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 |
973 |
0 |
2 |
8 |
1,819 |
| A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects |
0 |
0 |
0 |
132 |
1 |
1 |
3 |
432 |
| A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects |
0 |
0 |
0 |
223 |
1 |
2 |
5 |
566 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
187 |
0 |
1 |
5 |
486 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
207 |
1 |
2 |
5 |
579 |
| A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures |
0 |
0 |
0 |
155 |
1 |
1 |
1 |
571 |
| A framework for exploring the macroeconomic determinants of systematic risk |
0 |
0 |
1 |
184 |
0 |
0 |
3 |
530 |
| Analytic Evaluation of Volatility Forecasts |
0 |
0 |
0 |
815 |
0 |
0 |
3 |
1,881 |
| Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
1 |
1 |
2 |
1,580 |
2 |
4 |
9 |
3,580 |
| Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
541 |
| Bear Squeezes in the Hyperinflation 1920s Foreign Exchange |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
277 |
| Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
| Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange |
0 |
0 |
0 |
6 |
2 |
3 |
4 |
79 |
| CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES |
0 |
0 |
0 |
119 |
1 |
1 |
2 |
446 |
| Cointegration, Fractional Cointegration, and Exchange RAte Dynamics |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
908 |
| Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
61 |
2 |
3 |
4 |
300 |
| Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns |
0 |
0 |
0 |
373 |
1 |
2 |
6 |
929 |
| Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
421 |
0 |
1 |
2 |
952 |
| Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
171 |
0 |
0 |
1 |
491 |
| DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies |
0 |
0 |
0 |
552 |
1 |
1 |
3 |
1,947 |
| Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions |
0 |
0 |
0 |
68 |
0 |
1 |
2 |
169 |
| Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions |
0 |
0 |
0 |
84 |
0 |
0 |
2 |
104 |
| Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities |
0 |
0 |
0 |
218 |
1 |
2 |
3 |
514 |
| Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities |
0 |
0 |
0 |
439 |
0 |
2 |
2 |
1,047 |
| Estimating stochastic volatility diffusion using conditional moments of integrated volatility |
0 |
0 |
0 |
508 |
0 |
0 |
0 |
1,163 |
| Estimation of Jump Tails |
0 |
0 |
0 |
23 |
0 |
0 |
2 |
133 |
| Estimation of Jump Tails |
0 |
0 |
0 |
116 |
1 |
1 |
4 |
233 |
| Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian |
0 |
0 |
0 |
303 |
0 |
0 |
1 |
1,114 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
1 |
495 |
2 |
3 |
5 |
1,607 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
0 |
304 |
0 |
0 |
0 |
840 |
| Expected Stock Returns and Variance Risk Premia |
0 |
0 |
1 |
110 |
0 |
1 |
4 |
434 |
| Expected Stock Returns and Variance Risk Premia |
0 |
0 |
0 |
354 |
0 |
3 |
3 |
863 |
| Expected stock returns and variance risk premia |
0 |
0 |
0 |
404 |
2 |
3 |
7 |
1,115 |
| Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting |
0 |
2 |
5 |
313 |
0 |
4 |
13 |
716 |
| FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
389 |
| Financial Market Efficiency Tests |
0 |
0 |
0 |
1,833 |
0 |
0 |
5 |
4,343 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
0 |
247 |
1 |
1 |
5 |
553 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
3 |
181 |
1 |
3 |
14 |
544 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
1 |
207 |
0 |
0 |
4 |
585 |
| Generalized autoregressive conditional heteroskedasticity |
2 |
7 |
32 |
773 |
9 |
36 |
122 |
2,180 |
| Glossary to ARCH (GARCH) |
0 |
2 |
5 |
910 |
12 |
25 |
44 |
1,839 |
| Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
0 |
1 |
549 |
0 |
2 |
5 |
1,668 |
