Tim Bollerslev : Citation Profile

Are you Tim Bollerslev?

Duke University (98% share)
National Bureau of Economic Research (NBER) (1% share)
Aarhus Universitet (1% share)

62

H index

91

i10 index

31943

Citations

RESEARCH PRODUCTION:

86

Articles

100

Papers

4

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   35 years (1985 - 2020). See details.
   Cites by year: 912
   Journals where Tim Bollerslev has often published
   Relations with other researchers
   Recent citing documents: 1543.    Total self citations: 114 (0.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo66
   Updated: 2023-11-04    RAS profile: 2020-09-05    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Patton, Andrew (3)

Quaedvlieg, Rogier (3)

Pedersen, Lasse (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Tim Bollerslev.

Is cited by:

Degiannakis, Stavros (333)

GUPTA, RANGAN (302)

Chang, Chia-Lin (244)

Caporin, Massimiliano (197)

Shephard, Neil (190)

Asai, Manabu (182)

Laurent, Sébastien (165)

Medeiros, Marcelo (151)

Diebold, Francis (149)

Baruník, Jozef (136)

Nielsen, Morten (136)

Cites to:

Andersen, Torben (252)

Diebold, Francis (239)

Engle, Robert (179)

Shephard, Neil (118)

Campbell, John (89)

Tauchen, George (84)

Schwert, G. (68)

Hansen, Peter (63)

Baillie, Richard (58)

Lunde, Asger (58)

Meddahi, Nour (56)

Main data

Where Tim Bollerslev has published?

Journals with more than one article published# docs
Journal of Econometrics25
Journal of Business & Economic Statistics6
Journal of Finance5
Econometrica4
Journal of International Money and Finance4
The Review of Economics and Statistics4
Journal of Financial Economics4
Journal of Empirical Finance3
International Economic Review2
Journal of Financial and Quantitative Analysis2
Review of Financial Studies2
Review of Economic Studies2
Proceedings2
Journal of International Economics2
Journal of Applied Econometrics2
American Economic Review2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc17
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 (2023 and 2022)

YearTitle of citing document
2023Long Monthly European Temperature Series and the North Atlantic Oscillation. (2023). Teräsvirta, Timo ; Tersvirta, Timo ; Silvennoinen, Annastiina ; Kang, Jian ; He, Changli. In: Economics Working Papers. RePEc:aah:aarhec:2023-03.

Full description at Econpapers || Download paper

2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01.

Full description at Econpapers || Download paper

2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

Full description at Econpapers || Download paper

2022Betting on mean reversion in the VIX? Evidence from ETP flows. (2022). Posselt, Anders Merrild ; Nielsen, Ole Linnemann. In: CREATES Research Papers. RePEc:aah:create:2022-06.

Full description at Econpapers || Download paper

2022Modelling the Relationship Between Trading Volume and Stock Returns Volatility for Islamic and Conventional Banks: The Case of Saudi Arabia ????? ??????? ??? ??? ??????? ????? ????? ?????? ?????? ????. (2022). Saci, Karima. In: Journal of King Abdulaziz University: Islamic Economics. RePEc:abd:kauiea:v:35:y:2022:i:1:no:3:p:41-55.

Full description at Econpapers || Download paper

2022Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model. (2022). Suchitra, S ; Rangappa, K B ; Chetan, G K. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:151-164.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2022Determinants of Stock Market Volatility in Africa. (2022). Uhunmwangho, Monday. In: African Journal of Economic Review. RePEc:ags:afjecr:320586.

Full description at Econpapers || Download paper

2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2022A subdiffusive stochastic volatility jump model. (2022). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022001.

Full description at Econpapers || Download paper

2022Asymmetric volatility impulse response functions. (2022). Herwartz, Helmut ; Hafner, Christian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022037.

Full description at Econpapers || Download paper

2022Forecasting total energy’s CO2 emissions. (2022). Leccadito, Arturo ; Algieri, Bernardina ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022003.

