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 2 960 1 2 10 1,687
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 0 0 1 125 5 7 12 375
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 0 0 1 219 4 9 14 523
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 205 0 5 11 500
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 0 0 9 398
A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures 0 0 0 151 2 4 42 463
A framework for exploring the macroeconomic determinants of systematic risk 0 0 0 181 1 2 3 438
Analytic Evaluation of Volatility Forecasts 0 1 1 811 1 4 6 1,815
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts 0 0 4 1,566 2 4 13 3,411
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 1 4 522
Bear Squeezes in the Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 0 1 272
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 1 2 4 6 12 40
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 0 0 0 111 0 3 13 413
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics 0 0 0 1 0 0 3 876
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 60 3 5 13 241
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 1 1 368 2 8 15 861
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 1 170 2 4 8 436
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities 0 0 0 419 1 3 7 922
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 2 2 3 548 4 9 13 1,785
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions 0 0 1 61 2 3 9 128
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions 0 1 2 79 0 5 9 83
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities 0 0 0 217 5 5 8 488
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 0 1 1 435 4 7 14 1,021
Estimating stochastic volatility diffusion using conditional moments of integrated volatility 0 0 0 506 3 7 14 1,143
Estimation of Jump Tails 0 0 0 115 0 2 6 223
Estimation of Jump Tails 0 0 0 23 1 3 7 115
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 1 1 1 303 4 5 10 1,047
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 1 3 6 768
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 1 1 1 487 4 5 9 1,570
Expected Stock Returns and Variance Risk Premia 0 0 1 104 6 11 24 380
Expected Stock Returns and Variance Risk Premia 0 0 2 341 4 9 21 801
Expected stock returns and variance risk premia 0 1 2 388 6 11 26 1,027
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 0 1 7 272 5 11 52 554
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES 0 0 0 0 0 0 17 382
Financial Market Efficiency Tests 0 0 2 1,822 5 7 18 4,287
Financial Risk Measurement for Financial Risk Management 0 0 1 224 9 12 32 408
Financial Risk Measurement for Financial Risk Management 1 2 3 169 7 10 29 408
Financial Risk Measurement for Financial Risk Management 0 0 1 189 5 6 15 493
Generalized autoregressive conditional heteroskedasticity 10 33 139 479 36 83 322 1,272
Glossary to ARCH (GARCH) 1 1 9 843 5 16 47 1,594
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 0 0 1 543 5 7 20 1,573
High frequency data, frequency domain inference and volatility forecasting 0 0 2 542 2 4 15 1,170
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES 0 0 0 4 2 2 8 981
Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns 0 0 0 193 1 3 9 294
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks 0 0 1 108 2 4 8 228
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 47 0 2 11 341
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 1 283 3 5 16 896
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 2 474 3 13 32 2,059
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 1 3 350 3 11 34 1,150
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 0 0 5 420 3 3 13 98
Modeling and Forecasting Realized Volatility 0 1 4 1,242 2 5 27 2,868
Modeling and Forecasting Realized Volatility 0 1 3 986 2 10 27 2,108
Modeling and Forecasting Realized Volatility 1 2 7 780 3 7 28 1,735
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 2 228 1 3 6 589
On Periodic Autogressive Conditional Heteroskedasticity 0 0 2 987 0 0 4 2,890
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES 0 0 0 2 0 0 1 861
Parametric and Nonparametric Volatility Measurement 0 0 2 688 1 5 24 1,541
Parametric and Nonparametric Volatility Measurement 1 2 7 810 1 2 20 1,990
Periodic Autoregressive Conditional Heteroskedasticity 0 0 4 186 3 3 17 499
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 3 4 8 652
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 415 3 4 11 837
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 563 4 6 13 1,136
Practical volatility and correlation modeling for financial market risk management 0 0 2 392 3 4 8 771
Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances 0 0 0 0 1 6 27 1,860
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 3 144 4 6 17 400