| High frequency data, frequency domain inference and volatility forecasting |
0 |
0 |
0 |
544 |
0 |
0 |
1 |
1,198 |
| INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
1,001 |
| Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns |
0 |
0 |
0 |
199 |
1 |
1 |
3 |
325 |
| Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks |
0 |
0 |
0 |
110 |
2 |
2 |
3 |
295 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
0 |
52 |
1 |
1 |
2 |
511 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
0 |
478 |
0 |
0 |
5 |
2,262 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
2 |
289 |
0 |
0 |
4 |
1,036 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? |
0 |
0 |
2 |
356 |
0 |
1 |
5 |
1,266 |
| Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions |
0 |
0 |
1 |
428 |
0 |
0 |
5 |
135 |
| Modeling and Forecasting Realized Volatility |
1 |
3 |
4 |
794 |
3 |
7 |
10 |
1,901 |
| Modeling and Forecasting Realized Volatility |
0 |
2 |
4 |
995 |
1 |
5 |
15 |
2,180 |
| Modeling and Forecasting Realized Volatility |
0 |
0 |
1 |
1,261 |
0 |
4 |
22 |
2,996 |
| 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 |
2 |
3 |
685 |
| On Periodic Autogressive Conditional Heteroskedasticity |
0 |
0 |
0 |
990 |
0 |
0 |
1 |
2,904 |
| PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES |
0 |
0 |
0 |
2 |
0 |
1 |
2 |
884 |
| Parametric and Nonparametric Volatility Measurement |
0 |
0 |
0 |
692 |
0 |
0 |
5 |
1,605 |
| Parametric and Nonparametric Volatility Measurement |
0 |
0 |
3 |
830 |
0 |
1 |
5 |
2,111 |
| Periodic Autoregressive Conditional Heteroskedasticity |
0 |
0 |
1 |
193 |
1 |
1 |
3 |
552 |
| Periodic Autoregressive Conditional Heteroskedasticity |
0 |
0 |
0 |
3 |
1 |
1 |
3 |
690 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
0 |
569 |
0 |
0 |
0 |
1,190 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
2 |
421 |
0 |
0 |
6 |
898 |
| Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
2 |
397 |
0 |
0 |
5 |
854 |
| Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances |
0 |
0 |
0 |
0 |
1 |
2 |
11 |
1,983 |
| Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
149 |
0 |
0 |
1 |
508 |
| Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
181 |
1 |
1 |
1 |
802 |
| Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
218 |
1 |
3 |
8 |
678 |
| Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
0 |
2 |
278 |
0 |
1 |
5 |
1,003 |
| Real-time price discovery in stock, bond and foreign exchange markets |
0 |
0 |
1 |
144 |
0 |
1 |
3 |
559 |
| Realized Beta: Persistence and Predictability |
0 |
0 |
1 |
516 |
0 |
0 |
7 |
919 |
| Realized beta: Persistence and predictability |
0 |
1 |
3 |
221 |
0 |
1 |
7 |
639 |
| Risk Everywhere: Modeling and Managing Volatility |
0 |
1 |
2 |
81 |
3 |
5 |
15 |
178 |
| Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability |
0 |
0 |
0 |
179 |
1 |
2 |
3 |
486 |
| Risk, Jumps, and Diversification |
0 |
0 |
0 |
107 |
0 |
0 |
0 |
267 |
| Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
2 |
4 |
169 |
1 |
4 |
17 |
562 |
| Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
1 |
2 |
356 |
0 |
4 |
9 |
991 |
| Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns |
1 |
1 |
2 |
54 |
2 |
2 |
4 |
170 |
| 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 |
2 |
5 |
1,024 |
| 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 |
163 |
2 |
3 |
7 |
534 |
| Stock Return and Cash Flow Predictability: The Role of Volatility Risk |
0 |
0 |
0 |
103 |
0 |
1 |
1 |
208 |
| Stock return predictability and variance risk premia: statistical inference and international evidence |
0 |
0 |
1 |
129 |
1 |
2 |
7 |
303 |
| Tail Risk Premia and Return Predictability |
1 |
2 |
4 |
78 |
1 |
3 |
8 |
306 |
| Tails, Fears and Risk Premia |
0 |
0 |
0 |
190 |
