Access Statistics for Tim Bollerslev

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 2 8 30 829 5 15 60 1,372
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 1 10 71 77 7 35 151 151
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 2 5 20 150 4 10 56 311
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 2 5 11 158 3 15 39 333
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 5 21 141 3 10 49 265
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 5 7 38 44 10 23 100 100
ARCH Models 17 53 164 2,325 35 140 454 3,782
Analytic Evaluation of Volatility Forecasts 3 15 44 716 11 36 118 1,546
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 10 31 83 1,311 19 62 195 2,752
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 3 15 453
Bear Squeezes in the Hyperinflation 1920s Foreign Exchange 0 0 0 0 1 7 15 228
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics 0 0 0 1 4 12 51 758
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 1 1 28 32 8 11 65 67
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 7 31 138 138 15 55 219 219
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 1 2 16 380 4 11 47 768
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 1 4 17 100 3 10 50 350
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 4 5 17 145 8 10 45 331
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 3 12 51 402 9 33 134 1,349
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities 5 17 82 89 8 24 116 118
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 1 2 31 351 5 11 72 785
Estimating stochastic volatility diffusion using conditional moments of integrated volatility 2 8 48 405 8 22 98 893
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 2 5 15 232 4 13 61 720
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 1 8 20 271 2 12 39 641
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 5 8 22 392 12 18 73 1,273
Expected Stock Returns and Variance Risk Premia 0 4 49 54 3 15 131 132
Expected Stock Returns and Variance Risk Premia 1 3 86 86 10 23 128 128
Expected stock returns and variance risk premia 6 13 65 251 11 29 227 584
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES 0 0 0 0 1 4 15 310
Financial Market Efficiency Tests 17 55 139 1,300 33 115 308 2,736
Glossary to ARCH (GARCH) 18 58 267 267 34 107 266 266
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 3 10 46 425 9 22 99 1,182
High frequency data, frequency domain inference and volatility forecasting 6 14 28 440 11 31 74 838
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES 0 0 0 4 9 29 86 645
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks 3 6 49 60 5 13 77 79
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 4 6 22 208 10 20 87 569
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 2 9 9 4 14 41 41
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 2 3 26 277 11 32 111 1,033
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 2 4 22 263 5 12 58 635
Modeling and Forecasting Realized Volatility 4 15 46 620 13 38 124 1,185
Modeling and Forecasting Realized Volatility 4 11 43 1,074 10 34 132 2,312
Modeling and Forecasting Realized Volatility 1 6 31 869 5 18 80 1,675
No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications 1 6 30 113 5 16 75 240
On Periodic Autogressive Conditional Heteroskedasticity 1 11 34 926 6 20 69 2,685
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES 0 0 0 2 5 16 68 657
Parametric and Nonparametric Volatility Measurement 3 13 55 625 11 51 162 1,310
Parametric and Nonparametric Volatility Measurement 1 3 27 591 2 9 77 1,166
Periodic Autoregressive Conditional Heteroskedasticity 6 13 41 56 7 18 63 242
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 1 10 38 517
Practical Volatility and Correlation Modeling for Financial Market Risk Management 3 9 38 315 5 18 89 522
Practical Volatility and Correlation Modeling for Financial Market Risk Management 1 9 53 335 8 34 135 579
Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances 0 0 0 0 13 35 168 1,392
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 5 8 53 63 14 25 112 115
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 3 20 141 7 27 93 480
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 6 110 5 12 59 336
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 1 2 15 170 8 17 76 448
Real-time price discovery in global stock, bond and foreign exchange markets 5 8 37 124 13 36 107 302
Realized Beta: Persistence and Predictability 6 18 65 276 9 40 118 407
Realized Beta: Persistence and Predictability 1 1 18 142 4 8 50 262
Risk, Jumps, and Diversification 0 2 19 28 1 9 45 47
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 3 7 28 28 6 15 56 58
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 3 11 51 204 6 17 86 359
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 2 4 31 91 7 17 74 209
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 2 10 30 252 9 25 87 583
Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment 8 15 44 519 20 41 133 1,837
The Distribution of Exchange Rate Volatility 0 7 19 484 1 12 41 1,076
The Distribution of Exchange Rate Volatility 1 4 21 277 2 7 49 675
The Distribution of Exchange Rate Volatility 1 4 16 459 7 16 57 1,062
The Distribution of Stock Return Volatility 4 13 42 718 7 31 128 1,751
The Distribution of Stock Return Volatility 6 13 39 824 13 38 129 1,880
The Long Memory of the Foreward Premium 0 0 0 0 2 4 15 303
Volatility Forecasting 7 12 32 433 10 18 68 631
Volatility Forecasting 8 17 77 766 14 43 150 878
