Tim Bollerslev : Citation Profile

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

64

H index

93

i10 index

34551

Citations

RESEARCH PRODUCTION:

97

Articles

100

Papers

5

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   39 years (1985 - 2024). See details.
   Cites by year: 885
   Journals where Tim Bollerslev has often published
   Relations with other researchers
   Recent citing documents: 1064.    Total self citations: 122 (0.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo66
   Updated: 2025-06-07    RAS profile: 2024-12-06    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Patton, Andrew (5)

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:

GUPTA, RANGAN (347)

Degiannakis, Stavros (339)

Chang, Chia-Lin (306)

Asai, Manabu (232)

Caporin, Massimiliano (208)

Shephard, Neil (187)

Laurent, Sébastien (172)

Diebold, Francis (151)

Medeiros, Marcelo (150)

Zhang, Yaojie (147)

Gallo, Giampiero (145)

Cites to:

Andersen, Torben (277)

Diebold, Francis (255)

Engle, Robert (183)

Shephard, Neil (128)

Campbell, John (96)

Tauchen, George (90)

Schwert, G. (79)

Hansen, Peter (69)

Lunde, Asger (64)

Meddahi, Nour (58)

Baillie, Richard (58)

Main data

Where Tim Bollerslev has published?

Journals with more than one article published# docs
Journal of Econometrics29
Journal of Financial Economics6
Journal of Business & Economic Statistics6
Journal of Finance5
The Review of Economics and Statistics4
Journal of International Money and Finance4
Econometrica4
Journal of Empirical Finance3
American Economic Review3
International Economic Review2
Journal of International Economics2
Journal of Financial and Quantitative Analysis2
The Review of Economic Studies2
Proceedings2
Journal of Financial Econometrics2
Journal of Applied Econometrics2
The Review of Financial Studies2

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 (2025 and 2024)

YearTitle of citing document
2024Modelling the relationship between inflation and uncertainty with existence of structural break: evidence from Azerbaijan. (2024). Rahimov, Vugar. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:85-96.

Full description at Econpapers || Download paper

2024Economic sanctions and barley price regime change in Iran. (2024). Farsi, Mohammad Mehdi ; Sardehaie, Behzad Fakari. In: Bio-based and Applied Economics Journal. RePEc:ags:aieabj:347578.

Full description at Econpapers || Download paper

2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Shamsudin, Luqman ; Li, Xiao. In: FEEM Working Papers. RePEc:ags:feemwp:349169.

Full description at Econpapers || Download paper

2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

Full description at Econpapers || Download paper

2024Volatility Depends on Market Trades and Macro Theory. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

Full description at Econpapers || Download paper

2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

Full description at Econpapers || Download paper

2024To VaR, or Not to VaR, That is the Question. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

Full description at Econpapers || Download paper

2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

Full description at Econpapers || Download paper

2024Nonparametric Test for Volatility in Clustered Multiple Time Series. (2024). Barrios, Erniel ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

Full description at Econpapers || Download paper

2024Three Remarks On Asset Pricing. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

Full description at Econpapers || Download paper

2024Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2024). Zohren, Stefan ; Poon, Ser-Huang ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

Full description at Econpapers || Download paper

2024Data-Driven Risk Measurement by SV-GARCH-EVT Model. (2024). , Shibo. In: Papers. RePEc:arx:papers:2201.09434.

Full description at Econpapers || Download paper

2025From Semi-Infinite Constraints to Structured Robust Policies: Optimal Gain Selection for Financial Systems. (2025). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2202.02300.

Full description at Econpapers || Download paper

2024Market-Based Price Autocorrelation. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

Full description at Econpapers || Download paper

2024Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests. (2024). Schienle, Melanie ; Gorgen, Konstantin ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

Full description at Econpapers || Download paper

2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

Full description at Econpapers || Download paper

2024Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2204.07506.

Full description at Econpapers || Download paper

2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

Full description at Econpapers || Download paper

2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

Full description at Econpapers || Download paper

2024Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

Full description at Econpapers || Download paper

2024Option pricing in Sandwiched Volterra Volatility model. (2024). Mishura, Yuliya ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2209.10688.

Full description at Econpapers || Download paper

2024DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions. (2024). Zohren, Stefan ; Moreno-Pino, Fernando. In: Papers. RePEc:arx:papers:2210.04797.