Full description at Econpapers || Download paper

2022Wp?yw wyborów politycznych na ceny akcji na Gie?dzie Papierów Warto?ciowych w Warszawie. (2022). Wojtalik, Grzegorz ; Szymaski, Marek. In: Ekonomista. RePEc:aoq:ekonom:y:2022:i:3:p:290-306.

Full description at Econpapers || Download paper

2022Can Digital Currencies Serve as Safe Havens in the Post-Covid Era?. (2022). Adom, Dsir A. In: Business, Management and Economics Research. RePEc:arp:bmerar:2022:p:17-27.

Full description at Econpapers || Download paper

2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

Full description at Econpapers || Download paper

2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

Full description at Econpapers || Download paper

2023A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

Full description at Econpapers || Download paper

2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

Full description at Econpapers || Download paper

2022Path-dependent volatility models. (2020). Lacombe, Chloe ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2001.05248.

Full description at Econpapers || Download paper

2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

Full description at Econpapers || Download paper

2022A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

Full description at Econpapers || Download paper

2022Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets. (2020). Klein, Jules ; Garcin, Matthieu ; Laaribi, Sana. In: Papers. RePEc:arx:papers:2007.09043.

Full description at Econpapers || Download paper

2022Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837.

Full description at Econpapers || Download paper

2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

Full description at Econpapers || Download paper

2022The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2020). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2009.10972.

Full description at Econpapers || Download paper

2022Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

Full description at Econpapers || Download paper

2022High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

Full description at Econpapers || Download paper

2022Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

Full description at Econpapers || Download paper

2022The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

Full description at Econpapers || Download paper

2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

Full description at Econpapers || Download paper

2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

Full description at Econpapers || Download paper

2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

Full description at Econpapers || Download paper

2022Online Learning with Radial Basis Function Networks. (2021). Barucca, Paolo ; Firoozye, Nick ; Borrageiro, Gabriel. In: Papers. RePEc:arx:papers:2103.08414.

Full description at Econpapers || Download paper

2023Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

Full description at Econpapers || Download paper

2023Deep Reinforcement Trading with Predictable Returns. (2021). Brini, Alessio ; Tantari, Daniele. In: Papers. RePEc:arx:papers:2104.14683.

Full description at Econpapers || Download paper

2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

Full description at Econpapers || Download paper

2022Enhancing Cross-Sectional Currency Strategies by Ranking Refinement with Transformer-based Architectures. (2021). Zohren, Stefan ; Lim, Bryan ; Poh, Daniel ; Roberts, Stephen. In: Papers. RePEc:arx:papers:2105.10019.

Full description at Econpapers || Download paper

2022A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288.

Full description at Econpapers || Download paper

2023Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

Full description at Econpapers || Download paper

2022G3M Impermanent Loss Dynamics. (2021). Boueri, Nassib. In: Papers. RePEc:arx:papers:2108.06593.

Full description at Econpapers || Download paper

2023Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

Full description at Econpapers || Download paper

2022Ask Who, Not What: Bitcoin Volatility Forecasting with Twitter Data. (2021). Kaempf, Killian ; Erkul, Mert ; Akbiyik, Eren M ; Antulov-Fantulin, Nino ; Vasiliauskaite, Vaiva. In: Papers. RePEc:arx:papers:2110.14317.

Full description at Econpapers || Download paper

2022Edgeworth expansions for volatility models. (2021). Jirak, Moritz . In: Papers. RePEc:arx:papers:2111.00529.

Full description at Econpapers || Download paper

2022Data-driven integration of regularized mean-variance portfolios. (2021). Kwon, Roy H ; Butler, Andrew. In: Papers. RePEc:arx:papers:2112.07016.

