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 0 3 14 1,831
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 0 0 0 132 3 4 9 440
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 0 0 0 223 2 5 17 579
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 1 2 15 500
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 1 4 12 588
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 1 1 156 2 7 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 7 7 11 1,892
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 2 1,581 3 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 1 2 16 292
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 0 6 2 2 6 82
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 0 0 3 4 9 13
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 119 0 1 9 454
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics 0 0 0 1 1 2 13 921
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 0 2 3 11 12
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 2 3 7 304
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 4 5 21 947
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
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 421 3 3 15 966
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 1 2 554 7 11 26 1,972
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions 0 0 0 68 2 2 8 175
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions 0 0 0 84 1 4 18 121
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities 0 0 0 218 2 4 13 525
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 0 0 0 439 4 6 13 1,058
Estimating stochastic volatility diffusion using conditional moments of integrated volatility 0 0 0 508 1 1 15 1,178
Estimation of Jump Tails 0 0 0 116 3 3 8 240
Estimation of Jump Tails 0 0 0 23 1 1 6 139
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 6 10 16 1,130
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 7 9 19 859
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 5 8 24 1,628
Expected Stock Returns and Variance Risk Premia 0 0 2 356 12 21 40 900
Expected Stock Returns and Variance Risk Premia 0 0 0 110 6 11 39 472
Expected stock returns and variance risk premia 0 2 4 408 15 27 63 1,174
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 0 4 7 318 1 6 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 1 2 1,835 3 9 21 4,364
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 2 19 571
Financial Risk Measurement for Financial Risk Management 0 0 0 207 6 8 38 622
Financial Risk Measurement for Financial Risk Management 0 1 3 183 9 16 45 584
Generalized autoregressive conditional heteroskedasticity 11 24 50 810 33 72 220 2,347
Glossary to ARCH (GARCH) 0 0 7 915 6 10 61 1,872
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 1 549 3 5 22 1,687
High frequency data, frequency domain inference and volatility forecasting 0 0 0 544 3 4 9 1,207
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES 0 0 0 4 0 4 13 1,014
Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns 0 1 1 200 1 3 9 333
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks 0 1 1 111 1 3 10 303
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 291 7 11 19 1,055
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 5 7 21 531
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 479 14 15 34 2,296
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 0 356 9 13 23 1,288
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 0 0 0 428 3 5 18 152
Modeling and Forecasting Realized Volatility 0 2 6 999 17 24 50 2,223
Modeling and Forecasting Realized Volatility 1 1 6 797 13 20 43 1,937
Modeling and Forecasting Realized Volatility 0 0 1 1,262 10 22 69 3,059
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 3 5 17 700
On Periodic Autogressive Conditional Heteroskedasticity 0 0 0 990 5 5 11 2,915
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES 0 0 0 2 2 2 12 895
Parametric and Nonparametric Volatility Measurement 0 0 0 830 6 11 21 2,131
Parametric and Nonparametric Volatility Measurement 0 0 0 692 0 6 15 1,620
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 1 1 9 697
Periodic Autoregressive Conditional Heteroskedasticity 0 1 1 194 0 1 7 558
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 11 14 26 924
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 11 17 28 1,218
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 1 1 17 870
Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances 0 0 0 0 4 12 39 2,019
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 1 4 13 521
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 3 3 15 689
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 3 5 17 818
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 4 6 15 1,017
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 144 2 5 13 571
Realized Beta: Persistence and Predictability 0 0 0 516 4 12 22 940
Realized beta: Persistence and predictability 0 1 2 222 3 9 23 660