Full description at Econpapers || Download paper

2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2024). van Huellen, Sophie ; Dellaportas, Petros ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

Full description at Econpapers || Download paper

2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2024). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

Full description at Econpapers || Download paper

2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2024). Rossini, Luca ; Iacopini, Matteo ; Ravazzolo, Francesco. In: Papers. RePEc:arx:papers:2211.16121.

Full description at Econpapers || Download paper

2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2024). Wilms, Ines ; Hecq, Alain ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

Full description at Econpapers || Download paper

2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2024). Lu, Yutong ; Cucuringu, Mihai ; Reinert, Gesine. In: Papers. RePEc:arx:papers:2302.09382.

Full description at Econpapers || Download paper

2024An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition. (2024). Werge, Nicklas ; de Vilmarest, Joseph. In: Papers. RePEc:arx:papers:2303.01855.

Full description at Econpapers || Download paper

2024Learning to Predict Short-Term Volatility with Order Flow Image Representation. (2024). Hao, Mingyu ; Lenskiy, Artem. In: Papers. RePEc:arx:papers:2304.02472.

Full description at Econpapers || Download paper

2025Adaptive Students t-distribution with method of moments moving estimator for nonstationary time series. (2025). Duda, Jarek. In: Papers. RePEc:arx:papers:2304.03069.

Full description at Econpapers || Download paper

2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

Full description at Econpapers || Download paper

2024Latent Factor Analysis in Short Panels. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

Full description at Econpapers || Download paper

2024Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns. (2024). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

Full description at Econpapers || Download paper

2024GARCHX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables. (2024). GUPTA, RANGAN ; Karmakar, Sayar ; Wu, Kejin. In: Papers. RePEc:arx:papers:2308.13346.

Full description at Econpapers || Download paper

2025Global Neural Networks and The Data Scaling Effect in Financial Time Series Forecasting. (2025). Kohn, Robert ; Gerlach, Richard ; Tran, Minh-Ngoc ; Liu, Chen ; Wang, Chao. In: Papers. RePEc:arx:papers:2309.02072.

Full description at Econpapers || Download paper

2025Regressions under Adverse Conditions. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

Full description at Econpapers || Download paper

2024From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2024). Goulet Coulombe, Philippe ; Frenette, Mikael ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333.

Full description at Econpapers || Download paper

2025Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences. (2025). Xia, Weixuan. In: Papers. RePEc:arx:papers:2312.00266.

Full description at Econpapers || Download paper

2024Rough volatility: evidence from range volatility estimators. (2024). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

Full description at Econpapers || Download paper

2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

Full description at Econpapers || Download paper

2024Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models. (2024). Younas, Zahid I ; Jeleskovic, Vahidin ; Koch, Dennis. In: Papers. RePEc:arx:papers:2401.03393.

Full description at Econpapers || Download paper

2024Quantum Probability Theoretic Asset Return Modeling: A Novel Schr\odinger-Like Trading Equation and Multimodal Distribution. (2024). Lin, LI. In: Papers. RePEc:arx:papers:2401.05823.

Full description at Econpapers || Download paper

2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

Full description at Econpapers || Download paper

2024Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review. (2024). Han, Xusi ; Zhu, Xuejun ; Guo, Steve ; Li, Shuang ; Fu, Rao ; Ericson, Lars. In: Papers. RePEc:arx:papers:2401.10370.

Full description at Econpapers || Download paper

2024Reference-dependent asset pricing with a stochastic consumption-dividend ratio. (2024). Yang, Yuting ; He, Xuedong ; Strub, Moris Simon ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:2401.12856.

Full description at Econpapers || Download paper

2024Structural Periodic Vector Autoregressions. (2024). Dzikowski, Daniel ; Jentsch, Carsten. In: Papers. RePEc:arx:papers:2401.14545.

Full description at Econpapers || Download paper

2024Predicting the volatility of major energy commodity prices: the dynamic persistence model. (2024). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2402.01354.

Full description at Econpapers || Download paper

2024Signature volatility models: pricing and hedging with Fourier. (2024). , Louis-Amand ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2402.01820.

Full description at Econpapers || Download paper

2024From GARCH to Neural Network for Volatility Forecast. (2024). Hung, Wilfred Siu ; Zhao, Pengfei ; Zhu, Haoren ; Lee, Dik Lun. In: Papers. RePEc:arx:papers:2402.06642.

Full description at Econpapers || Download paper

2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134.

Full description at Econpapers || Download paper

2024Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan. In: Papers. RePEc:arx:papers:2402.07435.

Full description at Econpapers || Download paper

2024Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985.

