Tim Bollerslev : Citation Profile

Are you Tim Bollerslev?

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

55

H index

84

i10 index

23161

Citations

RESEARCH PRODUCTION:

82

Articles

99

Papers

4

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   33 years (1985 - 2018). See details.
   Cites by year: 701
   Journals where Tim Bollerslev has often published
   Relations with other researchers
   Recent citing documents: 2039.    Total self citations: 108 (0.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo66
   Updated: 2020-05-23    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 (712)

Degiannakis, Stavros (290)

Chang, Chia-Lin (274)

Caporin, Massimiliano (178)

Shephard, Neil (174)

Asai, Manabu (168)

GUPTA, RANGAN (151)

Laurent, Sébastien (132)

Diebold, Francis (128)

Christoffersen, Peter (127)

Medeiros, Marcelo (120)

Cites to:

Andersen, Torben (223)

Diebold, Francis (202)

Engle, Robert (143)

Shephard, Neil (91)

Tauchen, George (75)

Campbell, John (71)

Barndorff-Nielsen, Ole (65)

Schwert, G. (61)

Baillie, Richard (53)

Meddahi, Nour (52)

Gallant, A. (52)

Main data

Where Tim Bollerslev has published?

Journals with more than one article published# docs
Journal of Econometrics24
Journal of Business & Economic Statistics6
Econometrica4
The Review of Economics and Statistics4
Journal of Financial Economics4
Journal of Finance4
Journal of International Money and Finance4
Journal of Empirical Finance3
American Economic Review2
International Economic Review2
Review of Economic Studies2
Journal of Applied Econometrics2
Journal of International Economics2
Review of Financial Studies2

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
Proceedings / Board of Governors of the Federal Reserve System (U.S.)2
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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2018Modelling Electricity Swaps with Stochastic Forward Premium Models. (2018). Rodriguez, Rosa ; Pea, Juan Ignacio. In: The Energy Journal. RePEc:aen:journl:ej39-2-pena.

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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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2019Measuring Success: Does Predictive Ability of an Asset Price Rest in Memory? Insights from a New Approach. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:11-19.

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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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2019GARCH based VaR estimation: An empirical evidence from BRICS stock markets. (2019). Rao, Prabhakar ; Guptha, Siva Kiran. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:201-218.

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2019Volatility experience of major world stock markets. (2019). Rao, Prabhakara R ; Mallikarjuna, M. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:35-52.

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2019GARCH based VaR estimation: An empirical evidence from BRICS stock markets. (2019). Rao, Prabhakar ; Guptha, Siva Kiran. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:201-218.

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2019Volatility experience of major world stock markets. (2019). Mallikarjuna, Mejari ; Rao, Prabhakara R. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:35-52.

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2020Financial stress index, growth and price stability in India: Some recent evidence. (2020). Sahoo, Jayantee. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvii:y:2020:i:1(622):p:105-124.

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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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2019The Effect of Exchange Rate and Interest Rate Volatilities on Stock Prices: Further Empirical Evidence from Ghana. (2019). Baidoo, Samuel ; Osei, Peter Yaw ; Ofori-Abebrese, Grace. In: Economics Literature. RePEc:ana:elitjr:v:1:y:2019:i:2:p:117-132.

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2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:449-479.

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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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2019Dynamic 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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2020Dynamic 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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2020LASSO-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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2019Tail 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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2020DeepLOB: 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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More than 100 citations found, this list is not complete...

Tim Bollerslev has edited the books:

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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.
[Full Text][Citation analysis]		paper39
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.
[Full Text][Citation analysis]		paper127
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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2007Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper410
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.
[Full Text][Citation analysis]		paper513
2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 513		paper
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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This paper has another version. Agregated cites: 513		article
2007Risk, Jumps, and Diversification In: CREATES Research Papers.
[Full Text][Citation analysis]		paper80
2008Risk, jumps, and diversification.(2008) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 80		article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper351
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.
[Full Text][Citation analysis]		paper87
2010Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns.(2010) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 87		article
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.
[Full Text][Citation analysis]		paper82
2010A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 82		paper
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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This paper has another version. Agregated cites: 82		article
2008Glossary to ARCH (GARCH) In: CREATES Research Papers.
[Full Text][Citation analysis]		paper36
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies In: CREATES Research Papers.
[Full Text][Citation analysis]		paper19
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.
[Full Text][Citation analysis]		paper19
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.
[Full Text][Citation analysis]		paper30
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.
[Full Text][Citation analysis]		paper17
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.
[Full Text][Citation analysis]		paper14
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.
[Full Text][Citation analysis]		paper58
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.
[Full Text][Citation analysis]		paper13
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.
[Full Text][Citation analysis]		paper6
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.
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2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
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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: 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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This paper has another version. Agregated cites: 585		paper
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.
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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.
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2002The Message in Daily Exchange Rates: A Conditional-Variance Tale. 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.
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1993 Trading Patterns and Prices in the Interbank Foreign Exchange Market. In: Journal of Finance.
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1994 Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. In: Journal of Finance.
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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.
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1996Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns.(1996) In: NBER Working Papers.
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1988ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS In: Journal of Time Series Analysis.
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1998Towards a unified framework for high and low frequency return volatility modeling In: Statistica Neerlandica.
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2002Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers.
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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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1994On Periodic Autogressive Conditional Heteroskedasticity In: CIRANO Working Papers.
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2001Estimating stochastic volatility diffusion using conditional moments of integrated volatility.(2001) In: Finance and Economics Discussion Series.
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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.(2007) In: NBER Working Papers.
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