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 |
1 |
2 |
973 |
1 |
2 |
6 |
1,816 |
| A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects |
0 |
0 |
0 |
132 |
0 |
0 |
0 |
429 |
| A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects |
0 |
0 |
0 |
223 |
0 |
0 |
0 |
561 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
207 |
1 |
1 |
2 |
575 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
187 |
1 |
1 |
1 |
482 |
| 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 |
0 |
0 |
183 |
1 |
1 |
2 |
529 |
| Analytic Evaluation of Volatility Forecasts |
0 |
0 |
0 |
815 |
0 |
0 |
3 |
1,880 |
| Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
0 |
0 |
0 |
1,578 |
1 |
1 |
7 |
3,574 |
| 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 |
6 |
0 |
1 |
3 |
76 |
| Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
| CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES |
0 |
0 |
1 |
119 |
1 |
1 |
7 |
445 |
| Cointegration, Fractional Cointegration, and Exchange RAte Dynamics |
0 |
0 |
0 |
1 |
0 |
0 |
4 |
908 |
| Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
61 |
0 |
0 |
0 |
296 |
| Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns |
0 |
0 |
0 |
373 |
1 |
2 |
3 |
926 |
| Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
171 |
0 |
1 |
1 |
491 |
| Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
421 |
1 |
1 |
2 |
951 |
| DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies |
0 |
0 |
0 |
552 |
0 |
0 |
3 |
1,944 |
| Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions |
0 |
0 |
0 |
68 |
0 |
0 |
0 |
167 |
| Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions |
0 |
0 |
0 |
84 |
1 |
1 |
1 |
103 |
| Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities |
0 |
0 |
0 |
218 |
0 |
0 |
3 |
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 |
116 |
0 |
0 |
3 |
232 |
| Estimation of Jump Tails |
0 |
0 |
0 |
23 |
0 |
0 |
1 |
132 |
| Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian |
0 |
0 |
0 |
303 |
0 |
0 |
4 |
1,113 |
| 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 |
1 |
354 |
0 |
0 |
1 |
860 |
| Expected Stock Returns and Variance Risk Premia |
0 |
1 |
1 |
110 |
0 |
2 |
7 |
433 |
| Expected stock returns and variance risk premia |
0 |
0 |
2 |
404 |
1 |
2 |
7 |
1,110 |
| Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting |
0 |
1 |
4 |
310 |
2 |
4 |
16 |
710 |
| 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 |
1 |
2 |
6 |
4,342 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
2 |
247 |
0 |
3 |
18 |
552 |
| Financial Risk Measurement for Financial Risk Management |
0 |
1 |
1 |
179 |
2 |
7 |
11 |
538 |
| Financial Risk Measurement for Financial Risk Management |
0 |
1 |
3 |
207 |
0 |
1 |
7 |
583 |
| Generalized autoregressive conditional heteroskedasticity |
1 |
6 |
24 |
754 |
9 |
25 |
148 |
2,110 |
| Glossary to ARCH (GARCH) |
3 |
3 |
6 |
908 |
4 |
11 |
24 |
1,810 |
| Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
0 |
0 |
548 |
0 |
0 |
1 |
1,664 |
| High frequency data, frequency domain inference and volatility forecasting |
0 |
0 |
0 |
544 |
0 |
0 |
1 |
1,197 |
| INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES |
0 |
0 |
0 |
4 |
1 |
2 |
2 |
1,001 |
| Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns |
0 |
0 |
0 |
199 |
1 |
2 |
3 |
324 |
| Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks |
0 |
0 |
0 |
110 |
0 |
0 |
2 |
293 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
1 |
1 |
1 |
288 |
1 |
1 |
2 |