2 |
2 |
3 |
449 |
| Tails, Fears and Risk Premia |
0 |
0 |
1 |
55 |
0 |
0 |
2 |
249 |
| Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment |
1 |
1 |
1 |
649 |
1 |
1 |
1 |
2,308 |
| The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
531 |
0 |
1 |
3 |
1,316 |
| The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
323 |
2 |
3 |
9 |
867 |
| The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
552 |
0 |
0 |
4 |
1,445 |
| The Distribution of Stock Return Volatility |
0 |
0 |
0 |
839 |
0 |
1 |
4 |
2,238 |
| The Distribution of Stock Return Volatility |
0 |
0 |
0 |
906 |
0 |
1 |
4 |
2,401 |
| The Long Memory of the Foreward Premium |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
398 |
| Volatility Forecasting |
0 |
0 |
3 |
561 |
0 |
1 |
8 |
1,001 |
| Volatility Forecasting |
0 |
0 |
0 |
950 |
3 |
3 |
9 |
1,277 |
| Volatility forecasting |
0 |
0 |
3 |
338 |
0 |
0 |
6 |
735 |
| Volatility in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
21 |
0 |
2 |
2 |
152 |
| Volatility in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
203 |
0 |
0 |
1 |
405 |
| Volatility in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
7 |
0 |
1 |
1 |
116 |
| Volatility puzzles: a unified framework for gauging return-volatility regressions |
0 |
0 |
0 |
431 |
0 |
1 |
2 |
1,650 |
| Volume, Volatility and Public News Announcements |
0 |
0 |
1 |
111 |
1 |
2 |
5 |
257 |
| Total Working Papers |
7 |
26 |
111 |
34,586 |
79 |
196 |
609 |
96,336 |
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 |
0 |
1 |
18 |
3,025 |
4 |
13 |
64 |
7,646 |
| A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return |
2 |
5 |
12 |
1,686 |
3 |
11 |
40 |
4,096 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
106 |
3 |
3 |
4 |
491 |
| A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
144 |
| A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects |
0 |
1 |
1 |
157 |
3 |
6 |
7 |
477 |
| A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets |
0 |
0 |
1 |
378 |
0 |
0 |
3 |
765 |
| A reduced form framework for modeling volatility of speculative prices based on realized variation measures |
0 |
0 |
1 |
98 |
0 |
1 |
7 |
384 |
| ANALYTICAL EVALUATION OF VOLATILITY FORECASTS |
0 |
0 |
0 |
360 |
1 |
1 |
5 |
1,000 |
| ARCH modeling in finance: A review of the theory and empirical evidence |
1 |
3 |
40 |
6,131 |
7 |
20 |
87 |
11,735 |
| Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts |
0 |
0 |
0 |
3 |
6 |
19 |
75 |
4,838 |
| Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange |
0 |
1 |
1 |
27 |
0 |
2 |
2 |
159 |
| Bid--ask spreads and volatility in the foreign exchange market: An empirical analysis |
0 |
0 |
3 |
587 |
0 |
1 |
16 |
1,279 |
| Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model |
0 |
0 |
1 |
398 |
1 |
1 |
6 |
941 |
| Cointegration, Fractional Cointegration, and Exchange Rate Dynamics |
0 |
0 |
1 |
367 |
0 |
0 |
5 |
894 |
| Comment |
0 |
0 |
0 |
29 |
0 |
0 |
2 |
146 |
| Common Persistence in Conditional Variances |
0 |
0 |
1 |
373 |
1 |
1 |
4 |
951 |
| Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns |
0 |
1 |
1 |
170 |
1 |
2 |
6 |
579 |
| Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities |
0 |
0 |
1 |
231 |
0 |
0 |
2 |
679 |
| Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65] |
0 |
0 |
0 |
57 |
0 |
1 |
1 |
165 |
| Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions |
0 |
0 |
0 |
19 |
0 |
1 |
1 |
79 |
| Dan Nelson Remembered |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
454 |
| Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities |
0 |
0 |
0 |
38 |
1 |
2 |
6 |
208 |
| Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities |
0 |
0 |
1 |
217 |
0 |
2 |
7 |
733 |
| Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
