Access Statistics for Tim Bollerslev

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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 0 973 1 3 15 1,832
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 0 0 0 223 1 4 16 580
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 0 0 0 132 0 4 9 440
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 0 1 15 500
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 0 1 11 588
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 1 156 0 2 19 589
A framework for exploring the macroeconomic determinants of systematic risk 0 0 0 184 0 0 9 539
Analytic Evaluation of Volatility Forecasts 0 0 0 815 0 7 11 1,892
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 2 1,581 0 4 15 3,591
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 0 6 547
Bear Squeezes in the Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 2 16 292
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 0 6 0 2 6 82
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 0 0 0 3 7 13
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 119 1 1 10 455
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics 0 0 0 1 0 1 13 921
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 0 0 3 11 12
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 0 2 7 304
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 3 8 23 950
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 421 1 4 16 967
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 171 0 0 9 500
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 2 554 1 10 27 1,973
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions 0 0 0 68 0 2 7 175
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions 0 0 0 84 1 3 18 122
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities 0 0 0 218 2 5 15 527
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 0 0 0 439 1 5 14 1,059
Estimating stochastic volatility diffusion using conditional moments of integrated volatility 0 0 0 508 0 1 15 1,178
Estimation of Jump Tails 0 0 0 23 0 1 6 139
Estimation of Jump Tails 0 0 0 116 0 3 8 240
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 0 10 16 1,130
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 0 8 19 859
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 0 7 24 1,628
Expected Stock Returns and Variance Risk Premia 0 0 0 110 2 12 41 474
Expected Stock Returns and Variance Risk Premia 0 0 2 356 2 18 42 902
Expected stock returns and variance risk premia 0 1 4 408 0 23 62 1,174
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 0 2 7 318 0 4 20 732
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES 0 0 0 0 0 1 2 391
Financial Market Efficiency Tests 1 2 3 1,836 2 8 23 4,366
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 2 19 571
Financial Risk Measurement for Financial Risk Management 0 0 0 207 1 8 38 623
Financial Risk Measurement for Financial Risk Management 0 1 2 183 2 15 45 586
Generalized autoregressive conditional heteroskedasticity 7 25 51 817 26 82 229 2,373
Glossary to ARCH (GARCH) 0 0 7 915 1 8 59 1,873
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 549 1 5 22 1,688
High frequency data, frequency domain inference and volatility forecasting 0 0 0 544 2 5 11 1,209
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES 0 0 0 4 0 0 13 1,014
Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns 0 0 1 200 0 2 9 333
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks 0 0 1 111 1 2 11 304
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 479 2 16 36 2,298
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 0 6 21 531
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 291 1 10 20 1,056
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 0 356 3 14 26 1,291
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 0 0 0 428 1 4 18 153
Modeling and Forecasting Realized Volatility 0 0 6 999 2 20 50 2,225
Modeling and Forecasting Realized Volatility 1 1 2 1,263 4 16 71 3,063
Modeling and Forecasting Realized Volatility 1 2 7 798 6 23 49 1,943
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 5 18 701
On Periodic Autogressive Conditional Heteroskedasticity 0 0 0 990 0 5 11 2,915
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES 0 0 0 2 1 3 13 896
Parametric and Nonparametric Volatility Measurement 0 0 0 692 3 8 18 1,623
Parametric and Nonparametric Volatility Measurement 0 0 0 830 2 10 23 2,133
Periodic Autoregressive Conditional Heteroskedasticity 0 1 1 194 2 3 9 560
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 0 1 8 697
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 1 12 29 1,219
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 2 15 28 926
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 1 2 17 871
Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances 0 0 0 0 5 12 43 2,024
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 1 3 14 522
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 0 3 14 689
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 1 4 18 819
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 1 5 16 1,018
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 144 0 3 13 571
