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 0 973 0 0 13 1,833
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 0 0 0 132 0 2 9 442
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 0 0 0 223 0 3 18 585
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 0 0 15 501
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 0 1 10 589
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 1 156 0 1 21 592
A framework for exploring the macroeconomic determinants of systematic risk 0 0 0 184 0 2 11 541
Analytic Evaluation of Volatility Forecasts 0 0 0 815 0 1 13 1,894
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 1 1,581 0 2 15 3,595
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 0 5 547
Bear Squeezes in the Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 0 15 292
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 0 6 0 0 3 82
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 0 0 0 0 7 13
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 119 0 2 11 457
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics 0 0 0 1 0 0 13 921
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 1 3 7 307
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 0 0 1 12 13
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 0 1 22 951
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 171 0 1 11 502
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 421 0 1 16 969
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 0 0 2 554 3 7 33 1,980
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions 0 0 0 68 0 0 5 175
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions 1 1 1 85 1 4 22 126
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities 0 0 0 218 0 0 13 527
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 0 0 0 439 0 2 14 1,061
Estimating stochastic volatility diffusion using conditional moments of integrated volatility 0 0 0 508 0 1 17 1,180
Estimation of Jump Tails 0 0 0 116 0 1 9 242
Estimation of Jump Tails 0 0 0 23 0 0 5 139
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 1 304 1 3 23 1,137
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 1 2 23 863
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 2 6 30 1,637
Expected Stock Returns and Variance Risk Premia 1 2 4 358 1 14 50 916
Expected Stock Returns and Variance Risk Premia 0 0 0 110 0 4 44 478
Expected stock returns and variance risk premia 1 1 5 409 4 7 67 1,183
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 0 1 6 319 1 5 22 738
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES 0 0 0 0 0 1 3 392
Financial Market Efficiency Tests 0 0 3 1,836 0 2 27 4,370
Financial Risk Measurement for Financial Risk Management 0 0 1 183 1 1 40 587
Financial Risk Measurement for Financial Risk Management 0 0 0 207 2 3 39 626
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 1 18 572
Generalized autoregressive conditional heteroskedasticity 4 8 57 833 11 42 248 2,443
Glossary to ARCH (GARCH) 0 0 5 916 1 4 30 1,879
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 549 0 0 20 1,689
High frequency data, frequency domain inference and volatility forecasting 0 0 0 544 0 1 12 1,210
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 1 9 334
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks 0 0 1 111 0 2 12 307
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 480 0 2 39 2,302
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 2 3 23 534
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 291 1 5 23 1,061
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 1 357 3 7 34 1,300
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 0 0 0 428 2 4 22 158
Modeling and Forecasting Realized Volatility 0 1 5 799 1 2 46 1,949
Modeling and Forecasting Realized Volatility 0 0 4 999 2 3 49 2,229
Modeling and Forecasting Realized Volatility 0 0 3 1,264 3 6 73 3,072
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 3 19 704
On Periodic Autogressive Conditional Heteroskedasticity 0 0 0 990 0 0 11 2,915
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES 0 0 0 2 0 1 11 897
Parametric and Nonparametric Volatility Measurement 0 0 0 830 0 0 23 2,134
Parametric and Nonparametric Volatility Measurement 0 0 0 692 0 1 20 1,626
Periodic Autoregressive Conditional Heteroskedasticity 0 0 1 194 0 2 10 562
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 1 1 8 698
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 0 0 27 926
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 1 1 31 1,222
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 0 0 17 872
Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances 0 0 0 0 1 2 44 2,027
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 1 150 2 5 21 529
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 1 2 15 693
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 0 2 19 822
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 0 1 17 1,021
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 144 0 0 12 571
Realized Beta: Persistence and Predictability 0 0 0 516 2 4 26 945