Full description at Econpapers || Download paper

2023Spread Option Pricing in a Copula Affine GARCH(p,q) Model. (2021). Mercuri, Lorenzo ; Berton, Edoardo. In: Papers. RePEc:arx:papers:2112.11968.

Full description at Econpapers || Download paper

2022Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2112.14529.

Full description at Econpapers || Download paper

2022Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities. (2022). James, Nick. In: Papers. RePEc:arx:papers:2112.15321.

Full description at Econpapers || Download paper

2022Dynamic Portfolio Optimization with Inverse Covariance Clustering. (2022). Aste, Tomaso ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2112.15499.

Full description at Econpapers || Download paper

2022NumHTML: Numeric-Oriented Hierarchical Transformer Model for Multi-task Financial Forecasting. (2022). Dong, Ruihai ; Li, Jiazheng ; Yang, Linyi ; Smyth, Barry ; Zhang, Yue. In: Papers. RePEc:arx:papers:2201.01770.

Full description at Econpapers || Download paper

2022Optimal trend following portfolios. (2022). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2201.06635.

Full description at Econpapers || Download paper

2022Forecasting the distribution of long-horizon returns with time-varying volatility. (2022). Ho, Hwai-Chung. In: Papers. RePEc:arx:papers:2201.07457.

Full description at Econpapers || Download paper

2022Long Short-Term Memory Neural Network for Financial Time Series. (2022). Fjellstrom, Carmina. In: Papers. RePEc:arx:papers:2201.08218.

Full description at Econpapers || Download paper

2023Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

Full description at Econpapers || Download paper

2022Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data. (2022). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:2201.10173.

Full description at Econpapers || Download paper

2022Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes. (2022). Soulier, Philippe ; Hurvich, Clifford ; Hsieh, Meng-Chen. In: Papers. RePEc:arx:papers:2202.00793.

Full description at Econpapers || Download paper

2022Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197.

Full description at Econpapers || Download paper

2022On Robust Optimal Linear Feedback Stock Trading. (2022). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2202.02300.

Full description at Econpapers || Download paper

2022Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351.

Full description at Econpapers || Download paper

2022Two is better than one: Regularized shrinkage of large minimum variance portfolio. (2022). Parolya, Nestor ; Thors, Erik ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2202.06666.

Full description at Econpapers || Download paper

2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

Full description at Econpapers || Download paper

2022Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

Full description at Econpapers || Download paper

2022Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks. (2022). di Gangi, Domenico ; Lillo, Fabrizio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2202.09854.

Full description at Econpapers || Download paper

2022Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970.

Full description at Econpapers || Download paper

2022On financial market correlation structures and diversification benefits across and within equity sectors. (2022). James, Nick ; Gottwald, Georg ; Menzies, Max. In: Papers. RePEc:arx:papers:2202.10623.

Full description at Econpapers || Download paper

2022Crypto-assets better safe-havens than Gold during Covid-19: The case of European indices. (2022). Yatie, Alhonita. In: Papers. RePEc:arx:papers:2202.10760.

Full description at Econpapers || Download paper

2022Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285.

Full description at Econpapers || Download paper

2022Can LSTM outperform volatility-econometric models?. (2022). Rodikov, German ; Antulov-Fantulin, Nino. In: Papers. RePEc:arx:papers:2202.11581.

Full description at Econpapers || Download paper

2022Dynamic Spatiotemporal ARCH Models. (2022). Otto, Philipp ; Tacspinar, Suleyman ; Dougan, Osman. In: Papers. RePEc:arx:papers:2202.13856.

Full description at Econpapers || Download paper

2022Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

Full description at Econpapers || Download paper

2022The Variable Volatility Elasticity Model from Commodity Markets. (2022). Gong, Fuzhou ; Wang, Ting. In: Papers. RePEc:arx:papers:2203.09177.

Full description at Econpapers || Download paper

2022Reducing overestimating and underestimating volatility via the augmented blending-ARCH model. (2022). Yi, Shao ; Lu, Jun. In: Papers. RePEc:arx:papers:2203.12456.