1,034 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
0 |
52 |
0 |
0 |
1 |
509 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
1 |
478 |
1 |
1 |
5 |
2,259 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? |
0 |
0 |
0 |
354 |
1 |
1 |
4 |
1,262 |
| Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions |
0 |
0 |
0 |
427 |
0 |
3 |
4 |
133 |
| Modeling and Forecasting Realized Volatility |
0 |
0 |
1 |
791 |
1 |
1 |
3 |
1,893 |
| Modeling and Forecasting Realized Volatility |
1 |
1 |
5 |
1,261 |
3 |
7 |
20 |
2,988 |
| Modeling and Forecasting Realized Volatility |
0 |
0 |
1 |
992 |
1 |
2 |
8 |
2,170 |
| 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 |
0 |
1 |
1 |
683 |
| On Periodic Autogressive Conditional Heteroskedasticity |
0 |
0 |
0 |
990 |
0 |
1 |
1 |
2,904 |
| PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES |
0 |
0 |
0 |
2 |
0 |
1 |
2 |
883 |
| Parametric and Nonparametric Volatility Measurement |
0 |
0 |
0 |
692 |
1 |
2 |
6 |
1,605 |
| Parametric and Nonparametric Volatility Measurement |
0 |
3 |
7 |
830 |
0 |
4 |
11 |
2,110 |
| Periodic Autoregressive Conditional Heteroskedasticity |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
687 |
| Periodic Autoregressive Conditional Heteroskedasticity |
0 |
1 |
1 |
193 |
1 |
2 |
2 |
551 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
1 |
2 |
420 |
1 |
3 |
7 |
897 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
0 |
569 |
0 |
0 |
6 |
1,190 |
| Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
0 |
395 |
0 |
2 |
2 |
851 |
| Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances |
0 |
0 |
0 |
0 |
2 |
5 |
17 |
1,978 |
| Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets |
0 |
0 |
1 |
149 |
0 |
0 |
8 |
507 |
| Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
1 |
218 |
1 |
2 |
6 |
673 |
| Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
1 |
181 |
0 |
0 |
2 |
801 |
| Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
1 |
3 |
278 |
1 |
2 |
6 |
1,001 |
| Real-time price discovery in stock, bond and foreign exchange markets |
0 |
0 |
0 |
143 |
0 |
0 |
0 |
556 |
| Realized Beta: Persistence and Predictability |
0 |
0 |
3 |
516 |
1 |
2 |
7 |
915 |
| Realized beta: Persistence and predictability |
0 |
0 |
1 |
219 |
1 |
1 |
9 |
636 |
| Risk Everywhere: Modeling and Managing Volatility |
0 |
0 |
3 |
79 |
3 |
4 |
16 |
170 |
| Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability |
0 |
0 |
0 |
179 |
0 |
0 |
2 |
484 |
| Risk, Jumps, and Diversification |
0 |
0 |
1 |
107 |
0 |
0 |
2 |
267 |
| Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
0 |
5 |
167 |
4 |
7 |
22 |
558 |
| Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
0 |
0 |
354 |
0 |
1 |
6 |
985 |
| Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns |
0 |
1 |
3 |
53 |
1 |
2 |
7 |
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 |
1 |
1 |
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 |
1 |
1 |
163 |
0 |
1 |
4 |
529 |
| Stock Return and Cash Flow Predictability: The Role of Volatility Risk |
0 |
0 |
0 |
103 |
0 |
0 |
0 |
207 |
| Stock return predictability and variance risk premia: statistical inference and international evidence |
0 |
0 |
2 |
129 |
0 |
1 |
6 |
300 |
| Tail Risk Premia and Return Predictability |
0 |
0 |
1 |
74 |
0 |
0 |
6 |
299 |
| Tails, Fears and Risk Premia |
0 |
0 |
0 |
54 |
0 |
0 |
1 |
248 |
| Tails, Fears and Risk Premia |
0 |
0 |
0 |
190 |
0 |
1 |
1 |
447 |
| Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment |
0 |
0 |
0 |
648 |
0 |
0 |
1 |
