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 DiscreteTime Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 
0 
0 
1 
125 
5 
7 
12 
375 
A DiscreteTime 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 HIGHFREQUENCY 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 
ContinuousTime Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 
0 
0 
0 
60 
3 
5 
13 
241 
Continuoustime 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 HighFrequency Data and Realized Volatilities 
0 
0 
1 
170 
2 
4 
8 
436 
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on HighFrequency Data and Realized Volatilities 
0 
0 
0 
419 
1 
3 
7 
922 
DMDollar 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 LongerRun Predictions 
0 
0 
1 
61 
2 
3 
9 
128 
Daily House Price Indices: Construction, Modeling, and LongerRun Predictions 
0 
1 
2 
79 
0 
5 
9 
83 
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from OptionImplied and Realized Volatilities 
0 
0 
0 
217 
5 
5 
8 
488 
Dynamic estimation of volatility risk premia and investor risk aversion from optionimplied 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 LongRun 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: RealTime Price Discovery in Foreign Exchange 
0 
0 
1 
47 
0 
2 
11 
341 
Micro Effects of Macro Announcements: RealTime Price Discovery in Foreign Exchange 
0 
1 
1 
283 
3 
5 
16 
896 
Micro Effects of Macro Announcements: RealTime Price Discovery in Foreign Exchange 
0 
1 
2 
474 
3 
13 
32 
2,059 
Micro Effects of Macro Announcements: RealTime 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 
NoArbitrage SemiMartingale Restrictions for ContinuousTime 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 
QuasiMaximum Likelihood Estimation of Dynamic Models with TimeVarying Covariances 
0 
0 
0 
0 
1 
6 
27 
1,860 
RealTime Price Discovery in Global Stock, Bond and Foreign Exchange Markets 
0 
0 
3 
144 
4 
6 
17 
400 
RealTime Price Discovery in Stock, Bond and Foreign Exchange Markets 
0 
0 
1 
217 
1 
3 
13 
644 
RealTime Price Discovery in Stock, Bond and Foreign Exchange Markets 
0 
0 
1 
179 
1 
1 
7 
771 
Realtime price discovery in global stock, bond and foreign exchange markets 
0 
0 
0 
268 
3 
4 
11 
840 
Realtime 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: LongRun 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 CrossSection 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 returnvolatility 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 TimeVarying 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 discretetime 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 
Bidask 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 GARCHNIG 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 
Continuoustime 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 HighFrequency 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) 3365] 
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 optionimplied and realized volatilities 
2 
3 
9 
179 
10 
13 
37 
581 
Dynamic estimation of volatility risk premia and investor risk aversion from optionimplied and realized volatilities 
0 
0 
0 
30 
2 
4 
10 
160 
Equity Trading Volume and Volatility: Latent Information Arrivals and Common LongRun 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 visavis 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 LongRun in High Frequency Returns 
1 
2 
2 
189 
3 
8 
17 
579 
HighFrequency Data, Frequency Domain Inference, And Volatility Forecasting 
0 
0 
0 
187 
0 
3 
9 
598 
Highdimensional multivariate realized volatility estimation 
1 
1 
1 
1 
5 
5 
5 
5 
IntraDay and InterMarket 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 HighFrequency Data 
0 
0 
1 
156 
0 
3 
13 
415 
Longterm 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 highfrequency data 
0 
1 
1 
293 
2 
4 
8 
733 
Micro Effects of Macro Announcements: RealTime 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 Shortrun Nominal Exchange Rates: A Multivariate Generalized ARCH Model 
12 
36 
140 
1,954 
24 
80 
345 
4,326 
Noarbitrage semimartingale restrictions for continuoustime 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 bidask spread: An empirical probability model of screenbased trading 
1 
5 
5 
181 
3 
9 
13 
456 
Periodic Autoregressive Conditional Heteroscedasticity 
0 
0 
0 
0 
5 
7 
40 
1,001 
Periodicity, Nonstationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction 
0 
0 
0 
28 
0 
1 
2 
108 
Prediction in dynamic models with timedependent conditional variances 
0 
0 
6 
550 
1 
8 
22 
881 
Realtime 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: Longrun 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 longmemory volatility dependencies: The role of highfrequency 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 longrun and shortrun 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 ConditionalVariance Tale 
0 
0 
0 
0 
1 
4 
8 
994 
The Message in Daily Exchange Rates: A ConditionalVariance 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 
Timevarying 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 returnvolatility 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