Risk Everywhere: Modeling and Managing Volatility 1 1 6 85 8 15 38 209
Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability 0 0 0 179 1 2 7 491
Risk, Jumps, and Diversification 0 0 0 107 2 2 11 278
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 4 171 10 13 30 588
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 1 356 7 9 22 1,009
Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns 0 0 1 54 6 8 21 189
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 3 3 15 1,037
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 2 5 21 552
Stock Return and Cash Flow Predictability: The Role of Volatility Risk 0 0 0 103 6 11 24 231
Stock return predictability and variance risk premia: statistical inference and international evidence 0 0 0 129 2 10 25 325
Tail Risk Premia and Return Predictability 0 2 6 80 6 18 49 349
Tails, Fears and Risk Premia 0 0 0 190 0 5 15 462
Tails, Fears and Risk Premia 1 1 2 57 5 10 19 268
Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment 0 0 1 649 2 9 20 2,327
The Distribution of Exchange Rate Volatility 0 0 0 323 3 5 20 880
The Distribution of Exchange Rate Volatility 0 0 0 531 0 0 9 1,324
The Distribution of Exchange Rate Volatility 0 0 0 552 4 5 16 1,461
The Distribution of Stock Return Volatility 0 0 0 839 2 4 16 2,252
The Distribution of Stock Return Volatility 0 0 0 906 4 7 17 2,417
The Long Memory of the Foreward Premium 0 0 0 0 1 1 26 423
Volatility Forecasting 0 0 1 562 8 15 33 1,033
Volatility Forecasting 1 1 1 951 4 13 33 1,306
Volatility forecasting 0 0 1 339 2 7 23 758
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 21 2 4 17 167
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 203 0 0 3 408
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 7 3 4 10 125
Volatility puzzles: a unified framework for gauging return-volatility regressions 0 0 0 431 2 4 12 1,661
Volume, Volatility and Public News Announcements 0 0 1 112 5 6 25 279
Total Working Papers 16 46 128 34,677 418 753 2,214 98,298

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 0 3 14 3,036 11 24 87 7,713
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1 2 12 1,693 18 26 65 4,147
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 1 1 16 504
A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom 0 0 0 0 1 1 4 147
A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects 0 0 1 157 3 8 33 504
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 0 0 0 378 3 3 13 778
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 1 2 100 11 16 28 411
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 0 360 2 5 13 1,012
ARCH modeling in finance: A review of the theory and empirical evidence 9 16 38 6,164 18 31 138 11,850
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 13 35 163 4,974
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 3 7 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 2 3 12 952
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 0 0 1 368 2 4 31 925
Comment 0 0 0 29 2 3 5 150
Common Persistence in Conditional Variances 0 0 0 373 1 3 16 966
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 1 170 4 5 40 617
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 0 231 2 4 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 1 10 174
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 2 2 21 4 7 13 91
Dan Nelson Remembered 0 0 0 0 2 3 8 460
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 1 1 2 218 5 12 25 754
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 0 0 0 38 6 13 27 233
Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies 0 0 0 0 1 2 5 1,195
Equity clusters through the lens of realized semicorrelations 0 0 0 3 3 5 15 32
Estimating stochastic volatility diffusion using conditional moments of integrated volatility 0 0 0 235 2 4 15 603
Estimation of Jump Tails 0 0 0 37 4 4 9 199
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 18 3 6 31 165
Expected Stock Returns and Variance Risk Premia 0 4 12 235 21 45 110 887
Exploiting the errors: A simple approach for improved volatility forecasting 0 2 10 251 9 19 67 824
Financial econometrics: Past developments and future challenges 0 0 0 240 3 4 7 452
Fixed‐k inference for volatility 0 1 2 3 2 5 14 29
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 0 1 8 564 4 6 30 1,416
Fractionally integrated generalized autoregressive conditional heteroskedasticity 0 1 6 1,477 11 21 108 3,453
From zero to hero: Realized partial (co)variances 0 1 2 7 4 9 17 29
Generalized Jump Regressions for Local Moments 0 0 0 1 2 2 8 14
Generalized autoregressive conditional heteroskedasticity 19 47 142 8,206 84 237 779 20,417
Good Volatility, Bad Volatility, and the Cross Section of Stock Returns 0 2 3 69 7 20 35 252
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 198 4 5 50 705
High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting 0 0 0 190 1 5 14 639
High-dimensional multivariate realized volatility estimation 0 0 0 8 2 3 6 40