Full description at Econpapers || Download paper

2023Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820.

Full description at Econpapers || Download paper

2022Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806.

Full description at Econpapers || Download paper

2022Ensemble learning for portfolio valuation and risk management. (2022). Filipovi, Damir ; Boudabsa, Lotfi. In: Papers. RePEc:arx:papers:2204.05926.

Full description at Econpapers || Download paper

2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

Full description at Econpapers || Download paper

2022Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2204.07506.

Full description at Econpapers || Download paper

2022A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate. (2022). Belkacem, Lotfi ; Boubaker, Heni ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2204.08289.

Full description at Econpapers || Download paper

2022A Multivariate Spatial and Spatiotemporal ARCH Model. (2022). Otto, Philipp. In: Papers. RePEc:arx:papers:2204.12472.

Full description at Econpapers || Download paper

2022High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933.

Full description at Econpapers || Download paper

2022The role of investor attention in global asset price variation during the invasion of Ukraine. (2022). Horv, Mat'Uvs ; Stavsek, Daniel ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2205.05985.

Full description at Econpapers || Download paper

2022Resemblence between non-Markovian and nonlinear point processes. (2022). Kaulakys, Bronislovas ; Kazakevivcius, Rytis ; Kononovicius, Aleksejus. In: Papers. RePEc:arx:papers:2205.07563.

Full description at Econpapers || Download paper

2022Russias Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention. (2022). Pl, Tom'Avs ; Ly, Vstefan. In: Papers. RePEc:arx:papers:2205.09179.

Full description at Econpapers || Download paper

2022Quasi Black-Box Variational Inference with Natural Gradients for Bayesian Learning. (2022). Iosifidis, Alexandros ; Shabani, Mostafa ; Magris, Martin. In: Papers. RePEc:arx:papers:2205.11568.

Full description at Econpapers || Download paper

2023Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738.

Full description at Econpapers || Download paper

2022Time-Varying Multivariate Causal Processes. (2022). Yan, Yayi ; Wu, Wei Biao ; Peng, Bin ; Gao, Jiti. In: Papers. RePEc:arx:papers:2206.00409.

Full description at Econpapers || Download paper

2022Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896.

Full description at Econpapers || Download paper

2022Modeling Multivariate Positive-Valued Time Series Using R-INLA. (2022). Basu, Sumanta ; Ravishanker, Nalini ; Dutta, Chiranjit. In: Papers. RePEc:arx:papers:2206.05374.

Full description at Econpapers || Download paper

2022An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772.

Full description at Econpapers || Download paper

2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

Full description at Econpapers || Download paper

2022Unique futures in China: studys on volatility spillover effects of ferrous metal futures. (2022). Hao, Lin ; Sun, Cuiping ; Cao, Tingting. In: Papers. RePEc:arx:papers:2206.15039.

Full description at Econpapers || Download paper

2022Simulating financial time series using attention. (2022). Osterrieder, Jorg ; Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:2207.00493.

Full description at Econpapers || Download paper

2022Modeling Randomly Walking Volatility with Chained Gamma Distributions. (2022). Zhou, Youzhou ; Niu, Qiang ; Zhang, DI. In: Papers. RePEc:arx:papers:2207.01151.

Full description at Econpapers || Download paper

2022Autoencoding Conditional GAN for Portfolio Allocation Diversification. (2022). Yi, Shao ; Lu, Jun. In: Papers. RePEc:arx:papers:2207.05701.

Full description at Econpapers || Download paper

2022Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

Full description at Econpapers || Download paper

2022Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes. (2022). Wilson, Andrew Gordon ; Maddox, Wesley J ; Benton, Gregory. In: Papers. RePEc:arx:papers:2207.06544.

Full description at Econpapers || Download paper

2022Efficiency of the Moscow Stock Exchange before 2022. (2022). Marmi, Stefano ; Mazzarisi, Piero ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2207.10476.