Volatility Forecasting 4 9 22 206 8 14 46 282
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 4 11 50 50 10 31 60 60
Volatility puzzles: a unified framework for gauging return-volatility regressions 0 3 26 381 2 11 78 1,440
Total Working Papers 233 698 2,934 24,608 620 1,895 7,227 58,706
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Capital Asset Pricing Model with Time-Varying Covariances 38 94 225 1,624 59 163 449 3,992
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 7 33 78 1,130 18 56 146 2,603
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 9 48 2 3 28 153
A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom 0 0 0 0 0 1 5 105
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 3 10 91 296 5 14 154 560
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 1 12 47 231 9 32 106 608
ARCH modeling in finance: A review of the theory and empirical evidence 58 187 737 3,438 94 299 1,226 5,596
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 20 67 207 2,243
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 3 12 0 3 12 80
Bid--ask spreads and volatility in the foreign exchange market: An empirical analysis 7 32 128 315 12 59 286 683
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model 1 5 27 303 1 12 54 681
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 6 22 65 201 9 32 114 398
Comment 0 0 5 7 0 1 29 68
Common Persistence in Conditional Variances 3 9 29 293 5 16 59 639
Common Stochastic Trends in a System of Exchange Rates 2 13 43 115 6 24 77 264
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 3 4 30 139 4 10 78 392
Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65] 0 0 7 32 2 2 10 105
Dan Nelson Remembered 0 0 0 0 0 4 31 386
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 9 19 71 159 15 39 166 824
Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies 0 0 0 0 7 23 115 815
Estimating stochastic volatility diffusion using conditional moments of integrated volatility 2 6 23 136 4 9 47 355
Financial econometrics: Past developments and future challenges 3 12 38 181 5 16 51 263
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 3 18 75 255 6 29 216 629
Fractionally integrated generalized autoregressive conditional heteroskedasticity 8 32 116 715 19 60 212 1,471
Generalized autoregressive conditional heteroskedasticity 135 456 1,395 3,057 210 704 2,181 4,757
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 5 13 35 92 5 16 67 219
High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting 2 4 5 156 2 6 22 468
Intra-day and Inter-market Volatility in Foreign Exchange Rates 4 11 72 282 8 27 167 705
Intraday and interday volatility in the Japanese stock market 3 8 28 127 6 30 105 507
Intraday periodicity and volatility persistence in financial markets 12 35 164 683 27 60 236 1,127
Investor Attention and Time-varying Comovements 0 2 2 2 0 2 2 2
Les modéles ARCH en finance: un point sur la théorie et les résultats empiriques 1 2 2 2 2 3 3 3
Leverage and Volatility Feedback Effects in High-Frequency Data 0 4 28 76 2 10 58 152
Long-term equity anticipation securities and stock market volatility dynamics 0 6 25 118 3 14 94 399
Measuring and modeling systematic risk in factor pricing models using high-frequency data 6 15 37 206 6 22 72 501
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 5 15 39 287 10 37 113 853
Modeling and Forecasting Realized Volatility 3 20 71 711 15 46 175 1,859
Modeling and pricing long memory in stock market volatility 7 19 78 466 10 33 129 781
Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model 14 49 193 943 28 92 338 1,820
Modelling the persistence of conditional variances 19 99 256 381 25 154 413 605
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications 1 4 7 37 1 6 17 86
Order flow and the bid-ask spread: An empirical probability model of screen-based trading 3 7 23 110 7 17 51 260
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 7 21 59 748
Prediction in dynamic models with time-dependent conditional variances 4 15 71 338 9 24 99 469
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 21 68 271 480 34 112 398 692
Real-time price discovery in global stock, bond and foreign exchange markets 5 10 34 52 9 24 95 129
Reply 0 1 2 2 0 3 19 30
Risk, jumps, and diversification 0 6 25 25 2 14 65 65
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 7 15 58 93 12 32 122 210
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data 1 5 14 55 1 8 24 108
The Distribution of Realized Exchange Rate Volatility 1 2 26 60 1 8 53 130
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 5 17 58 720
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 10 27 112 537
The distribution of realized stock return volatility 6 15 65 350 12 31 126 679
The forward premium anomaly is not as bad as you think 4 10 75 337 7 22 120 670
The long memory of the forward premium 2 8 34 186 6 19 87 361
Trading Patterns and Prices in the Interbank Foreign Exchange Market 3 9 46 151 11 27 113 387
Volatility puzzles: a simple framework for gauging return-volatility regressions 2 12 23 72 6 29 98 368
Total Journal Articles 430 1,453 5,051 19,570 801 2,671 9,769 45,320

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Arch models 10 33 147 634 25 74 321 1,288
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 0 1 1 1 1
Volatility and Correlation Forecasting 8 24 90 145 18 61 234 373
Total Chapters 18 57 237 779 44 136 556 1,662

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Statistics updated 2009-07-03