Tim Bollerslev : Citation Profile


Are you Tim Bollerslev?

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

52

H index

77

i10 index

18467

Citations

RESEARCH PRODUCTION:

72

Articles

96

Papers

3

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   30 years (1985 - 2015). See details.
   Cites by year: 615
   Journals where Tim Bollerslev has often published
   Relations with other researchers
   Recent citing documents: 1235.    Total self citations: 96 (0.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo66
   Updated: 2017-10-14    RAS profile: 2015-06-30    
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Relations with other researchers


Works with:

Patton, Andrew (3)

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 (615)

Chang, Chia-Lin (216)

Degiannakis, Stavros (184)

Shephard, Neil (164)

Caporin, Massimiliano (143)

Asai, Manabu (130)

Christoffersen, Peter (125)

Diebold, Francis (121)

Laurent, Sébastien (119)

Medeiros, Marcelo (117)

Engle, Robert (105)

Cites to:

Andersen, Torben (207)

Diebold, Francis (182)

Engle, Robert (129)

Tauchen, George (69)

Campbell, John (69)

Shephard, Neil (67)

Schwert, G. (65)

Barndorff-Nielsen, Ole (55)

Baillie, Richard (50)

Drost, Feike C. (49)

Gallant, A. (48)

Main data


Where Tim Bollerslev has published?


Journals with more than one article published# docs
Journal of Econometrics21
Journal of Business & Economic Statistics6
Journal of Finance6
Journal of International Money and Finance4
The Review of Economics and Statistics4
Econometrica4
Journal of Empirical Finance3
American Economic Review2
Proceedings2
International Economic Review2
Journal of International Economics2
Journal of Applied Econometrics2
Journal of Financial Economics2

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 (U.S.)5
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Tim Bollerslev (2017 and 2016)


YearTitle of citing document
2016Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2016-03.

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2016Volatility Discovery. (2016). Dias, Gustavo Fruet ; Scherrer, Cristina M ; Papailias, Fotis . In: CREATES Research Papers. RePEc:aah:create:2016-07.

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2016Modeling 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.

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2016Comparing 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.

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2016Volume, Volatility and Public News Announcements. (2016). Li, Jia ; Xue, Yuan . In: CREATES Research Papers. RePEc:aah:create:2016-19.

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2016Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. (2016). Violante, Francesco ; Barletta, Andrea ; de Magistris, Paolo Santucci . In: CREATES Research Papers. RePEc:aah:create:2016-20.

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2016The Drift Burst Hypothesis. (2016). Oomen, Roel ; Christensen, Kim ; Reno, Roberto . In: CREATES Research Papers. RePEc:aah:create:2016-28.

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

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2017Decoupling 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.

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2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Silvennoinen, Annastiina ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Modelling and forecasting WIG20 daily returns. (2017). Amado, Cristina ; Terasvirta, Timo ; Silvennoinen, Annastiina . In: CREATES Research Papers. RePEc:aah:create:2017-29.

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2017Is 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.

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2016The 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.

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2016Linear 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.

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2016Asymmetric 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.

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2017Modeling 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.

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2016Changes 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.

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2016The 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.

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2016Analysis 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.

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2016Informed Trading in Oil-Futures Market. (2016). Sévi, Benoît ; Rousse, Olivier . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:249788.

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2017Temperature Anomalies, Radiative Forcing and ENSO. (2017). MORANA, CLAUDIO ; Sbrana, Giacomo . In: MITP: Mitigation, Innovation,and Transformation Pathways. RePEc:ags:feemmi:253732.

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2016Can 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.

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2017VOLATILITY 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.

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2016Impact 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.

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2016INVESTIGATION 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.

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2016Has 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.

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2017Weekend 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.

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2016Learning 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.

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2016Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models. (2016). Wang, Li-Xin . In: Papers. RePEc:arx:papers:1401.1888.

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2016Dynamical 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.

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2016Inference 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.

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2016A 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.

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2016Bin Size Independence in Intra-day Seasonalities for Relative Prices. (2016). Guevara, Esteban . In: Papers. RePEc:arx:papers:1501.05176.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016Semimartingale detection and goodness-of-fit tests. (2016). Bull, Adam D.. In: Papers. RePEc:arx:papers:1506.00088.

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2016Stochastic 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.

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2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut . In: Papers. RePEc:arx:papers:1509.01175.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2016FX Options in Target Zone. (2016). Carr, Peter ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1512.01527.

