Tim Bollerslev : Citation Profile

Are you Tim Bollerslev?

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

63

H index

91

i10 index

33570

Citations

RESEARCH PRODUCTION:

84

Articles

100

Papers

4

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   35 years (1985 - 2020). See details.
   Cites by year: 959
   Journals where Tim Bollerslev has often published
   Relations with other researchers
   Recent citing documents: 1605.    Total self citations: 114 (0.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo66
   Updated: 2024-12-03    RAS profile: 2020-09-05    
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Relations with other researchers

Works with:

Patton, Andrew (2)

Quaedvlieg, Rogier (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 (338)

GUPTA, RANGAN (324)

Chang, Chia-Lin (304)

Asai, Manabu (230)

Caporin, Massimiliano (208)

Shephard, Neil (190)

Laurent, Sébastien (169)

Medeiros, Marcelo (160)

Diebold, Francis (149)

Baruník, Jozef (140)

Gallo, Giampiero (137)

Cites to:

Andersen, Torben (261)

Diebold, Francis (239)

Engle, Robert (179)

Shephard, Neil (118)

Campbell, John (92)

Tauchen, George (84)

Schwert, G. (79)

Hansen, Peter (63)

Lunde, Asger (58)

Baillie, Richard (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 Finance4
Journal of International Money and Finance4
Journal of Financial Economics4
The Review of Economics and Statistics4
Econometrica4
Journal of Empirical Finance3
American Economic Review2
Journal of Applied Econometrics2
Proceedings2
Journal of International Economics2
Journal of Financial and Quantitative Analysis2
The Review of Financial Studies2
The Review of Economic Studies2
International 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 (2024 and 2023)

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.

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2023The effect of overconfidence behaviour on stock market volatility in Belgium. (2023). Fossou, Ebi Georges ; Emmanuel, Koffi Mouroufie ; Oyibo, Paul Vivien ; Anzian, Kouame Marcel. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(636):y:2023:i:3(636):p:131-146.

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2023.

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

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2023THE EFFECT OF MARKET SHOCKS ON THE VOLATILITY OF CORN PRICE. (2023). Tenkorang, Frank ; Bridges, Deborah ; Nies, Greg. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:bridgesd.

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

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

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

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

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2024Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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

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2024A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2024To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2024Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

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

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

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2024Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

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

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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.

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

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2024Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

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

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2024Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

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2024Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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

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2024Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2024Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2204.07506.

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

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2023Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896.

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2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024Application 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.

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2023Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952.

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2024Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024Option pricing in Volterra sandwiched volatility model. (2022). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.10688.

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2024DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions. (2022). Zohren, Stefan ; Moreno-Pino, Fernando. In: Papers. RePEc:arx:papers:2210.04797.

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2023$1/f$ noise from the sequence of non-overlapping rectangular pulses. (2022). Kaulakys, Bronislovas ; Kononovicius, Aleksejus. In: Papers. RePEc:arx:papers:2210.11792.

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2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121.

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2023Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2023Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833.

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2023Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

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2023Bitcoin Does Not Hedge Inflation. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.10117.

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2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2023Risk Budgeting Portfolios from Simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Bernardo Freitas. In: Papers. RePEc:arx:papers:2302.01196.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023Forecasting the Turkish Lira Exchange Rates through Univariate Techniques: Can the Simple Models Outperform the Sophisticated Ones?. (2023). Sarkandiz, Mostafa R. In: Papers. RePEc:arx:papers:2302.08897.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2023Detecting Rough Volatility: A Filtering Approach. (2023). Frey, Rudiger ; Damian, Camilla. In: Papers. RePEc:arx:papers:2302.12612.

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2023Stock Broad-Index Trend Patterns Learning via Domain Knowledge Informed Generative Network. (2023). Wang, Guiling ; Deek, Fadi P ; Gu, Jingyi. In: Papers. RePEc:arx:papers:2302.14164.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2024An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition. (2023). Werge, Nicklas ; de Vilmarest, Joseph. In: Papers. RePEc:arx:papers:2303.01855.

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2023The Financial Market of Indices of Socioeconomic Wellbeing. (2023). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini V. In: Papers. RePEc:arx:papers:2303.05654.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406.

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2023Dark Matter in (Volatility and) Equity Option Risk Premiums. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip. In: Papers. RePEc:arx:papers:2303.16371.