Full description at Econpapers || Download paper

2022Estimating value at risk: LSTM vs. GARCH. (2022). Schmidt, Thorsten ; Safarveisi, Sajad ; Pitera, Marcin ; Ormaniec, Weronika. In: Papers. RePEc:arx:papers:2207.10539.

Full description at Econpapers || Download paper

2022Exploring Financial Networks Using Quantile Regression and Granger Causality. (2022). Basu, Sumanta ; Mukherjee, Diganta ; Lahiry, Samriddha ; Karpman, Kara. In: Papers. RePEc:arx:papers:2207.10705.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]		paper110
2011A 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: 110		article
2007Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks In: CREATES Research Papers.
[Full Text][Citation analysis]		paper67
2010Jumps 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: 67		article
2007Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities In: CREATES Research Papers.
[Full Text][Citation analysis]		paper204
2011Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 204		article
2004Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2004) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 204		paper
2005Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2005) In: Proceedings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 204		article
2007Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper737
2008Expected Stock Returns and Variance Risk Premia.(2008) In: CREATES Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 737		paper
2006Expected stock returns and variance risk premia.(2006) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 737		paper
2009Expected Stock Returns and Variance Risk Premia.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 737		article
2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper846
2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 846		paper
2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 846		article
2007Risk, Jumps, and Diversification In: CREATES Research Papers.
[Full Text][Citation analysis]		paper113
2008Risk, jumps, and diversification.(2008) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113		article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper544
2007Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 544		article
2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 544		paper
2007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper113
2010Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns.(2010) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113		article
2008Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113		paper
2007A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects In: CREATES Research Papers.
[Full Text][Citation analysis]		paper109
2010A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 109		paper
2009A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects.(2009) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 109		article
2008Glossary to ARCH (GARCH) In: CREATES Research Papers.
[Full Text][Citation analysis]		paper65
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies In: CREATES Research Papers.
[Full Text][Citation analysis]		paper25
2010Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		paper
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		paper
2011Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2011) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		article
2009Tails, Fears and Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper276
2011Tails, Fears, and Risk Premia.(2011) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 276		article
2010Tails, Fears and Risk Premia.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 276		paper
2010Estimation of Jump Tails In: CREATES Research Papers.
[Full Text][Citation analysis]		paper34
2010Estimation of Jump Tails.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2011Estimation of Jump Tails.(2011) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		article
2010Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper56
2013Jump tails, extreme dependencies, and the distribution of stock returns.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56		article
2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
[Full Text][Citation analysis]		paper48
2013Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		chapter
2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		paper
2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		paper
2011Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2012Stock Return and Cash Flow Predictability: The Role of Volatility Risk In: CREATES Research Papers.
[Full Text][Citation analysis]		paper23
2015Stock return and cash flow predictability: The role of volatility risk.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		article
2014Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2014Tail Risk Premia and Return Predictability In: CREATES Research Papers.
[Full Text][Citation analysis]		paper126
2015Tail risk premia and return predictability.(2015) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 126		article
2015Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper29
2013Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2016Daily House Price Indices: Construction, Modeling, and Longer?run Predictions.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		article
2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
[Full Text][Citation analysis]		paper148
2016Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 148		article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper43
2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43		article
2016Volume, Volatility and Public News Announcements In: CREATES Research Papers.
[Full Text][Citation analysis]		paper41
2018Volume, Volatility, and Public News Announcements.(2018) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		article
1991es modéles ARCH en finance : un point sur la théorie et les résultats empiriques In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article0
2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
[Full Text][Citation analysis]		article833
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 833		paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 833		paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 833		paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 833		paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
[Full Text][Citation analysis]		article79
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79		paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79		paper
2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79		paper
