 | |
| 2018 | 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 | |
| 2018 | Universal features of price formation in financial markets: perspectives from Deep Learning. (2018). Sirignano, Justin ; Cont, Rama. In: Papers. RePEc:arx:papers:1803.06917. Full description at Econpapers || Download paper | |
| 2018 | Exploring the predictability of range-based volatility estimators using RNNs. (2018). Petneh, G'Abor. In: Papers. RePEc:arx:papers:1803.07152. Full description at Econpapers || Download paper | |
| 2018 | Computing 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. Full description at Econpapers || Download paper | |
| 2018 | Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348. Full description at Econpapers || Download paper | |
| 2018 | Econophysics Beyond General Equilibrium: the Business Cycle Model. (2018). Olkhov, Victor. In: Papers. RePEc:arx:papers:1804.04721. Full description at Econpapers || Download paper | |
| 2018 | Distributions of Historic Market Data -- Implied and Realized Volatility. (2018). Moghaddam, Dashti M ; Serota, R A ; Liu, Zhiyuan. In: Papers. RePEc:arx:papers:1804.05279. Full description at Econpapers || Download paper | |
| 2018 | Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: Papers. RePEc:arx:papers:1804.07978. Full description at Econpapers || Download paper | |
| 2018 | Closed-form approximations in derivatives pricing: The Kristensen-Mele approach. (2018). Kurz, Michael. In: Papers. RePEc:arx:papers:1804.08904. Full description at Econpapers || Download paper | |
| 2018 | Improving Value-at-Risk prediction under model uncertainty. (2018). Yang, Shuzhen ; Yao, Jianfeng. In: Papers. RePEc:arx:papers:1805.03890. Full description at Econpapers || Download paper | |
| 2018 | Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; BarunÃk, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980. 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 | 51 |
| 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: 51 | article | |
| 2007 | Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 35 |
| 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: 35 | 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 | 116 |
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| 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: 68 | 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 | 24 |
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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 | 95 |
| 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: 95 | paper | |
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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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