Full description at Econpapers || Download paper

2024Quantifying neural network uncertainty under volatility clustering. (2024). , Steven ; Azizi, Lamiae. In: Papers. RePEc:arx:papers:2402.14476.

Full description at Econpapers || Download paper

2025On short-time behavior of implied volatility in a market model with indexes. (2025). Nguyen, Thai ; Chau, Huy N. In: Papers. RePEc:arx:papers:2402.16509.

Full description at Econpapers || Download paper

2024Impact of COVID-19 on Exchange rate volatility of Bangladesh: Evidence through GARCH model. (2024). Karim, Rizwanul. In: Papers. RePEc:arx:papers:2403.02560.

Full description at Econpapers || Download paper

2024Convolution-t Distributions. (2024). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2404.00864.

Full description at Econpapers || Download paper

2024The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Yun-Shi. In: Papers. RePEc:arx:papers:2404.01641.

Full description at Econpapers || Download paper

2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

Full description at Econpapers || Download paper

2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

Full description at Econpapers || Download paper

2024Maximally Forward-Looking Core Inflation. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian ; Klieber, Karin ; Barrette, Christophe. In: Papers. RePEc:arx:papers:2404.05209.

Full description at Econpapers || Download paper

2025RiskLabs: Predicting Financial Risk Using Large Language Model Based on Multi-Sources Data. (2024). Chen, Zhi ; Cao, Yupeng ; Pei, Qingyun ; Kumar, Prashant ; Ndiaye, Papa Momar ; Ausiello, Lorenzo ; Subbalakshmi, K P ; Dimino, Fabrizio. In: Papers. RePEc:arx:papers:2404.07452.

Full description at Econpapers || Download paper

2024Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon. (2024). He, Yifan ; Rachev, Svetlozar ; Fabozzi, Frank ; Shao, Barret ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2404.11722.

Full description at Econpapers || Download paper

2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087.

Full description at Econpapers || Download paper

2024Modelling and Forecasting Energy Market Volatility Using GARCH and Machine Learning Approach. (2024). Chung, Seulki. In: Papers. RePEc:arx:papers:2405.19849.

Full description at Econpapers || Download paper

2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

Full description at Econpapers || Download paper

2024Probabilistic models and statistics for electronic financial markets in the digital age. (2024). Bibinger, Markus. In: Papers. RePEc:arx:papers:2406.07388.

Full description at Econpapers || Download paper

2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041.

Full description at Econpapers || Download paper

2024Financial Assets Dependency Prediction Utilizing Spatiotemporal Patterns. (2024). Hung, Wilfred Siu ; Zhao, Pengfei ; Zhu, Haoren ; Lee, Dik Lun. In: Papers. RePEc:arx:papers:2406.11886.

Full description at Econpapers || Download paper

2024Regularizing stock return covariance matrices via multiple testing of correlations. (2024). Luger, Richard. In: Papers. RePEc:arx:papers:2407.09696.

Full description at Econpapers || Download paper

2024A nonparametric test for rough volatility. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2407.10659.

Full description at Econpapers || Download paper

2024Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches. (2024). Desheng, Wu Dash ; Ahmad, Touqeer ; Ur, Shafique ; Karamoozian, Amirhossein. In: Papers. RePEc:arx:papers:2407.15766.

Full description at Econpapers || Download paper

2024The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models. (2024). Ślepaczuk, Robert ; Roszyk, Natalia. In: Papers. RePEc:arx:papers:2407.16780.

Full description at Econpapers || Download paper

2024Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Papers. RePEc:arx:papers:2408.02391.

Full description at Econpapers || Download paper

2024An unbounded intensity model for point processes. (2024). Christensen, Kim ; Kolokolov, Alexei. In: Papers. RePEc:arx:papers:2408.06519.

Full description at Econpapers || Download paper

2024Predicting the distributions of stock returns around the globe in the era of big data and learning. (2024). Baruník, Jozef ; Tobek, Ondrej ; Hronec, Martin. In: Papers. RePEc:arx:papers:2408.07497.

Full description at Econpapers || Download paper

2024Method of Moments Estimation for Affine Stochastic Volatility Models. (2024). Wu, Yan-Feng ; Yang, Xiangyu ; Hu, Jian-Qiang. In: Papers. RePEc:arx:papers:2408.09185.

Full description at Econpapers || Download paper

2025Cross-sectional Dependence in Idiosyncratic Volatility. (2024). Tewou, Kokouvi ; Kalnina, Ilze. In: Papers. RePEc:arx:papers:2408.13437.

