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 0 0 2 973 1 1 7 1,818
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 0 0 0 223 0 2 3 564
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 0 0 0 132 0 0 2 431
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 1 1 5 486
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 0 1 3 577
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 0 155 0 0 0 570
A framework for exploring the macroeconomic determinants of systematic risk 0 1 1 184 0 1 3 530
Analytic Evaluation of Volatility Forecasts 0 0 0 815 0 0 3 1,881
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 1 1 1,579 1 2 8 3,577
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 0 0 541
Bear Squeezes in the Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 0 0 276
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 0 0 0 2 2 6
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 0 6 0 0 1 76
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 119 0 0 1 445
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics 0 0 0 1 0 0 1 908
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 0 0 1 297
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 1 2 5 928
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 421 0 0 1 951
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 171 0 0 1 491
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 0 552 0 2 3 1,946
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions 0 0 0 68 0 1 1 168
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions 0 0 0 84 0 1 2 104
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities 0 0 0 218 0 0 2 512
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 0 0 0 439 0 0 0 1,045
Estimating stochastic volatility diffusion using conditional moments of integrated volatility 0 0 0 508 0 0 2 1,163
Estimation of Jump Tails 0 0 0 23 0 0 2 133
Estimation of Jump Tails 0 0 0 116 0 0 3 232
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 0 0 1 1,114
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 2 495 0 0 4 1,604
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 0 0 0 840
Expected Stock Returns and Variance Risk Premia 0 0 0 354 1 1 1 861
Expected Stock Returns and Variance Risk Premia 0 0 1 110 0 0 3 433
Expected stock returns and variance risk premia 0 0 1 404 0 1 5 1,112
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 2 3 6 313 3 5 15 715
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES 0 0 0 0 0 0 0 389
Financial Market Efficiency Tests 0 0 0 1,833 0 1 5 4,343
Financial Risk Measurement for Financial Risk Management 0 0 1 207 0 1 4 585
Financial Risk Measurement for Financial Risk Management 0 1 3 181 1 3 12 542
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 0 8 552
Generalized autoregressive conditional heteroskedasticity 4 13 34 770 16 44 144 2,160
Glossary to ARCH (GARCH) 2 2 5 910 3 6 22 1,817
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 1 1 549 0 1 3 1,666
High frequency data, frequency domain inference and volatility forecasting 0 0 0 544 0 0 2 1,198
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES 0 0 0 4 0 0 2 1,001
Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns 0 0 0 199 0 0 3 324
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks 0 0 0 110 0 0 1 293
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 478 0 0 5 2,262
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 2 289 0 1 4 1,036
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 0 0 1 510
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 1 2 356 1 2 6 1,266
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 0 1 1 428 0 2 5 135
Modeling and Forecasting Realized Volatility 1 1 2 792 1 1 4 1,895
Modeling and Forecasting Realized Volatility 0 0 3 1,261 3 5 24 2,995
Modeling and Forecasting Realized Volatility 1 1 3 994 2 6 12 2,177
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 0 0 0 233 1 1 2 684
On Periodic Autogressive Conditional Heteroskedasticity 0 0 0 990 0 0 1 2,904
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES 0 0 0 2 0 0 1 883
Parametric and Nonparametric Volatility Measurement 0 0 4 830 0 0 6 2,110
Parametric and Nonparametric Volatility Measurement 0 0 0 692 0 0 5 1,605
Periodic Autoregressive Conditional Heteroskedasticity 0 0 1 193 0 0 2 551
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 0 2 3 689
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 421 0 0 6 898
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 0 3 1,190
Practical volatility and correlation modeling for financial market risk management 0 2 2 397 0 3 5 854
Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances 0 0 0 0 0 3 15 1,981
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 0 0 3 508
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 0 2 5 675
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 0 0 1 801
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 2 278 1 1 6 1,003
Real-time price discovery in stock, bond and foreign exchange markets 0 1 1 144 1 2 3 559