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2017Model-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.

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2016Dynamic 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.

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2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1601.05199.

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2017Limit-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.

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2016Tail Risk Premia for Long-Term Equity Investors. (2016). Rauch, Johannes . In: Papers. RePEc:arx:papers:1602.00865.

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2016Should 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.

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

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2016Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models. (2016). Krishnamurthy, Vikram ; Sass, Jorn ; Leoff, Elisabeth . In: Papers. RePEc:arx:papers:1602.05323.

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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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2016Value-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.

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

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:1604.01338.

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2017Evidence 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.

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2016On 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.

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2016Density 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.

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2016Discrete 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.

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2016What 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.

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2016On 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.

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2016Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03597.

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2016Using String Invariants for Prediction Searching for Optimal Parameters. (2016). Pincak, Richard ; Bundzel, Marek ; Kasanicky, Tomas . In: Papers. RePEc:arx:papers:1606.06003.

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2016Artificial 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.

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2016Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1607.08214.

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2016On the Market-Neutrality of Optimal Pairs-Trading Strategies. (2016). Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1608.08268.

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2016Entropy and efficiency of the ETF market. (2016). Calcagnile, Lucio Maria ; Marmi, Stefano ; Corsi, Fulvio . In: Papers. RePEc:arx:papers:1609.04199.

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2016The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177.

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2017Multivariate GARCH with dynamic beta. (2017). Raddant, Matthias ; Wagner, Friedrich . In: Papers. RePEc:arx:papers:1609.07051.

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2016Hysteresis 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.

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2016Volatility Inference and Return Dependencies in Stochastic Volatility Models. (2016). Pfante, Oliver ; Bertschinger, Nils . In: Papers. RePEc:arx:papers:1610.00312.

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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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2016Feasible 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.

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2016Uncertainty Estimates in the Heston Model via Fisher Information. (2016). Pfante, Oliver ; Bertschinger, Nils . In: Papers. RePEc:arx:papers:1610.04760.

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2016Detection 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.

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2016Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations. (2016). Li, Cheng . In: Papers. RePEc:arx:papers:1612.04507.

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2016Predictability Hidden by Anomalous Observations. (2016). Trojani, Fabio ; Scaillet, Olivier ; Camponovo, Lorenzo . In: Papers. RePEc:arx:papers:1612.05072.

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2016Optimal Investment under Information Driven Contagious Distress. (2016). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1612.06133.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488.

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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185.

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2017Chebyshev Reduced Basis Function applied to Option Valuation. (2017). Gaton, Victor ; de Frutos, Javier . In: Papers. RePEc:arx:papers:1701.01429.

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

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2017Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes. (2017). Chatterjee, Swarnankur. In: Papers. RePEc:arx:papers:1701.07175.

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2017Probability density of lognormal fractional SABR model. (2017). Akahori, Jiro ; Wang, Tai-Ho ; Song, Xiaoming. In: Papers. RePEc:arx:papers:1702.08081.

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2017A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors. (2017). Mukhoti, Sujay ; Ranjan, Pritam . In: Papers. RePEc:arx:papers:1703.06603.

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2017A 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.

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2017A 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.

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2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Kruger, Fabian . In: Papers. RePEc:arx:papers:1705.04537.

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2017Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling. (2017). Zeng, Yaxiong ; Klabjan, Diego . In: Papers. RePEc:arx:papers:1706.01833.

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2017Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. 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). Wang, Chao ; Gerlach, Richard ; Chen, Qian . In: Papers. RePEc:arx:papers:1707.03715.

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2017Statistical properties and multifractality of Bitcoin. (2017). 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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2017Systematic Noise: Micro-movements in Equity Options Markets. (2017). Wu, Adam . In: Papers. RePEc:arx:papers:1708.06855.

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2017Dynamic 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.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. 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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2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2017Testing if the market microstructure noise is a function of the limit order book. (2017). Clinet, Simon ; Potiron, Yoann . In: Papers. RePEc:arx:papers:1709.02502.

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2017A 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.

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

Tim Bollerslev has edited the books:


YearTitleTypeCited

Works by Tim Bollerslev:


YearTitleTypeCited
2007A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures In: CREATES Research Papers.
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paper40
2011A reduced form framework for modeling volatility of speculative prices based on realized variation measures.(2011) In: Journal of Econometrics.
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