2,307 |
| The Distribution of Exchange Rate Volatility |
1 |
1 |
1 |
323 |
1 |
2 |
2 |
860 |
| The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
530 |
0 |
0 |
2 |
1,313 |
| The Distribution of Exchange Rate Volatility |
0 |
0 |
0 |
551 |
0 |
2 |
6 |
1,443 |
| The Distribution of Stock Return Volatility |
0 |
0 |
0 |
906 |
0 |
1 |
9 |
2,400 |
| The Distribution of Stock Return Volatility |
0 |
0 |
0 |
839 |
1 |
1 |
2 |
2,236 |
| The Long Memory of the Foreward Premium |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
397 |
| Volatility Forecasting |
0 |
0 |
4 |
561 |
0 |
1 |
15 |
1,000 |
| Volatility Forecasting |
0 |
0 |
2 |
950 |
1 |
1 |
6 |
1,272 |
| Volatility forecasting |
0 |
0 |
3 |
337 |
0 |
1 |
9 |
733 |
| 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 in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
203 |
0 |
0 |
1 |
405 |
| Volatility puzzles: a unified framework for gauging return-volatility regressions |
0 |
0 |
0 |
431 |
1 |
1 |
2 |
1,649 |
| Volume, Volatility and Public News Announcements |
0 |
0 |
1 |
110 |
1 |
1 |
3 |
253 |
| Total Working Papers |
7 |
25 |
106 |
34,523 |
61 |
147 |
592 |
95,994 |
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 |
2 |
30 |
3,017 |
6 |
13 |
76 |
7,611 |
| A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return |
0 |
1 |
12 |
1,679 |
1 |
10 |
35 |
4,074 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
106 |
0 |
0 |
1 |
487 |
| 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 |
0 |
0 |
0 |
156 |
1 |
1 |
2 |
471 |
| A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets |
0 |
0 |
1 |
377 |
0 |
0 |
3 |
764 |
| A reduced form framework for modeling volatility of speculative prices based on realized variation measures |
0 |
0 |
1 |
98 |
1 |
3 |
7 |
382 |
| ANALYTICAL EVALUATION OF VOLATILITY FORECASTS |
0 |
0 |
0 |
360 |
2 |
2 |
7 |
999 |
| ARCH modeling in finance: A review of the theory and empirical evidence |
2 |
11 |
53 |
6,114 |
4 |
18 |
113 |
11,691 |
| Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts |
0 |
0 |
0 |
3 |
7 |
18 |
102 |
4,802 |
| 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 |
5 |
587 |
0 |
0 |
11 |
1,270 |
| Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model |
0 |
0 |
1 |
398 |
2 |
2 |
5 |
939 |
| Cointegration, Fractional Cointegration, and Exchange Rate Dynamics |
0 |
1 |
5 |
367 |
0 |
4 |
11 |
894 |
| Comment |
0 |
0 |
0 |
29 |
1 |
1 |
2 |
145 |
| Common Persistence in Conditional Variances |
0 |
0 |
0 |
372 |
0 |
2 |
2 |
949 |
| Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns |
0 |
0 |
0 |
169 |
1 |
2 |
9 |
577 |
| Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities |
0 |
0 |
3 |
231 |
0 |
0 |
6 |
678 |
| 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 |
2 |
78 |
| Dan Nelson Remembered |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
452 |
| Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities |
0 |
0 |
1 |
216 |
0 |
1 |
6 |
729 |
| Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities |
0 |
0 |
0 |
38 |
0 |
0 |
3 |
205 |
| Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies |
0 |
0 |
0 |
0 |
1 |
4 |
6 |
1,189 |
| Equity clusters through the lens of realized semicorrelations |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
16 |
| Estimating stochastic volatility diffusion using conditional moments of integrated volatility |
0 |
0 |
0 |
235 |
2 |
2 |
8 |
588 |
| Estimation of Jump Tails |
0 |
0 |
0 |
37 |
1 |
1 |
3 |
190 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