2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article1043
1995Dan Nelson Remembered. In: Journal of Business & Economic Statistics.
[Citation analysis]		article3
1996Periodic Autoregressive Conditional Heteroscedasticity. In: Journal of Business & Economic Statistics.
[Citation analysis]		article191
1994Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 191		paper
1994Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 191		paper
1999Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies. In: Journal of Business & Economic Statistics.
[Citation analysis]		article97
2002The Message in Daily Exchange Rates: A Conditional-Variance Tale. In: Journal of Business & Economic Statistics.
[Citation analysis]		article389
1989The Message in Daily Exchange Rates: A Conditional-Variance Tale..(1989) In: Journal of Business & Economic Statistics.
[Citation analysis]
This paper has another version. Agregated cites: 389		article
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2007Investor Attention and Time?varying Comovements In: European Financial Management.
[Full Text][Citation analysis]		article31
1993 Trading Patterns and Prices in the Interbank Foreign Exchange Market. In: Journal of Finance.
[Full Text][Citation analysis]		article198
1994 Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. In: Journal of Finance.
[Full Text][Citation analysis]		article190
1993Cointegration, Fractional Cointegration, and Exchange RAte Dynamics..(1993) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 190		paper
1997 Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article363
1996Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns.(1996) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 363		paper
2001Variance?ratio Statistics and High?frequency Data: Testing for Changes in Intraday Volatility Patterns In: Journal of Finance.
[Full Text][Citation analysis]		article33
1988ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article70
1985A Note on the Relation between Consumers Expenditure and Income in the United Kingdom. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article1
1998Towards a unified framework for high and low frequency return volatility modeling In: Statistica Neerlandica.
[Full Text][Citation analysis]		article5
2011Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors Introduction In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article0
2002Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper107
2004ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 107		article
2002Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper13
2002Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities.(2002) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2002CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES.(2002) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
1994On Periodic Autogressive Conditional Heteroskedasticity In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
2018Risk Everywhere: Modeling and Managing Volatility In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper99
2018Risk Everywhere: Modeling and Managing Volatility.(2018) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 99		article
2014Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article157
2011Stock return predictability and variance risk premia: statistical inference and international evidence.(2011) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 157		paper
2020Good Volatility, Bad Volatility, and the Cross Section of Stock Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article25
2002Modeling and Forecasting Realized Volatility In: Working Papers.
[Full Text][Citation analysis]		paper1833
2003Modeling and Forecasting Realized Volatility.(2003) In: Econometrica.
[Citation analysis]
This paper has another version. Agregated cites: 1833		article
2001Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1833		paper
2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1833		paper
1993Common Persistence in Conditional Variances. In: Econometrica.
[Full Text][Citation analysis]		article117
2005Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica.
[Full Text][Citation analysis]		article169
1997Order flow and the bid-ask spread: An empirical probability model of screen-based trading In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article26
1986Arch models In: Handbook of Econometrics.
[Full Text][Citation analysis]		chapter108
2006Volatility and Correlation Forecasting In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter267
2001Financial econometrics: Past developments and future challenges In: Journal of Econometrics.
[Full Text][Citation analysis]		article21
2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article160
2001Estimating stochastic volatility diffusion using conditional moments of integrated volatility.(2001) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 160		paper
2004Corrigendum to Estimating stochastic volatility diffusion using conditional moments of integrated volatility [J. Econom. 109 (2002) 33-65] In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2006Volatility puzzles: a simple framework for gauging return-volatility regressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article122
2007No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications In: Journal of Econometrics.
[Full Text][Citation analysis]		article156
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 156		paper
2011Realized volatility forecasting and market microstructure noise In: Journal of Econometrics.
[Full Text][Citation analysis]		article103
2014Time-varying jump tails In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2019High-dimensional multivariate realized volatility estimation In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2020Multivariate leverage effects and realized semicovariance GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
1986Generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article7863
1986Generalized autoregressive conditional heteroskedasticity.(1986) In: EERI Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7863		paper
1992ARCH modeling in finance : A review of the theory and empirical evidence In: Journal of Econometrics.
[Full Text][Citation analysis]		article1573
1992Prediction in dynamic models with time-dependent conditional variances In: Journal of Econometrics.
[Full Text][Citation analysis]		article93
1990PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES..(1990) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 93		paper
1996Modeling and pricing long memory in stock market volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article669