Realized Beta: Persistence and Predictability 0 0 0 516 1 9 22 941
Realized beta: Persistence and predictability 0 1 2 222 1 6 23 661
Risk Everywhere: Modeling and Managing Volatility 0 1 5 85 1 11 37 210
Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability 0 0 0 179 0 1 7 491
Risk, Jumps, and Diversification 0 0 0 107 0 2 11 278
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 4 171 1 12 31 589
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 1 356 9 16 31 1,018
Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns 1 1 2 55 3 10 24 192
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 0 163 1 4 22 553
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 4 16 1,038
Stock Return and Cash Flow Predictability: The Role of Volatility Risk 0 0 0 103 0 6 24 231
Stock return predictability and variance risk premia: statistical inference and international evidence 0 0 0 129 2 7 26 327
Tail Risk Premia and Return Predictability 1 1 5 81 5 13 51 354
Tails, Fears and Risk Premia 1 2 3 58 7 13 26 275
Tails, Fears and Risk Premia 0 0 0 190 1 2 16 463
Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment 0 0 1 649 1 5 21 2,328
The Distribution of Exchange Rate Volatility 0 0 0 552 0 4 16 1,461
The Distribution of Exchange Rate Volatility 0 0 0 323 0 4 16 880
The Distribution of Exchange Rate Volatility 0 0 0 531 3 3 12 1,327
The Distribution of Stock Return Volatility 0 0 0 906 3 9 20 2,420
The Distribution of Stock Return Volatility 0 0 0 839 1 5 16 2,253
The Long Memory of the Foreward Premium 0 0 0 0 0 1 26 423
Volatility Forecasting 0 1 1 951 1 11 33 1,307
Volatility Forecasting 0 0 1 562 0 10 33 1,033
Volatility forecasting 0 0 1 339 2 5 25 760
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 21 1 3 18 168
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 203 1 1 4 409
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 7 2 6 12 127
Volatility puzzles: a unified framework for gauging return-volatility regressions 0 0 0 431 0 3 12 1,661
Volume, Volatility and Public News Announcements 1 1 2 113 1 6 25 280
Total Working Papers 14 43 131 34,691 141 697 2,298 98,439

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 2 3 14 3,038 4 19 84 7,717
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 2 4 14 1,695 7 28 69 4,154
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 2 3 18 506
A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom 0 0 0 0 0 1 4 147
A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects 0 0 1 157 0 7 33 504
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 0 0 0 378 1 4 14 779
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 2 100 0 14 28 411
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 0 360 1 4 14 1,013
ARCH modeling in finance: A review of the theory and empirical evidence 4 15 40 6,168 14 36 149 11,864
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 26 53 181 5,000
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 1 27 0 0 3 160
Bid--ask spreads and volatility in the foreign exchange market: An empirical analysis 0 0 1 588 0 5 17 1,295
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model 0 0 0 398 1 4 13 953
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 0 0 1 368 0 4 31 925
Comment 0 0 0 29 0 2 4 150
Common Persistence in Conditional Variances 0 0 0 373 0 1 16 966
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 1 170 0 5 40 617
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 0 231 0 3 7 686
Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65] 0 0 0 57 1 2 11 175
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 0 2 21 0 5 13 91
Dan Nelson Remembered 0 0 0 0 0 2 8 460
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 0 0 0 38 1 9 28 234
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 1 2 2 219 3 10 26 757
Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies 0 0 0 0 0 1 5 1,195
Equity clusters through the lens of realized semicorrelations 0 0 0 3 1 5 16 33
Estimating stochastic volatility diffusion using conditional moments of integrated volatility 0 0 0 235 1 5 16 604
Estimation of Jump Tails 0 0 0 37 0 4 9 199
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 18 1 6 30 166
Expected Stock Returns and Variance Risk Premia 1 4 12 236 13 47 121 900
Exploiting the errors: A simple approach for improved volatility forecasting 0 2 9 251 4 19 63 828
Financial econometrics: Past developments and future challenges 0 0 0 240 2 6 9 454
Fixed‐k inference for volatility 0 1 2 3 1 4 15 30
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 0 0 7 564 0 5 29 1,416
Fractionally integrated generalized autoregressive conditional heteroskedasticity 0 1 6 1,477 6 26 110 3,459
From zero to hero: Realized partial (co)variances 0 0 2 7 1 7 18 30
Generalized Jump Regressions for Local Moments 0 0 0 1 0 2 8 14
Generalized autoregressive conditional heteroskedasticity 11 42 147 8,217 78 239 806 20,495
Good Volatility, Bad Volatility, and the Cross Section of Stock Returns 2 4 5 71 5 21 39 257
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 198 1 6 50 706