Full description at Econpapers || Download paper

2024Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588.

Full description at Econpapers || Download paper

2024Model-based and empirical analyses of stochastic fluctuations in economy and finance. (2024). Zadourian, Rubina. In: Papers. RePEc:arx:papers:2408.16010.

Full description at Econpapers || Download paper

2024A Multi-agent Market Model Can Explain the Impact of AI Traders in Financial Markets -- A New Microfoundations of GARCH model. (2024). Mizuta, Takanobu ; Minami, Kentaro ; Hirano, Masanori ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2409.12516.

Full description at Econpapers || Download paper

2024Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516.

Full description at Econpapers || Download paper

2024The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

Full description at Econpapers || Download paper

2024Consistent Estimation of the High-Dimensional Efficient Frontier. (2024). Parolya, Nestor ; Hautsch, Nikolaus ; Okhrin, Yarema ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2409.15103.

Full description at Econpapers || Download paper

2024Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days. (2024). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2409.15320.

Full description at Econpapers || Download paper

2024Tail Risk Analysis for Financial Time Series. (2024). Zhou, Chen ; Kiriliouk, Anna. In: Papers. RePEc:arx:papers:2409.18643.

Full description at Econpapers || Download paper

2024A new GARCH model with a deterministic time-varying intercept. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Back, Alexander ; Ahlgren, Niklas. In: Papers. RePEc:arx:papers:2410.03239.

Full description at Econpapers || Download paper

2024How to Compare Copula Forecasts?. (2024). Hoga, Yannick ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2410.04165.

Full description at Econpapers || Download paper

2024Evaluating Financial Relational Graphs: Interpretation Before Prediction. (2024). Potì, Valerio ; Dong, Ruihai ; Poti, Valerio ; Dolphin, Rian ; Lu, Lanxin ; Niu, Yingjie. In: Papers. RePEc:arx:papers:2410.07216.

Full description at Econpapers || Download paper

2024A GARCH model with two volatility components and two driving factors. (2024). Ballestra, Luca Vincenzo ; Tezza, Christian ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2410.14585.

Full description at Econpapers || Download paper

2024A Dynamic Spatiotemporal and Network ARCH Model with Common Factors. (2024). Otto, Philipp ; Mattera, Raffaele ; Dougan, Osman ; Tacspinar, Suleyman. In: Papers. RePEc:arx:papers:2410.16526.

Full description at Econpapers || Download paper

2024Generation of synthetic financial time series by diffusion models. (2024). Mizuno, Takayuki ; Takahashi, Tomonori. In: Papers. RePEc:arx:papers:2410.18897.

Full description at Econpapers || Download paper

2024Log Heston Model for Monthly Average VIX. (2024). Sarantsev, Andrey ; Park, Ji Hyun. In: Papers. RePEc:arx:papers:2410.22471.

Full description at Econpapers || Download paper

2025The VIX as Stochastic Volatility for Corporate Bonds. (2025). Park, Ji Hyun ; Sarantsev, Andrey. In: Papers. RePEc:arx:papers:2410.22498.

Full description at Econpapers || Download paper

2025Graph Signal Processing for Global Stock Market Realized Volatility Forecasting. (2025). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2410.22706.

Full description at Econpapers || Download paper

2025Moments by Integrating the Moment-Generating Function. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2410.23587.

Full description at Econpapers || Download paper

2024Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets. (2024). Jha, Ayush ; Shirvani, Abootaleb ; Fabozzi, Frank J ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:2411.02804.

Full description at Econpapers || Download paper

2024Bounded Rationality in Central Bank Communication. (2024). Lee, Choong Lyol ; Kim, Wonseong. In: Papers. RePEc:arx:papers:2411.04286.

Full description at Econpapers || Download paper

2025Liquidity Jump, Liquidity Diffusion, and Crypto Wash Trading. (2025). Zhou, Zhong-Guo ; Deng, QI. In: Papers. RePEc:arx:papers:2411.05803.

Full description at Econpapers || Download paper

2024What events matter for exchange rate volatility ?. (2024). FREITAS LOPES, HEDIBERT ; Ferreira Batista Martins, Igor. In: Papers. RePEc:arx:papers:2411.16244.

Full description at Econpapers || Download paper

2024Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli. In: Papers. RePEc:arx:papers:2411.17136.