3 |
17 |
2 |
4 |
16 |
131 |
| Expected Stock Returns and Variance Risk Premia |
0 |
0 |
6 |
223 |
2 |
4 |
23 |
773 |
| Exploiting the errors: A simple approach for improved volatility forecasting |
0 |
1 |
11 |
239 |
1 |
4 |
34 |
753 |
| Financial econometrics: Past developments and future challenges |
0 |
0 |
0 |
240 |
0 |
0 |
2 |
445 |
| Fixed‐k inference for volatility |
0 |
0 |
1 |
1 |
1 |
2 |
6 |
15 |
| Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon |
1 |
1 |
6 |
556 |
1 |
2 |
12 |
1,385 |
| Fractionally integrated generalized autoregressive conditional heteroskedasticity |
2 |
3 |
15 |
1,470 |
4 |
10 |
45 |
3,340 |
| From zero to hero: Realized partial (co)variances |
0 |
0 |
2 |
5 |
2 |
2 |
6 |
12 |
| Generalized Jump Regressions for Local Moments |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
6 |
| Generalized autoregressive conditional heteroskedasticity |
8 |
17 |
77 |
8,051 |
33 |
97 |
457 |
19,566 |
| Good Volatility, Bad Volatility, and the Cross Section of Stock Returns |
1 |
2 |
4 |
66 |
1 |
3 |
13 |
215 |
| Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
0 |
0 |
196 |
0 |
0 |
5 |
653 |
| High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting |
0 |
0 |
0 |
190 |
1 |
2 |
3 |
624 |
| High-dimensional multivariate realized volatility estimation |
0 |
0 |
2 |
8 |
0 |
0 |
3 |
34 |
| Intra-Day and Inter-Market Volatility in Foreign Exchange Rates |
1 |
1 |
3 |
475 |
1 |
1 |
4 |
1,186 |
| Intraday and interday volatility in the Japanese stock market |
0 |
1 |
4 |
227 |
0 |
3 |
10 |
903 |
| Intraday periodicity and volatility persistence in financial markets |
1 |
3 |
21 |
1,287 |
2 |
5 |
44 |
2,594 |
| Investor Attention and Time‐varying Comovements |
0 |
0 |
0 |
30 |
0 |
0 |
4 |
136 |
| Jump tails, extreme dependencies, and the distribution of stock returns |
0 |
0 |
1 |
127 |
0 |
0 |
9 |
404 |
| Jumps and betas: A new framework for disentangling and estimating systematic risks |
0 |
0 |
1 |
98 |
1 |
2 |
8 |
359 |
| Leverage and Volatility Feedback Effects in High-Frequency Data |
1 |
1 |
1 |
171 |
1 |
2 |
6 |
480 |
| 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 |
1 |
3 |
317 |
0 |
1 |
5 |
796 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
6 |
582 |
3 |
9 |
36 |
1,913 |
| Modeling and Forecasting Realized Volatility |
0 |
0 |
0 |
1,158 |
5 |
7 |
32 |
3,640 |
| Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions |
0 |
0 |
3 |
27 |
0 |
2 |
12 |
85 |
| Modeling and pricing long memory in stock market volatility |
0 |
4 |
15 |
1,099 |
2 |
10 |
52 |
2,323 |
| Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model |
0 |
0 |
20 |
2,157 |
3 |
10 |
71 |
5,055 |
| Multivariate leverage effects and realized semicovariance GARCH models |
0 |
0 |
0 |
3 |
1 |
3 |
5 |
54 |
| 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 |
1 |
4 |
141 |
0 |
1 |
10 |
509 |
| ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS |
0 |
0 |
3 |
21 |
2 |
3 |
10 |
53 |
| Occupation density estimation for noisy high-frequency data |
0 |
0 |
0 |
2 |
0 |
1 |
2 |
10 |
| Optimal Inference for Spot Regressions |
1 |
1 |
6 |
6 |
2 |
3 |
24 |
24 |
| Optimal nonparametric range-based volatility estimation |
0 |
2 |
3 |
4 |
0 |
2 |
4 |
6 |
| Order flow and the bid-ask spread: An empirical probability model of screen-based trading |
0 |
0 |
2 |
193 |
0 |
0 |
5 |
500 |
| Periodic Autoregressive Conditional Heteroscedasticity |
0 |
0 |
0 |
0 |
1 |
6 |
12 |
1,092 |
| Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction |
0 |
0 |
0 |
30 |
0 |
0 |
0 |
116 |
| Prediction in dynamic models with time-dependent conditional variances |
0 |
3 |
10 |
601 |
1 |
5 |
17 |
1,001 |
| Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
0 |
1 |
355 |
1 |
4 |
20 |
1,206 |
| Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal* |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
7 |
| Realized Semicovariances |
0 |
0 |
0 |
17 |
0 |
0 |
3 |
92 |
| Realized semibetas: Disentangling “good” and “bad” downside risks |
0 |
1 |
4 |
39 |
5 |
7 |
26 |
236 |
| Realized volatility forecasting and market microstructure noise |
1 |
1 |
4 |
139 |
1 |
1 |
16 |
530 |
| Reprint of: Generalized Autoregressive Conditional Heteroskedasticity |
0 |
0 |
5 |
6 |
0 |
2 |
10 |
15 |
| Risk Everywhere: Modeling and Managing Volatility |
0 |
0 |
3 |
27 |
0 |
2 |
10 |
110 |
| Risk and return: Long-run relations, fractional cointegration, and return predictability |
0 |
0 |
0 |
58 |
1 |
2 |
8 |
265 |
| Risk, jumps, and diversification |
0 |
0 |
1 |
203 |
0 |
1 |
3 |
554 |
| Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility |
2 |
3 |
24 |
680 |
4 |
9 |
73 |
1,863 |
| Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns |
1 |
1 |
2 |
23 |
3 |
3 |
8 |
160 |
| Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data |
0 |
0 |
1 |
90 |
0 |
0 |
3 |
236 |
| Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence |
0 |
0 |
3 |
76 |
0 |
1 |
6 |
208 |
| Stock return and cash flow predictability: The role of volatility risk |
0 |
0 |
0 |
31 |
0 |
0 |
1 |
130 |
| Stock returns and volatility: pricing the long-run and short-run components of market risk |
0 |
0 |
0 |
48 |
1 |
1 |
6 |
159 |
| Tail risk premia and return predictability |
0 |
0 |
10 |
125 |
0 |
1 |
43 |
528 |
| Tails, Fears, and Risk Premia |
0 |
0 |
1 |
67 |
1 |
1 |
3 |
269 |
| The Distribution of Realized Exchange Rate Volatility |
1 |
1 |
4 |
209 |
1 |
3 |
12 |
663 |
| The Message in Daily Exchange Rates: A Conditional-Variance Tale |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
1,027 |
| The Message in Daily Exchange Rates: A Conditional-Variance Tale |
0 |
0 |
0 |
0 |
2 |
5 |
16 |
1,060 |
| The distribution of realized stock return volatility |
0 |
1 |
4 |
858 |
2 |
9 |
26 |
2,208 |
| The forward premium anomaly is not as bad as you think |
0 |
0 |
2 |
537 |
0 |
0 |
4 |
1,127 |
| The jump leverage risk premium |
0 |
0 |
1 |
2 |
1 |
4 |
11 |
16 |
| The long memory of the forward premium |
0 |
0 |
1 |
279 |
0 |
0 |
1 |
590 |
| Time-varying jump tails |
1 |
1 |
1 |
49 |
1 |
1 |
5 |
137 |
| Towards a unified framework for high and low frequency return volatility modeling |
0 |
0 |
0 |
1 |
1 |
1 |
3 |
8 |
| Trading Patterns and Prices in the Interbank Foreign Exchange Market |
0 |
1 |
1 |
288 |
1 |
4 |
6 |
754 |
| Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns |
0 |
0 |
1 |
167 |
0 |
0 |
3 |
646 |
| Volatility in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
19 |
1 |
2 |
3 |
84 |
| Volatility puzzles: a simple framework for gauging return-volatility regressions |
0 |
0 |
1 |
157 |
0 |
0 |
5 |
669 |
| Volume, Volatility, and Public News Announcements |
1 |
2 |
9 |
55 |
3 |
4 |
17 |
237 |
| es modéles ARCH en finance: un point sur la théorie et les résultats empiriques |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
92 |
| Total Journal Articles |
26 |
69 |
429 |
39,502 |
133 |
359 |
1,786 |
108,321 |
|
|
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