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2023Futures Quantitative Investment with Heterogeneous Continual Graph Neural Network. (2023). Liu, Bin ; Wei, LU ; Wang, Yixuan ; Hu, Min ; Tan, Zhizhong. In: Papers. RePEc:arx:papers:2303.16532.

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2024Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow. (2023). Lenskiy, Artem ; Hao, Mingyu. In: Papers. RePEc:arx:papers:2304.02472.

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2023Adaptive Students t-distribution with method of moments moving estimator for nonstationary time series. (2023). Duda, Jarek. In: Papers. RePEc:arx:papers:2304.03069.

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2023Adjust factor with volatility model using MAXFLAT low-pass filter and construct portfolio in China A share market. (2023). Zhang, KE. In: Papers. RePEc:arx:papers:2304.04676.

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2023Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950.

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2023Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2304.11883.

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2023The Unified Framework for Modelling Credit Cycles with Marshall-Walras Price Formation Process And Systemic Risk Assessment. (2023). Szwabi, Janusz ; Fortuna, Kamil. In: Papers. RePEc:arx:papers:2305.06337.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Copula Variational LSTM for High-dimensional Cross-market Multivariate Dependence Modeling. (2023). Cao, Longbing ; Xu, Jia. In: Papers. RePEc:arx:papers:2305.08778.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484.

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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067.

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2023Discrete $q$-exponential limit order cancellation time distribution. (2023). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2306.00093.

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2023Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169.

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2023Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data. (2023). Suominen, Hanna ; Lensky, Artem ; Isai, Leigh ; Lalbakhsh, Pooia ; Ge, Wenbo. In: Papers. RePEc:arx:papers:2306.12446.

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2024Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2023A Classical Model of Speculative Asset Price Dynamics. (2023). Smith, Vernon ; Inoua, Sabiou. In: Papers. RePEc:arx:papers:2307.00410.

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2023Systemic risk indicator based on implied and realized volatility. (2023). Ślepaczuk, Robert ; Sieradzki, Rafal ; Sakowski, Pawel. In: Papers. RePEc:arx:papers:2307.05719.

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2023The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis. (2023). Ampountolas, Apostolos. In: Papers. RePEc:arx:papers:2307.09137.

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2023Fast and Furious: A High-Frequency Analysis of Robinhood Users Trading Behavior. (2023). Cenesizoglu, Tolga ; Aymard, Cl'Ement ; Ardia, David. In: Papers. RePEc:arx:papers:2307.11012.

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2023VolTS: A Volatility-based Trading System to forecast Stock Markets Trend using Statistics and Machine Learning. (2023). Letteri, Ivan. In: Papers. RePEc:arx:papers:2307.13422.

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2023The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Kontoyiannis, Ioannis ; Papageorgiou, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

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2023Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419.

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2024Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns. (2023). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

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2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

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2024GARHCX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables. (2023). Karmakar, Sayar ; Wu, Kejin. In: Papers. RePEc:arx:papers:2308.13346.

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2023The Financial Market of Environmental Indices. (2023). Fabozzi, Frank J ; Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thisari K. In: Papers. RePEc:arx:papers:2308.15661.

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2023From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033.

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2023Introducing the $\sigma$-Cell: Unifying GARCH, Stochastic Fluctuations and Evolving Mechanisms in RNN-based Volatility Forecasting. (2023). Antulov-Fantulin, Nino ; Rodikov, German. In: Papers. RePEc:arx:papers:2309.01565.

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2024DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling. (2023). Kohn, Robert ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Liu, Chen. In: Papers. RePEc:arx:papers:2309.02072.

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2023Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968.

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2023News-driven Expectations and Volatility Clustering. (2023). Inoua, Sabiou. In: Papers. RePEc:arx:papers:2309.04876.

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2023Real-time VaR Calculations for Crypto Derivatives in kdb+/q. (2023). Kerr, Laura ; Hales, Conan ; Bilokon, Paul ; Chen, Yutong. In: Papers. RePEc:arx:papers:2309.06393.

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2023Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705.

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

Tim Bollerslev has edited the books:

YearTitleTypeCited

Works by Tim Bollerslev:

YearTitleTypeCited
2007A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures In: CREATES Research Papers.
[Full Text][Citation analysis]		paper116
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: 116		article
2007Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks In: CREATES Research Papers.
[Full Text][Citation analysis]		paper74
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: 74		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]		paper216
2011Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2011) In: Journal of Econometrics.
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