Realized Beta: Persistence and Predictability 0 0 1 516 0 3 7 919
Realized beta: Persistence and predictability 1 2 3 221 1 3 8 639
Risk Everywhere: Modeling and Managing Volatility 0 1 3 80 1 4 15 174
Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability 0 0 0 179 1 1 2 485
Risk, Jumps, and Diversification 0 0 0 107 0 0 1 267
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 2 2 4 169 2 2 16 560
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 1 2 2 356 2 3 9 989
Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns 0 0 1 53 0 0 5 168
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 0 354 0 0 3 1,022
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 1 163 0 1 4 531
Stock Return and Cash Flow Predictability: The Role of Volatility Risk 0 0 0 103 1 1 1 208
Stock return predictability and variance risk premia: statistical inference and international evidence 0 0 1 129 0 1 5 301
Tail Risk Premia and Return Predictability 1 3 4 77 1 4 9 304
Tails, Fears and Risk Premia 0 0 0 190 0 0 1 447
Tails, Fears and Risk Premia 0 0 1 55 0 0 2 249
Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment 0 0 0 648 0 0 0 2,307
The Distribution of Exchange Rate Volatility 0 0 1 323 0 4 6 864
The Distribution of Exchange Rate Volatility 0 1 1 552 0 1 6 1,445
The Distribution of Exchange Rate Volatility 0 1 2 531 0 1 3 1,315
The Distribution of Stock Return Volatility 0 0 0 839 1 2 4 2,238
The Distribution of Stock Return Volatility 0 0 0 906 1 1 6 2,401
The Long Memory of the Foreward Premium 0 0 0 0 0 0 1 397
Volatility Forecasting 0 0 2 950 0 1 8 1,274
Volatility Forecasting 0 0 3 561 0 0 8 1,000
Volatility forecasting 0 1 3 338 0 1 7 735
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 203 0 0 1 405
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 21 0 0 0 150
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 7 0 0 0 115
Volatility puzzles: a unified framework for gauging return-volatility regressions 0 0 0 431 0 0 1 1,649
Volume, Volatility and Public News Announcements 0 1 1 111 0 2 4 255
Total Working Papers 15 44 117 34,575 49 146 568 96,189
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 1 6 20 3,025 4 19 60 7,637
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1 3 9 1,682 3 13 36 4,088
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 0 0 1 488
A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom 0 0 0 0 0 0 0 143
A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects 1 1 1 157 1 1 2 472
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 0 1 1 378 0 1 3 765
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 1 98 0 0 6 383
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 0 360 0 0 5 999
ARCH modeling in finance: A review of the theory and empirical evidence 0 10 44 6,128 6 20 92 11,721
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 9 21 82 4,828
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 0 26 0 0 0 157
Bid--ask spreads and volatility in the foreign exchange market: An empirical analysis 0 0 3 587 1 1 17 1,279
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model 0 0 1 398 0 1 5 940
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 0 0 1 367 0 0 5 894
Comment 0 0 0 29 0 1 2 146
Common Persistence in Conditional Variances 0 0 1 373 0 0 3 950
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 1 1 1 170 1 1 8 578
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 1 231 0 1 3 679
Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65] 0 0 0 57 0 0 0 164
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 0 0 19 0 0 0 78
Dan Nelson Remembered 0 0 0 0 0 0 0 452
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 0 0 0 38 0 0 4 206
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 0 1 1 217 1 3 7 732
Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies 0 0 0 0 0 0 6 1,190
Equity clusters through the lens of realized semicorrelations 0 0 0 3 0 0 1 17
Estimating stochastic volatility diffusion using conditional moments of integrated volatility 0 0 0 235 0 0 7 588
Estimation of Jump Tails 0 0 0 37 0 0 1 190
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 1 4 18 2 5 18 138
Expected Stock Returns and Variance Risk Premia 0 1 5 224 2 8 24 781
Exploiting the errors: A simple approach for improved volatility forecasting 1 3 10 243 4 14 31 769
Financial econometrics: Past developments and future challenges 0 0 0 240 0 0 2 445
Fixed‐k inference for volatility 1 1 1 2 1 1 5 16
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 3 4 9 560 3 5 12 1,390
Fractionally integrated generalized autoregressive conditional heteroskedasticity 1 2 13 1,472 29 37 65 3,378
From zero to hero: Realized partial (co)variances 0 0 2 5 0 0 6 12
Generalized Jump Regressions for Local Moments 0 0 0 1 0 0 0 6
Generalized autoregressive conditional heteroskedasticity 13 23 77 8,083 44 132 456 19,733
Good Volatility, Bad Volatility, and the Cross Section of Stock Returns 0 0 3 66 0 2 9 218
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 2 2 198 3 6 10 659