Full description at Econpapers || Download paper

2024Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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]		paper124
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 nother version. Agregated cites: 124		article
2007Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks In: CREATES Research Papers.
[Full Text][Citation analysis]		paper79
2010Jumps and betas: A new framework for disentangling and estimating systematic risks.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 79		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]		paper224
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 nother version. Agregated cites: 224		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 nother version. Agregated cites: 224		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 nother version. Agregated cites: 224		article
2007Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper820
2008Expected Stock Returns and Variance Risk Premia.(2008) In: CREATES Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 820		paper
2006Expected stock returns and variance risk premia.(2006) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 820		paper
2009Expected Stock Returns and Variance Risk Premia.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 820		article
2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper942
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 nother version. Agregated cites: 942		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 nother version. Agregated cites: 942		article
2007Risk, Jumps, and Diversification In: CREATES Research Papers.
[Full Text][Citation analysis]		paper130
2008Risk, jumps, and diversification.(2008) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 130		article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper578
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 nother version. Agregated cites: 578		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 nother version. Agregated cites: 578		paper
2007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper120
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 nother version. Agregated cites: 120		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 nother version. Agregated cites: 120		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]		paper119
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 nother version. Agregated cites: 119		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 nother version. Agregated cites: 119		article
2008Glossary to ARCH (GARCH) In: CREATES Research Papers.
[Full Text][Citation analysis]		paper70
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies In: CREATES Research Papers.
[Full Text][Citation analysis]		paper27
2010Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2011Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2011) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		article
2009Tails, Fears and Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper315
2011Tails, Fears, and Risk Premia.(2011) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 315		article
2010Tails, Fears and Risk Premia.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 315		paper
2010Estimation of Jump Tails In: CREATES Research Papers.
[Full Text][Citation analysis]		paper41
2010Estimation of Jump Tails.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2011Estimation of Jump Tails.(2011) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		article
2010Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper65
2013Jump tails, extreme dependencies, and the distribution of stock returns.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		article
2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
[Full Text][Citation analysis]		paper49
2013Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		chapter
2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		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]		paper24
2015Stock return and cash flow predictability: The role of volatility risk.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		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]		paper161
2015Tail risk premia and return predictability.(2015) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 161		article
2015Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper31
2013Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		paper
2016Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		article
2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
[Full Text][Citation analysis]		paper203
2016Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 203		article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper61
2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		article
2016Volume, Volatility and Public News Announcements In: CREATES Research Papers.
[Full Text][Citation analysis]		paper48
2018Volume, Volatility, and Public News Announcements.(2018) In: The Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 48		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
2024Optimal Inference for Spot Regressions In: American Economic Review.
[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]		article867
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 867		paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 867		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 nother version. Agregated cites: 867		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 nother version. Agregated cites: 867		paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
[Full Text][Citation analysis]		article92
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 92		paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 92		paper
2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 92		paper
2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article1130
1995Dan Nelson Remembered. In: Journal of Business & Economic Statistics.
[Citation analysis]		article3
1996Periodic Autoregressive Conditional Heteroscedasticity. In: Journal of Business & Economic Statistics.
[Citation analysis]		article205
1994Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 205		paper
1994Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 205		paper
1999Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies. In: Journal of Business & Economic Statistics.
[Citation analysis]		article102
2002The Message in Daily Exchange Rates: A Conditional-Variance Tale. In: Journal of Business & Economic Statistics.
[Citation analysis]		article399
1989The Message in Daily Exchange Rates: A Conditional-Variance Tale..(1989) In: Journal of Business & Economic Statistics.
[Citation analysis]
This paper has nother version. Agregated cites: 399		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]		article37
1993 Trading Patterns and Prices in the Interbank Foreign Exchange Market. In: Journal of Finance.
[Full Text][Citation analysis]		article199
1994 Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. In: Journal of Finance.
[Full Text][Citation analysis]		article194
1993Cointegration, Fractional Cointegration, and Exchange RAte Dynamics..(1993) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 194		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]		article385
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 nother version. Agregated cites: 385		paper
2001Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns In: Journal of Finance.
[Full Text][Citation analysis]		article34
1988ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article74
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]		article6
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]		paper114
2004ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 114		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 nother 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 nother 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]		paper162
2018Risk Everywhere: Modeling and Managing Volatility.(2018) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 162		article
2014Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article170
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 nother version. Agregated cites: 170		paper
2020Good Volatility, Bad Volatility, and the Cross Section of Stock Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article50
2002Modeling and Forecasting Realized Volatility In: Working Papers.