Intra-Day and Inter-Market Volatility in Foreign Exchange Rates 0 0 1 476 1 4 16 1,203
Intraday and interday volatility in the Japanese stock market 0 0 2 229 3 4 16 919
Intraday periodicity and volatility persistence in financial markets 1 1 6 1,298 16 21 90 2,692
Investor Attention and Time‐varying Comovements 0 0 0 30 0 1 12 148
Jump tails, extreme dependencies, and the distribution of stock returns 0 0 1 128 6 11 21 425
Jumps and betas: A new framework for disentangling and estimating systematic risks 0 0 0 98 1 2 12 371
Leverage and Volatility Feedback Effects in High-Frequency Data 0 1 3 174 1 5 14 494
Long-term equity anticipation securities and stock market volatility dynamics 0 0 0 176 2 2 11 611
Measuring and modeling systematic risk in factor pricing models using high-frequency data 0 0 0 317 3 3 9 805
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 3 10 24 610 21 44 142 2,071
Modeling and Forecasting Realized Volatility 0 0 0 1,158 34 54 158 3,801
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 0 0 1 28 3 5 14 99
Modeling and pricing long memory in stock market volatility 1 2 4 1,103 8 18 59 2,387
Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model 2 8 17 2,178 17 37 93 5,158
Multivariate leverage effects and realized semicovariance GARCH models 0 0 1 5 4 7 13 68
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 1 3 144 2 3 17 526
ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS 0 0 2 23 2 4 12 65
Occupation density estimation for noisy high-frequency data 0 0 1 3 2 3 8 19
Optimal Inference for Spot Regressions 0 0 1 7 3 4 19 45
Optimal nonparametric range-based volatility estimation 0 0 2 7 3 8 28 36
Order flow and the bid-ask spread: An empirical probability model of screen-based trading 0 0 1 194 5 6 18 518
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 1 1 17 1,110
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction 0 0 0 30 1 2 9 125
Prediction in dynamic models with time-dependent conditional variances 0 0 4 605 2 4 30 1,031
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 5 361 2 10 54 1,264
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal* 0 0 0 3 1 11 17 24
Realized Semicovariances 0 0 0 17 4 12 25 117
Realized semibetas: Disentangling “good” and “bad” downside risks 0 0 5 44 3 14 27 264
Realized volatility forecasting and market microstructure noise 1 1 3 143 9 15 29 561
Reprint of: Generalized Autoregressive Conditional Heteroskedasticity 2 2 8 16 4 8 28 48
Risk Everywhere: Modeling and Managing Volatility 0 0 2 29 4 8 24 135
Risk and return: Long-run relations, fractional cointegration, and return predictability 0 0 0 58 1 3 8 273
Risk, jumps, and diversification 0 3 3 207 1 4 9 565
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 3 7 17 701 23 39 92 1,962
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns 0 0 1 25 11 13 28 190
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data 0 0 0 90 3 4 11 247
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence 0 0 1 77 3 5 22 230
Stock return and cash flow predictability: The role of volatility risk 0 1 1 32 2 5 18 149
Stock returns and volatility: pricing the long-run and short-run components of market risk 0 0 0 48 2 7 14 173
Tail risk premia and return predictability 0 0 9 136 8 18 61 596
Tails, Fears, and Risk Premia 0 1 4 71 1 6 22 291
The Distribution of Realized Exchange Rate Volatility 0 0 4 214 7 15 46 713
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 2 5 23 1,086
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 2 5 22 1,051
The distribution of realized stock return volatility 0 1 9 868 8 12 46 2,261
The forward premium anomaly is not as bad as you think 0 0 0 538 3 4 12 1,141
The jump leverage risk premium 0 0 3 5 10 30 51 69
The long memory of the forward premium 0 0 0 279 1 2 6 596
Time-varying jump tails 0 0 2 51 3 3 16 154
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 0 1 6 14
Trading Patterns and Prices in the Interbank Foreign Exchange Market 0 0 0 289 2 3 11 766
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 0 1 2 170 1 3 14 661
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 19 2 5 12 97
Volatility puzzles: a simple framework for gauging return-volatility regressions 0 0 0 157 1 2 12 681
Volume, Volatility, and Public News Announcements 0 1 3 61 4 15 37 279
es modéles ARCH en finance: un point sur la théorie et les résultats empiriques 0 0 0 5 5 8 18 111
Total Journal Articles 44 126 417 39,993 556 1,165 3,753 112,350

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Arch models 0 2 12 1,338 3 14 62 3,269
Financial Risk Measurement for Financial Risk Management 0 1 2 62 14 18 58 394
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 251 8 12 24 788
Realized Beta: Persistence and Predictability 0 2 8 12 2 7 35 50
Volatility and Correlation Forecasting 2 5 9 686 8 25 84 2,427
Total Chapters 2 10 32 2,349 35 76 263 6,928

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