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 1 217 1 3 13 644
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 1 179 1 1 7 771
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 0 268 3 4 11 840
Real-time price discovery in stock, bond and foreign exchange markets 0 0 1 142 1 3 8 521
Realized Beta: Persistence and Predictability 1 3 9 502 6 10 18 856
Realized beta: Persistence and predictability 1 2 4 209 6 11 31 512
Risk Everywhere: Modeling and Managing Volatility 0 0 10 51 4 7 30 61
Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability 0 0 2 167 3 4 8 430
Risk, Jumps, and Diversification 0 1 2 99 2 6 14 241
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 1 1 4 156 3 5 70 473
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 1 350 1 5 16 851
Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns 0 0 3 47 3 4 21 133
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 1 1 4 346 4 5 12 955
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 1 159 1 3 9 485
Stock Return and Cash Flow Predictability: The Role of Volatility Risk 0 0 0 99 1 6 13 188
Stock return predictability and variance risk premia: statistical inference and international evidence 0 0 4 121 1 4 23 261
Tail Risk Premia and Return Predictability 0 1 4 56 4 7 15 169
Tails, Fears and Risk Premia 0 0 1 190 1 2 4 418
Tails, Fears and Risk Premia 0 0 3 49 4 11 19 215
Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment 0 0 1 646 1 1 3 2,289
The Distribution of Exchange Rate Volatility 1 1 2 319 2 3 8 826
The Distribution of Exchange Rate Volatility 0 1 2 540 3 7 11 1,355
The Distribution of Exchange Rate Volatility 0 1 1 519 2 5 9 1,189
The Distribution of Stock Return Volatility 1 1 6 832 1 2 18 2,202
The Distribution of Stock Return Volatility 1 1 4 901 5 8 25 2,207
The Long Memory of the Foreward Premium 0 0 0 0 1 2 7 382
Volatility Forecasting 0 0 2 533 3 3 13 841
Volatility Forecasting 0 0 4 940 3 10 26 1,193
Volatility forecasting 0 0 3 328 4 7 15 607
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 21 2 6 10 120
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 202 2 10 12 392
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 7 18 28 30 103
Volatility puzzles: a unified framework for gauging return-volatility regressions 0 0 0 430 2 3 10 1,627
Volume, Volatility and Public News Announcements 0 1 5 95 4 5 20 197
Total Working Papers 25 70 325 33,555 302 617 1,867 88,251
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 10 28 109 2,737 25 58 258 6,853
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 4 10 45 1,565 11 31 135 3,732
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 1 104 4 5 12 413
A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom 0 0 0 0 0 0 0 139
A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects 0 0 3 145 3 6 18 427
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 1 1 5 374 3 6 16 744
A reduced form framework for modeling volatility of speculative prices based on realized variation measures 0 1 4 83 2 6 22 272
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS 0 3 8 356 0 4 14 943
ARCH modeling in finance: A review of the theory and empirical evidence 9 13 95 5,697 19 50 274 10,673
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts 0 0 0 3 9 33 135 4,053
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 1 26 4 6 7 143
Bid--ask spreads and volatility in the foreign exchange market: An empirical analysis 1 4 10 526 4 10 31 1,138
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model 1 2 5 390 6 12 30 907
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 0 3 15 344 3 13 45 827
Comment 0 0 0 26 1 1 4 131
Common Persistence in Conditional Variances 0 0 1 368 3 3 12 906
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 2 6 164 2 7 24 513
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 0 0 0 222 0 3 5 640
Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65] 0 0 1 57 0 0 1 161
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 0 0 13 1 1 5 53
Dan Nelson Remembered 0 0 0 0 0 0 0 447
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 2 3 9 179 10 13 37 581
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 0 0 0 30 2 4 10 160
Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies 0 0 0 0 2 5 8 1,160
Estimating stochastic volatility diffusion using conditional moments of integrated volatility 0 0 0 213 1 5 5 531
Estimation of Jump Tails 0 0 0 36 2 4 16 161
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 2 12 1 4 13 60
Expected Stock Returns and Variance Risk Premia 0 1 13 153 8 15 63 512
Exploiting the errors: A simple approach for improved volatility forecasting 1 4 28 74 12 25 93 274
Financial econometrics: Past developments and future challenges 0 0 0 234 0 1 5 414