High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting 0 0 0 190 0 4 14 639
High-dimensional multivariate realized volatility estimation 0 0 0 8 0 2 6 40
Intra-Day and Inter-Market Volatility in Foreign Exchange Rates 0 0 1 476 0 2 16 1,203
Intraday and interday volatility in the Japanese stock market 0 0 2 229 1 5 16 920
Intraday periodicity and volatility persistence in financial markets 0 1 5 1,298 3 22 87 2,695
Investor Attention and Time‐varying Comovements 0 0 0 30 0 0 12 148
Jump tails, extreme dependencies, and the distribution of stock returns 0 0 1 128 0 6 21 425
Jumps and betas: A new framework for disentangling and estimating systematic risks 0 0 0 98 0 2 12 371
Leverage and Volatility Feedback Effects in High-Frequency Data 0 0 2 174 1 4 14 495
Long-term equity anticipation securities and stock market volatility dynamics 0 0 0 176 0 2 11 611
Measuring and modeling systematic risk in factor pricing models using high-frequency data 0 0 0 317 0 3 9 805
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 3 8 26 613 8 37 143 2,079
Modeling and Forecasting Realized Volatility 0 0 0 1,158 21 65 174 3,822
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 2 2 2 30 8 12 20 107
Modeling and pricing long memory in stock market volatility 1 2 5 1,104 1 16 58 2,388
Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model 3 9 16 2,181 9 38 95 5,167
Multivariate leverage effects and realized semicovariance GARCH models 0 0 0 5 3 8 15 71
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 2 144 0 3 15 526
ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS 0 0 2 23 0 4 12 65
Occupation density estimation for noisy high-frequency data 0 0 1 3 0 2 8 19
Optimal Inference for Spot Regressions 1 1 2 8 1 4 20 46
Optimal nonparametric range-based volatility estimation 0 0 2 7 0 7 28 36
Order flow and the bid-ask spread: An empirical probability model of screen-based trading 0 0 1 194 3 8 21 521
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 1 2 16 1,111
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction 0 0 0 30 0 1 9 125
Prediction in dynamic models with time-dependent conditional variances 0 0 4 605 0 4 30 1,031
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 4 361 4 9 51 1,268
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal* 0 0 0 3 0 5 16 24
Realized Semicovariances 0 0 0 17 0 9 25 117
Realized semibetas: Disentangling “good” and “bad” downside risks 0 0 5 44 4 15 31 268
Realized volatility forecasting and market microstructure noise 0 1 3 143 2 16 31 563
Reprint of: Generalized Autoregressive Conditional Heteroskedasticity 0 2 8 16 2 9 30 50
Risk Everywhere: Modeling and Managing Volatility 0 0 2 29 3 8 26 138
Risk and return: Long-run relations, fractional cointegration, and return predictability 0 0 0 58 0 2 7 273
Risk, jumps, and diversification 0 2 3 207 3 6 12 568
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 1 7 17 702 11 44 101 1,973
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns 0 0 1 25 1 13 29 191
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data 0 0 0 90 1 4 12 248
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence 0 0 1 77 0 4 22 230
Stock return and cash flow predictability: The role of volatility risk 0 0 1 32 2 5 20 151
Stock returns and volatility: pricing the long-run and short-run components of market risk 0 0 0 48 3 9 17 176
Tail risk premia and return predictability 0 0 8 136 2 14 61 598
Tails, Fears, and Risk Premia 0 1 4 71 2 8 24 293
The Distribution of Realized Exchange Rate Volatility 0 0 3 214 1 14 46 714
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 0 2 22 1,051
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 0 4 21 1,086
The distribution of realized stock return volatility 3 4 9 871 7 16 49 2,268
The forward premium anomaly is not as bad as you think 0 0 0 538 0 3 12 1,141
The jump leverage risk premium 0 0 2 5 1 22 49 70
The long memory of the forward premium 0 0 0 279 0 2 6 596
Time-varying jump tails 0 0 2 51 1 4 17 155
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 0 0 6 14
Trading Patterns and Prices in the Interbank Foreign Exchange Market 0 0 0 289 2 4 13 768
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 0 1 2 170 1 3 15 662
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 19 1 5 12 98
Volatility puzzles: a simple framework for gauging return-volatility regressions 0 0 0 157 1 3 10 682
Volume, Volatility, and Public News Announcements 0 1 3 61 3 11 36 282
es modéles ARCH en finance: un point sur la théorie et les résultats empiriques 0 0 0 5 0 6 18 111
Total Journal Articles 37 122 421 40,030 293 1,166 3,884 112,643

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Arch models 0 1 10 1,338 6 15 64 3,275
Financial Risk Measurement for Financial Risk Management 0 0 2 62 1 17 59 395
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 251 1 12 25 789
Realized Beta: Persistence and Predictability 1 2 7 13 2 8 30 52
Volatility and Correlation Forecasting 2 5 11 688 5 20 88 2,432
Total Chapters 3 8 31 2,352 15 72 266 6,943

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Statistics updated 2026-06-04