Realized beta: Persistence and predictability 0 0 1 222 1 2 24 664
Risk Everywhere: Modeling and Managing Volatility 0 0 3 85 2 4 34 214
Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability 0 0 0 179 0 1 6 492
Risk, Jumps, and Diversification 0 0 0 107 0 1 12 279
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 1 2 172 0 5 34 597
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 0 356 5 23 67 1,058
Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns 0 0 1 55 1 3 26 196
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 1 15 1,039
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 0 3 22 556
Stock Return and Cash Flow Predictability: The Role of Volatility Risk 0 0 0 103 1 2 23 233
Stock return predictability and variance risk premia: statistical inference and international evidence 0 0 0 129 1 3 27 330
Tail Risk Premia and Return Predictability 0 0 3 81 3 7 58 364
Tails, Fears and Risk Premia 0 1 5 60 5 7 35 285
Tails, Fears and Risk Premia 0 1 1 191 0 3 17 467
Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment 0 0 0 649 1 2 24 2,332
The Distribution of Exchange Rate Volatility 0 0 0 531 0 1 12 1,328
The Distribution of Exchange Rate Volatility 1 1 1 553 2 4 22 1,467
The Distribution of Exchange Rate Volatility 0 0 0 323 2 3 16 883
The Distribution of Stock Return Volatility 0 0 0 906 1 5 25 2,426
The Distribution of Stock Return Volatility 0 0 0 839 0 0 15 2,254
The Long Memory of the Foreward Premium 0 0 0 0 0 1 26 425
Volatility Forecasting 0 0 1 562 1 3 34 1,036
Volatility Forecasting 1 1 2 952 1 2 33 1,310
Volatility forecasting 0 0 1 339 1 2 28 763
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 203 0 3 6 412
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 21 0 0 17 169
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 7 0 0 11 127
Volatility puzzles: a unified framework for gauging return-volatility regressions 0 0 0 431 0 1 12 1,662
Volume, Volatility and Public News Announcements 1 2 4 115 1 3 26 284
Total Working Papers 10 21 133 34,727 81 287 2,442 98,852

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 16 3,041 5 8 88 7,736
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 3 11 22 1,709 7 28 94 4,192
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 0 2 18 510
A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom 0 0 0 0 0 0 3 147
A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects 0 0 0 157 0 2 28 507
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 0 0 0 378 1 2 16 781
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 0 2 100 0 1 28 412
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 0 0 360 0 2 14 1,015
ARCH modeling in finance: A review of the theory and empirical evidence 2 3 40 6,172 6 16 141 11,885
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 10 31 201 5,045
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 0 27 0 0 1 160
Bid--ask spreads and volatility in the foreign exchange market: An empirical analysis 0 0 1 588 2 4 22 1,302
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model 0 2 2 400 0 4 17 958
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 0 0 1 368 0 0 33 927
Comment 0 0 0 29 1 2 6 152
Common Persistence in Conditional Variances 0 0 0 373 0 0 15 966
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 0 170 0 2 42 621
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 0 231 1 1 9 688
Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65] 0 0 0 57 1 1 12 177
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 0 2 21 0 1 13 92
Dan Nelson Remembered 0 0 0 0 0 0 6 460
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 0 0 2 219 1 4 29 762
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 0 0 0 38 1 1 27 235
Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies 0 0 0 0 0 1 6 1,196
Equity clusters through the lens of realized semicorrelations 0 1 1 4 1 2 17 35
Estimating stochastic volatility diffusion using conditional moments of integrated volatility 0 0 0 235 1 2 18 607
Estimation of Jump Tails 0 0 0 37 0 2 10 201
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 18 0 0 29 168
Expected Stock Returns and Variance Risk Premia 1 4 13 240 37 81 198 998
Exploiting the errors: A simple approach for improved volatility forecasting 1 1 7 253 7 14 68 847
Financial econometrics: Past developments and future challenges 0 0 0 240 1 1 10 456
Fixed‐k inference for volatility 0 0 1 3 0 0 15 31
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 0 0 3 564 1 2 23 1,419
Fractionally integrated generalized autoregressive conditional heteroskedasticity 0 0 4 1,478 4 9 82 3,472
From zero to hero: Realized partial (co)variances 0 0 1 7 0 5 20 35
Generalized Jump Regressions for Local Moments 0 0 0 1 0 0 9 15
Generalized autoregressive conditional heteroskedasticity 16 34 151 8,262 51 137 830 20,701
Good Volatility, Bad Volatility, and the Cross Section of Stock Returns 0 1 6 72 8 22 68 288
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 0 198 1 3 47 710
High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting 0 0 0 190 0 1 16 641