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon 3 6 26 502 8 20 69 1,212
Fractionally integrated generalized autoregressive conditional heteroskedasticity 3 10 44 1,324 6 24 108 2,865
Generalized autoregressive conditional heteroskedasticity 21 67 231 7,389 66 190 802 16,525
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns 1 2 2 189 3 8 17 579
High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting 0 0 0 187 0 3 9 598
High-dimensional multivariate realized volatility estimation 1 1 1 1 5 5 5 5
Intra-Day and Inter-Market Volatility in Foreign Exchange Rates 0 0 8 453 1 5 26 1,127
Intraday and interday volatility in the Japanese stock market 1 3 3 206 4 6 13 804
Intraday periodicity and volatility persistence in financial markets 2 10 48 1,143 9 37 137 2,168
Investor Attention and Time‐varying Comovements 0 0 0 27 1 2 4 111
Jump tails, extreme dependencies, and the distribution of stock returns 1 2 5 111 5 10 21 330
Jumps and betas: A new framework for disentangling and estimating systematic risks 0 0 0 84 4 5 15 246
Leverage and Volatility Feedback Effects in High-Frequency Data 0 0 1 156 0 3 13 415
Long-term equity anticipation securities and stock market volatility dynamics 1 2 4 172 1 2 6 575
Measuring and modeling systematic risk in factor pricing models using high-frequency data 0 1 1 293 2 4 8 733
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 8 20 544 13 37 91 1,670
Modeling and Forecasting Realized Volatility 1 2 27 1,144 5 16 119 3,280
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 0 0 5 5 1 2 21 21
Modeling and pricing long memory in stock market volatility 0 13 42 949 5 29 96 1,922
Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model 12 36 140 1,954 24 80 345 4,326
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 2 107 2 3 8 364
ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS 0 0 0 0 0 0 0 0
Order flow and the bid-ask spread: An empirical probability model of screen-based trading 1 5 5 181 3 9 13 456
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 5 7 40 1,001
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction 0 0 0 28 0 1 2 108
Prediction in dynamic models with time-dependent conditional variances 0 0 6 550 1 8 22 881
Real-time price discovery in global stock, bond and foreign exchange markets 2 3 8 339 8 14 46 1,023
Realized volatility forecasting and market microstructure noise 0 0 3 108 3 6 16 357
Risk Everywhere: Modeling and Managing Volatility 0 0 6 6 2 5 17 17
Risk and return: Long-run relations, fractional cointegration, and return predictability 1 1 2 40 3 8 17 191
Risk, jumps, and diversification 0 0 0 190 4 5 9 502
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 0 2 14 603 4 16 64 1,498
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns 0 1 1 6 4 7 12 74
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data 0 0 0 87 1 5 12 220
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence 1 1 9 47 4 5 22 112
Stock return and cash flow predictability: The role of volatility risk 0 0 1 24 1 1 7 96
Stock returns and volatility: pricing the long-run and short-run components of market risk 0 0 0 46 0 2 7 140
Tail risk premia and return predictability 1 5 16 60 7 16 49 190
Tails, Fears, and Risk Premia 2 3 4 54 5 11 23 204
The Distribution of Realized Exchange Rate Volatility 0 1 7 189 2 8 33 552
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 1 4 8 994
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 2 7 40 982
The distribution of realized stock return volatility 2 4 15 773 7 16 64 1,803
The forward premium anomaly is not as bad as you think 1 1 9 512 1 3 27 1,060
The long memory of the forward premium 0 2 10 273 0 3 26 569
Time-varying jump tails 2 3 6 24 3 5 22 83
Towards a unified framework for high and low frequency return volatility modeling 0 0 1 1 0 0 2 2
Trading Patterns and Prices in the Interbank Foreign Exchange Market 2 2 5 250 3 3 23 672
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 1 1 1 18 3 7 8 66
Volatility puzzles: a simple framework for gauging return-volatility regressions 0 0 2 143 1 6 12 627
Volume, Volatility, and Public News Announcements 2 5 12 12 12 22 67 67
es modéles ARCH en finance: un point sur la théorie et les résultats empiriques 0 0 0 2 1 4 6 18
Total Journal Articles 95 279 1,114 35,637 394 1,036 3,947 92,409
1 registered items for which data could not be found


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Arch models 4 14 54 1,180 15 38 141 2,746
Financial Risk Measurement for Financial Risk Management 1 4 8 37 10 14 38 123
Practical Volatility and Correlation Modeling for Financial Market Risk Management 1 1 1 236 4 6 11 668
Volatility and Correlation Forecasting 4 8 31 550 8 25 135 1,909
Total Chapters 10 27 94 2,003 37 83 325 5,446


Statistics updated 2019-11-03