High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting 0 0 0 190 0 0 4 625
High-dimensional multivariate realized volatility estimation 0 0 1 8 0 0 2 34
Intra-Day and Inter-Market Volatility in Foreign Exchange Rates 1 1 3 476 1 2 4 1,188
Intraday and interday volatility in the Japanese stock market 0 0 3 227 0 1 7 904
Intraday periodicity and volatility persistence in financial markets 1 6 18 1,294 4 15 41 2,612
Investor Attention and Time‐varying Comovements 0 0 0 30 0 0 1 136
Jump tails, extreme dependencies, and the distribution of stock returns 0 0 0 127 0 0 4 404
Jumps and betas: A new framework for disentangling and estimating systematic risks 0 0 0 98 0 0 3 359
Leverage and Volatility Feedback Effects in High-Frequency Data 0 1 2 172 0 1 6 481
Long-term equity anticipation securities and stock market volatility dynamics 0 0 0 176 0 0 3 600
Measuring and modeling systematic risk in factor pricing models using high-frequency data 0 0 2 317 0 0 4 796
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 4 8 588 4 18 49 1,940
Modeling and Forecasting Realized Volatility 0 0 0 1,158 2 8 33 3,650
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 0 1 2 28 0 2 6 87
Modeling and pricing long memory in stock market volatility 0 0 9 1,099 0 5 41 2,330
Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model 1 8 19 2,166 6 20 66 5,078
Multivariate leverage effects and realized semicovariance GARCH models 0 1 2 5 0 1 6 56
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 2 4 143 1 3 8 512
ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS 0 0 1 21 0 0 6 53
Occupation density estimation for noisy high-frequency data 0 0 0 2 0 0 3 11
Optimal Inference for Spot Regressions 0 0 3 6 3 5 17 29
Optimal nonparametric range-based volatility estimation 0 0 4 5 1 2 7 9
Order flow and the bid-ask spread: An empirical probability model of screen-based trading 0 0 2 193 0 0 3 500
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 0 3 12 1,095
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction 0 0 0 30 2 2 2 118
Prediction in dynamic models with time-dependent conditional variances 0 0 5 601 0 0 10 1,001
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 2 357 3 11 27 1,220
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal* 0 0 0 3 0 1 1 8
Realized Semicovariances 0 0 0 17 0 0 2 92
Realized semibetas: Disentangling “good” and “bad” downside risks 1 1 4 40 1 1 20 238
Realized volatility forecasting and market microstructure noise 0 1 4 140 1 3 10 533
Reprint of: Generalized Autoregressive Conditional Heteroskedasticity 2 2 7 10 3 6 14 23
Risk Everywhere: Modeling and Managing Volatility 0 0 1 27 0 1 7 112
Risk and return: Long-run relations, fractional cointegration, and return predictability 0 0 0 58 0 1 6 266
Risk, jumps, and diversification 0 0 2 204 0 1 5 556
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 1 4 17 686 4 10 48 1,876
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns 0 0 3 24 0 0 7 162
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data 0 0 0 90 0 0 2 236
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence 0 0 3 76 1 1 7 209
Stock return and cash flow predictability: The role of volatility risk 0 0 0 31 0 1 1 131
Stock returns and volatility: pricing the long-run and short-run components of market risk 0 0 0 48 0 0 5 159
Tail risk premia and return predictability 1 3 9 129 2 6 26 539
Tails, Fears, and Risk Premia 0 0 1 67 0 0 2 269
The Distribution of Realized Exchange Rate Volatility 0 1 4 211 0 1 14 668
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 0 1 4 1,029
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 1 5 18 1,066
The distribution of realized stock return volatility 0 3 6 862 0 4 28 2,219
The forward premium anomaly is not as bad as you think 0 1 3 538 0 1 5 1,129
The jump leverage risk premium 1 2 2 4 4 7 15 25
The long memory of the forward premium 0 0 0 279 0 0 0 590
Time-varying jump tails 0 0 1 49 0 1 5 138
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 0 0 3 8
Trading Patterns and Prices in the Interbank Foreign Exchange Market 0 1 2 289 1 2 7 756
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 1 1 2 169 2 2 5 649
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 19 0 1 4 86
Volatility puzzles: a simple framework for gauging return-volatility regressions 0 0 0 157 0 3 4 672
Volume, Volatility, and Public News Announcements 0 2 9 58 0 8 21 246
es modéles ARCH en finance: un point sur la théorie et les résultats empiriques 0 0 0 5 0 0 2 93
Total Journal Articles 35 107 381 39,644 161 460 1,667 108,920


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Arch models 1 4 14 1,329 1 8 37 3,212
Financial Risk Measurement for Financial Risk Management 0 0 3 60 0 3 23 336
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 250 0 0 4 764
Realized Beta: Persistence and Predictability 4 6 7 10 6 13 19 28
Volatility and Correlation Forecasting 1 2 12 678 4 9 39 2,348
Total Chapters 6 12 37 2,327 11 33 122 6,688


Statistics updated 2025-07-04