1,190 |
| Equity clusters through the lens of realized semicorrelations |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
17 |
| Estimating stochastic volatility diffusion using conditional moments of integrated volatility |
0 |
0 |
0 |
235 |
1 |
1 |
8 |
589 |
| Estimation of Jump Tails |
0 |
0 |
0 |
37 |
0 |
1 |
2 |
191 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
3 |
18 |
0 |
2 |
15 |
138 |
| Expected Stock Returns and Variance Risk Premia |
0 |
1 |
4 |
225 |
7 |
12 |
32 |
791 |
| Exploiting the errors: A simple approach for improved volatility forecasting |
0 |
3 |
9 |
245 |
7 |
13 |
34 |
778 |
| Financial econometrics: Past developments and future challenges |
0 |
0 |
0 |
240 |
0 |
1 |
2 |
446 |
| Fixed‐k inference for volatility |
0 |
1 |
1 |
2 |
0 |
1 |
5 |
16 |
| Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon |
0 |
3 |
8 |
560 |
3 |
8 |
16 |
1,395 |
| Fractionally integrated generalized autoregressive conditional heteroskedasticity |
1 |
2 |
14 |
1,473 |
6 |
37 |
70 |
3,386 |
| From zero to hero: Realized partial (co)variances |
0 |
0 |
0 |
5 |
1 |
2 |
5 |
14 |
| Generalized Jump Regressions for Local Moments |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
6 |
| Generalized autoregressive conditional heteroskedasticity |
10 |
31 |
83 |
8,101 |
54 |
137 |
459 |
19,826 |
| Good Volatility, Bad Volatility, and the Cross Section of Stock Returns |
0 |
0 |
2 |
66 |
2 |
2 |
9 |
220 |
| Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
0 |
2 |
198 |
0 |
5 |
12 |
661 |
| High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting |
0 |
0 |
0 |
190 |
0 |
0 |
4 |
625 |
| High-dimensional multivariate realized volatility estimation |
0 |
0 |
1 |
8 |
0 |
0 |
2 |
34 |
| Intra-Day and Inter-Market Volatility in Foreign Exchange Rates |
0 |
1 |
2 |
476 |
0 |
3 |
5 |
1,190 |
| Intraday and interday volatility in the Japanese stock market |
0 |
0 |
3 |
227 |
2 |
2 |
8 |
906 |
| Intraday periodicity and volatility persistence in financial markets |
1 |
3 |
17 |
1,296 |
8 |
13 |
42 |
2,621 |
| Investor Attention and Time‐varying Comovements |
0 |
0 |
0 |
30 |
1 |
2 |
3 |
138 |
| Jump tails, extreme dependencies, and the distribution of stock returns |
0 |
0 |
0 |
127 |
0 |
2 |
5 |
406 |
| Jumps and betas: A new framework for disentangling and estimating systematic risks |
0 |
0 |
0 |
98 |
0 |
1 |
4 |
360 |
| Leverage and Volatility Feedback Effects in High-Frequency Data |
1 |
1 |
3 |
173 |
3 |
4 |
10 |
485 |
| Long-term equity anticipation securities and stock market volatility dynamics |
0 |
0 |
0 |
176 |
2 |
3 |
5 |
603 |
| Measuring and modeling systematic risk in factor pricing models using high-frequency data |
0 |
0 |
2 |
317 |
1 |
1 |
5 |
797 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
2 |
4 |
10 |
591 |
7 |
14 |
53 |
1,950 |
| Modeling and Forecasting Realized Volatility |
0 |
0 |
0 |
1,158 |
4 |
10 |
40 |
3,658 |
| Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions |
0 |
0 |
2 |
28 |
2 |
2 |
8 |
89 |
| Modeling and pricing long memory in stock market volatility |
1 |
1 |
9 |
1,100 |
4 |
5 |
36 |
2,335 |
| Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model |
0 |
1 |
13 |
2,166 |
3 |
13 |
55 |
5,085 |
| Multivariate leverage effects and realized semicovariance GARCH models |
0 |
0 |
2 |
5 |
0 |
1 |
7 |
57 |
| 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 |
4 |
143 |
0 |
2 |
8 |
513 |
| ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS |
0 |
0 |
0 |
21 |
0 |
0 |
4 |
53 |
| Occupation density estimation for noisy high-frequency data |
0 |
0 |
0 |
2 |
0 |
0 |
3 |
11 |
| Optimal Inference for Spot Regressions |
0 |
0 |
3 |
6 |
1 |
5 |
17 |
31 |
| Optimal nonparametric range-based volatility estimation |
0 |
1 |