High-dimensional multivariate realized volatility estimation 0 0 0 8 0 1 7 41
Intra-Day and Inter-Market Volatility in Foreign Exchange Rates 0 0 0 476 0 1 14 1,204
Intraday and interday volatility in the Japanese stock market 0 0 0 229 2 4 16 924
Intraday periodicity and volatility persistence in financial markets 2 4 7 1,303 14 41 125 2,748
Investor Attention and Time‐varying Comovements 0 0 0 30 1 1 11 149
Jump tails, extreme dependencies, and the distribution of stock returns 0 0 1 128 0 1 21 427
Jumps and betas: A new framework for disentangling and estimating systematic risks 0 0 0 98 0 2 14 374
Leverage and Volatility Feedback Effects in High-Frequency Data 0 0 1 174 1 1 12 497
Long-term equity anticipation securities and stock market volatility dynamics 0 0 0 176 0 1 9 612
Measuring and modeling systematic risk in factor pricing models using high-frequency data 0 0 0 317 2 4 14 811
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 2 6 28 620 14 29 155 2,114
Modeling and Forecasting Realized Volatility 0 0 0 1,158 5 28 212 3,876
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 0 0 3 31 1 5 24 113
Modeling and pricing long memory in stock market volatility 2 2 6 1,106 2 5 59 2,394
Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model 2 4 21 2,187 8 20 107 5,194
Multivariate leverage effects and realized semicovariance GARCH models 0 0 0 5 0 0 15 72
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 2 145 2 3 19 532
ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS 1 1 2 24 1 2 12 67
Occupation density estimation for noisy high-frequency data 0 0 1 3 0 1 9 20
Optimal Inference for Spot Regressions 0 0 2 8 0 0 15 47
Optimal nonparametric range-based volatility estimation 0 0 1 7 2 4 30 40
Order flow and the bid-ask spread: An empirical probability model of screen-based trading 0 0 1 194 0 1 21 522
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 0 1 13 1,112
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction 0 0 0 30 0 0 7 125
Prediction in dynamic models with time-dependent conditional variances 0 0 3 605 1 2 30 1,034
Real-time price discovery in global stock, bond and foreign exchange markets 2 3 6 365 5 14 63 1,293
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal* 0 0 0 3 1 1 17 25
Realized Semicovariances 0 0 0 17 1 5 27 123
Realized semibetas: Disentangling “good” and “bad” downside risks 0 0 4 44 4 16 50 288
Realized volatility forecasting and market microstructure noise 0 0 2 143 1 4 33 568
Reprint of: Generalized Autoregressive Conditional Heteroskedasticity 0 0 6 16 0 3 26 53
Risk Everywhere: Modeling and Managing Volatility 0 0 1 29 2 6 27 145
Risk and return: Long-run relations, fractional cointegration, and return predictability 0 0 0 58 2 2 9 275
Risk, jumps, and diversification 0 0 3 207 1 3 16 573
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 0 5 23 711 2 19 120 2,005
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns 0 1 2 26 2 5 32 197
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data 0 0 0 90 2 2 14 250
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence 0 0 1 77 1 3 21 233
Stock return and cash flow predictability: The role of volatility risk 0 0 1 32 2 2 19 153
Stock returns and volatility: pricing the long-run and short-run components of market risk 0 0 0 48 0 0 16 176
Tail risk premia and return predictability 0 1 7 137 3 15 69 619
Tails, Fears, and Risk Premia 0 0 3 71 3 9 31 304
The Distribution of Realized Exchange Rate Volatility 0 1 3 215 0 6 50 722
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 1 2 24 1,053
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 1 3 23 1,089
The distribution of realized stock return volatility 0 0 8 872 1 5 58 2,283
The forward premium anomaly is not as bad as you think 0 0 0 538 0 0 12 1,141
The jump leverage risk premium 0 0 1 5 3 6 61 86
The long memory of the forward premium 0 0 0 279 1 2 7 598
Time-varying jump tails 1 1 2 52 1 2 16 157
Towards a unified framework for high and low frequency return volatility modeling 0 0 0 1 0 0 5 14
Trading Patterns and Prices in the Interbank Foreign Exchange Market 0 0 0 289 0 0 11 768
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns 0 0 2 171 0 2 13 665
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 19 0 0 11 98
Volatility puzzles: a simple framework for gauging return-volatility regressions 0 0 0 157 1 2 12 685
Volume, Volatility, and Public News Announcements 0 0 3 61 3 4 36 286
es modéles ARCH en finance: un point sur la théorie et les résultats empiriques 0 0 0 5 0 0 18 112
Total Journal Articles 36 89 432 40,149 248 695 4,247 113,636

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Arch models 0 0 7 1,338 3 8 70 3,287
Financial Risk Measurement for Financial Risk Management 0 0 2 62 1 4 59 400
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 2 252 1 4 29 794
Realized Beta: Persistence and Predictability 0 1 5 15 1 8 26 63
Volatility and Correlation Forecasting 0 2 12 692 4 11 94 2,451
Total Chapters 0 4 28 2,359 10 35 278 6,995

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-10-11