[Full Text][Citation analysis]		paper2034
2003Modeling and Forecasting Realized Volatility.(2003) In: Econometrica.
[Citation analysis]
This paper has nother version. Agregated cites: 2034		article
2001Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2034		paper
2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2034		paper
1993Common Persistence in Conditional Variances. In: Econometrica.
[Full Text][Citation analysis]		article121
2005Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica.
[Full Text][Citation analysis]		article177
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]		chapter106
2006Volatility and Correlation Forecasting In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter276
2022Equity clusters through the lens of realized semicorrelations In: Economics Letters.
[Full Text][Citation analysis]		article0
2001Financial econometrics: Past developments and future challenges In: Journal of Econometrics.
[Full Text][Citation analysis]		article19
2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article177
2001Estimating stochastic volatility diffusion using conditional moments of integrated volatility.(2001) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 177		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]		article131
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]		article177
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 nother version. Agregated cites: 177		paper
2011Realized volatility forecasting and market microstructure noise In: Journal of Econometrics.
[Full Text][Citation analysis]		article118
2014Time-varying jump tails In: Journal of Econometrics.
[Full Text][Citation analysis]		article32
2019High-dimensional multivariate realized volatility estimation In: Journal of Econometrics.
[Full Text][Citation analysis]		article11
2020Multivariate leverage effects and realized semicovariance GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
2022Occupation density estimation for noisy high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2022From zero to hero: Realized partial (co)variances In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2023Reprint of: Generalized Autoregressive Conditional Heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2024Optimal nonparametric range-based volatility estimation In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
1986Generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article8569
1986Generalized autoregressive conditional heteroskedasticity.(1986) In: EERI Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8569		paper
1992ARCH modeling in finance : A review of the theory and empirical evidence In: Journal of Econometrics.
[Full Text][Citation analysis]		article1630
1992Prediction in dynamic models with time-dependent conditional variances In: Journal of Econometrics.
[Full Text][Citation analysis]		article98
1990PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES..(1990) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 98		paper
1996Modeling and pricing long memory in stock market volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article707
1996Fractionally integrated generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article1142
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]		article81
2003Measuring and modeling systematic risk in factor pricing models using high-frequency data In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article52
1997Intraday periodicity and volatility persistence in financial markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article615
1999Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article166
1994Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis In: Journal of International Economics.
[Full Text][Citation analysis]		article124
2000Intraday and interday volatility in the Japanese stock market In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article105
2013Risk and return: Long-run relations, fractional cointegration, and return predictability In: Journal of Financial Economics.
[Full Text][Citation analysis]		article89
2016Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article49
2022Realized semibetas: Disentangling “good” and “bad” downside risks In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1
2023The jump leverage risk premium In: Journal of Financial Economics.
[Full Text][Citation analysis]		article5
2001The distribution of realized stock return volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1087
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 nother 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 nother 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 nother 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]		article206
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]		article122
2006Realized Beta: Persistence and Predictability In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter21
2004Realized Beta: Persistence and Predictability.(2004) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2004Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
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]		paper64
2001High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting.(2001) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 64		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]		paper172
1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates.(1991) In: The Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 172		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]		paper86
1999The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 86		paper
1999The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 86		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]		paper111
2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: Multinational Finance Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 111		article
2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 111		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 nother version. Agregated cites: 111		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]		paper55
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]		article1742
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]		article63
1988Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances In: Working papers.
[Citation analysis]		paper108
2007Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters.
[Full Text][Citation analysis]		chapter42
2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		paper
2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		paper
2005Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		paper
2002Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers.
[Full Text][Citation analysis]		paper71
2002Parametric and Nonparametric Volatility Measurement.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 71		paper
2005Volatility Forecasting In: NBER Working Papers.
[Full Text][Citation analysis]		paper49
2005Volatility Forecasting.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
2005Volatility forecasting.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper107
2004Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 107		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 nother version. Agregated cites: 107		paper
1992Financial Market Efficiency Tests In: NBER Working Papers.
[Full Text][Citation analysis]		paper35
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]		paper5
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 nother version. Agregated cites: 39		paper
2022Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article5
2006Leverage and Volatility Feedback Effects in High-Frequency Data In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article237
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]		paper42
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 nother version. Agregated cites: 42		paper
2021Generalized Jump Regressions for Local Moments In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article1034
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]		article1862
1988A Capital Asset Pricing Model with Time-Varying Covariances. In: Journal of Political Economy.
[Full Text][Citation analysis]		article1469
2020Realized Semicovariances In: Econometrica.
[Full Text][Citation analysis]		article21
2021Fixed‐k inference for volatility In: Quantitative Economics.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team