4 |
6 |
0 |
2 |
7 |
10 |
| Order flow and the bid-ask spread: An empirical probability model of screen-based trading |
0 |
0 |
1 |
193 |
0 |
1 |
3 |
501 |
| Periodic Autoregressive Conditional Heteroscedasticity |
0 |
0 |
0 |
0 |
0 |
2 |
11 |
1,097 |
| Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction |
0 |
0 |
0 |
30 |
0 |
2 |
2 |
118 |
| Prediction in dynamic models with time-dependent conditional variances |
0 |
1 |
6 |
602 |
0 |
1 |
11 |
1,002 |
| Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
1 |
3 |
358 |
2 |
9 |
30 |
1,226 |
| Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal* |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
8 |
| Realized Semicovariances |
0 |
0 |
0 |
17 |
0 |
2 |
4 |
94 |
| Realized semibetas: Disentangling “good” and “bad” downside risks |
0 |
1 |
3 |
40 |
0 |
1 |
15 |
238 |
| Realized volatility forecasting and market microstructure noise |
0 |
1 |
5 |
141 |
0 |
2 |
10 |
534 |
| Reprint of: Generalized Autoregressive Conditional Heteroskedasticity |
0 |
2 |
6 |
10 |
2 |
7 |
17 |
27 |
| Risk Everywhere: Modeling and Managing Volatility |
0 |
0 |
1 |
27 |
1 |
1 |
8 |
113 |
| Risk and return: Long-run relations, fractional cointegration, and return predictability |
0 |
0 |
0 |
58 |
0 |
0 |
6 |
266 |
| Risk, jumps, and diversification |
0 |
0 |
2 |
204 |
0 |
1 |
5 |
557 |
| Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility |
1 |
3 |
17 |
688 |
4 |
12 |
46 |
1,884 |
| Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns |
0 |
0 |
3 |
24 |
0 |
1 |
8 |
163 |
| Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data |
0 |
0 |
0 |
90 |
0 |
0 |
1 |
236 |
| Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence |
0 |
0 |
2 |
76 |
1 |
3 |
7 |
211 |
| Stock return and cash flow predictability: The role of volatility risk |
0 |
0 |
0 |
31 |
0 |
3 |
4 |
134 |
| Stock returns and volatility: pricing the long-run and short-run components of market risk |
0 |
0 |
0 |
48 |
1 |
1 |
6 |
160 |
| Tail risk premia and return predictability |
1 |
2 |
6 |
130 |
7 |
11 |
27 |
548 |
| Tails, Fears, and Risk Premia |
0 |
1 |
1 |
68 |
2 |
3 |
4 |
272 |
| The Distribution of Realized Exchange Rate Volatility |
0 |
0 |
3 |
211 |
1 |
3 |
12 |
671 |
| The Message in Daily Exchange Rates: A Conditional-Variance Tale |
0 |
0 |
0 |
0 |
0 |
1 |
15 |
1,066 |
| The Message in Daily Exchange Rates: A Conditional-Variance Tale |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
1,029 |
| The distribution of realized stock return volatility |
0 |
1 |
7 |
863 |
3 |
4 |
31 |
2,223 |
| The forward premium anomaly is not as bad as you think |
0 |
0 |
2 |
538 |
0 |
0 |
4 |
1,129 |
| The jump leverage risk premium |
0 |
1 |
2 |
4 |
0 |
4 |
14 |
25 |
| The long memory of the forward premium |
0 |
0 |
0 |
279 |
0 |
1 |
1 |
591 |
| Time-varying jump tails |
1 |
1 |
2 |
50 |
2 |
2 |
6 |
140 |
| Towards a unified framework for high and low frequency return volatility modeling |
0 |
0 |
0 |
1 |
0 |
0 |
3 |
8 |
| Trading Patterns and Prices in the Interbank Foreign Exchange Market |
0 |
0 |
2 |
289 |
1 |
2 |
8 |
757 |
| Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns |
0 |
1 |
2 |
169 |
3 |
5 |
8 |
652 |
| Volatility in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
19 |
0 |
0 |
4 |
86 |
| Volatility puzzles: a simple framework for gauging return-volatility regressions |
0 |
0 |
0 |
157 |
0 |
0 |
4 |
672 |
| Volume, Volatility, and Public News Announcements |
0 |
0 |
8 |
58 |
2 |
4 |
21 |
250 |
| es modéles ARCH en finance: un point sur la théorie et les résultats empiriques |
0 |
0 |
0 |
5 |
1 |
1 |
3 |
94 |
| Total Journal Articles |
22 |
82 |
368 |
39,691 |
183 |
487 |
1,723 |
109,246 |
|
|
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