1996Fractionally integrated generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article1090
1999Long-term equity anticipation securities and stock market volatility dynamics In: Journal of Econometrics.
[Full Text][Citation analysis]		article80
2000Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article79
2003Measuring and modeling systematic risk in factor pricing models using high-frequency data In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article49
1997Intraday periodicity and volatility persistence in financial markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article590
1999Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article159
1994Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis In: Journal of International Economics.
[Full Text][Citation analysis]		article126
2000Intraday and interday volatility in the Japanese stock market In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article101
2013Risk and return: Long-run relations, fractional cointegration, and return predictability In: Journal of Financial Economics.
[Full Text][Citation analysis]		article86
2016Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article38
2001The distribution of realized stock return volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]		article988
1993Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article16
1991Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange.(1991) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
1991Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange.(1991) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
1994The long memory of the forward premium In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article146
1993The Long Memory of the Foreward Premium..(1993) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 146		paper
2000The forward premium anomaly is not as bad as you think In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article201
1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article120
2003Volatility puzzles: a unified framework for gauging return-volatility regressions In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper6
1999High frequency data, frequency domain inference and volatility forecasting In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper60
2001High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting.(2001) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		article
2005Stock returns and volatility: pricing the long-run and short-run components of market risk In: Proceedings.
[Full Text][Citation analysis]		article2
1988FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]		paper1
1989INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES. In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]		paper166
1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates.(1991) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 166		article
1991Bear Squeezes in the Hyperinflation 1920s Foreign Exchange. In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]		paper0
1999The Distribution of Exchange Rate Volatility In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]		paper85
1999The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 85		paper
1999The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 85		paper
1999Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]		paper106
2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: Multinational Finance Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 106		article
2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 106		paper
1999Exchange 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: 106		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]		paper54
1991Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange. In: Tilburg - Center for Economic Research.
[Citation analysis]		paper0
1998Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts. In: International Economic Review.
[Citation analysis]		article1535
2002Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article59
1988Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances In: Working papers.
[Citation analysis]		paper111
2007Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters.
[Full Text][Citation analysis]		chapter41
2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		paper
2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		paper
2005Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		paper
2002Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers.
[Full Text][Citation analysis]		paper70
2002Parametric and Nonparametric Volatility Measurement.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70		paper
2005Volatility Forecasting In: NBER Working Papers.
[Full Text][Citation analysis]		paper48
2005Volatility Forecasting.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		paper
2005Volatility forecasting.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		paper
2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper106
2004Real-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: 106		paper
2004Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 106		paper
1992Financial Market Efficiency Tests In: NBER Working Papers.
[Full Text][Citation analysis]		paper33
1996DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: NBER Working Papers.
[Full Text][Citation analysis]		paper9
1997Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts In: NBER Working Papers.
[Full Text][Citation analysis]		paper26
1998Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2000The Distribution of Stock Return Volatility In: NBER Working Papers.
[Full Text][Citation analysis]		paper39
2000The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		paper
2006Leverage and Volatility Feedback Effects in High-Frequency Data In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article214
2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive.
[Full Text][Citation analysis]		paper41
2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility.(2003) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		paper
2004Realized Beta: Persistence and Predictability In: PIER Working Paper Archive.
[Full Text][Citation analysis]		paper13
2004Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article990
1990Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article1765
1988A Capital Asset Pricing Model with Time-Varying Covariances. In: Journal of Political Economy.
[Full Text][Citation analysis]		article1398
2020Realized Semicovariances In: Econometrica.
[Full Text][Citation analysis]		article13

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team