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 |
5 |
7 |
13 |
1,828 |
| A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects |
0 |
0 |
0 |
223 |
4 |
7 |
13 |
574 |
| A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects |
0 |
0 |
0 |
132 |
2 |
2 |
7 |
436 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
187 |
4 |
9 |
17 |
498 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
207 |
1 |
5 |
10 |
584 |
| A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures |
0 |
0 |
0 |
155 |
7 |
11 |
12 |
582 |
| A framework for exploring the macroeconomic determinants of systematic risk |
0 |
0 |
1 |
184 |
4 |
9 |
11 |
539 |
| Analytic Evaluation of Volatility Forecasts |
0 |
0 |
0 |
815 |
3 |
3 |
5 |
1,885 |
| Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
0 |
1 |
3 |
1,581 |
4 |
7 |
14 |
3,587 |
| Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange |
0 |
0 |
0 |
0 |
3 |
5 |
6 |
547 |
| Bear Squeezes in the Hyperinflation 1920s Foreign Exchange |
0 |
0 |
0 |
0 |
11 |
13 |
14 |
290 |
| Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange |
0 |
0 |
0 |
6 |
1 |
1 |
4 |
80 |
| Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange |
0 |
0 |
0 |
0 |
1 |
3 |
5 |
9 |
| CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES |
0 |
0 |
0 |
119 |
6 |
7 |
9 |
453 |
| Cointegration, Fractional Cointegration, and Exchange RAte Dynamics |
0 |
0 |
0 |
1 |
3 |
10 |
11 |
919 |
| Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
0 |
1 |
8 |
8 |
9 |
| Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
61 |
0 |
1 |
5 |
301 |
| Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns |
0 |
0 |
0 |
373 |
5 |
12 |
17 |
942 |
| Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
171 |
6 |
9 |
9 |
500 |
| Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
421 |
8 |
10 |
13 |
963 |
| DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies |
0 |
1 |
1 |
553 |
3 |
14 |
17 |
1,961 |
| Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions |
0 |
0 |
0 |
68 |
0 |
3 |
6 |
173 |
| Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions |
0 |
0 |
0 |
84 |
5 |
12 |
15 |
117 |
| Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities |
0 |
0 |
0 |
218 |
2 |
4 |
9 |
521 |
| Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities |
0 |
0 |
0 |
439 |
2 |
5 |
7 |
1,052 |
| Estimating stochastic volatility diffusion using conditional moments of integrated volatility |
0 |
0 |
0 |
508 |
6 |
10 |
14 |
1,177 |
| Estimation of Jump Tails |
0 |
0 |
0 |
116 |
1 |
4 |
5 |
237 |
| Estimation of Jump Tails |
0 |
0 |
0 |
23 |
3 |
4 |
6 |
138 |
| Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian |
0 |
0 |
0 |
303 |
2 |
5 |
7 |
1,120 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
0 |
495 |
2 |
10 |
16 |
1,620 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
0 |
304 |
6 |
10 |
10 |
850 |
| Expected Stock Returns and Variance Risk Premia |
0 |
2 |
2 |
356 |
4 |
11 |
19 |
879 |
| Expected Stock Returns and Variance Risk Premia |
0 |
0 |
0 |
110 |
18 |
24 |
28 |
461 |
| Expected stock returns and variance risk premia |
0 |
1 |
2 |
406 |
17 |
30 |
38 |
1,147 |
| Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting |
0 |
1 |
4 |
314 |
2 |
5 |
18 |
726 |
| FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
390 |
| Financial Market Efficiency Tests |
0 |
1 |
1 |
1,834 |
6 |
12 |
14 |
4,355 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
3 |
182 |
5 |
20 |
32 |
568 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
0 |
207 |
8 |
26 |
31 |
614 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
0 |
247 |
1 |
14 |
17 |
569 |
| Generalized autoregressive conditional heteroskedasticity |
4 |
10 |
33 |
786 |
15 |
61 |
174 |
2,275 |
| Glossary to ARCH (GARCH) |
1 |
4 |
10 |
915 |
3 |
11 |
56 |
1,862 |
| Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
0 |
1 |
549 |
6 |
11 |
18 |
1,682 |
| High frequency data, frequency domain inference and volatility forecasting |
0 |
0 |
0 |
544 |
4 |
5 |
6 |
1,203 |
| INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES |
0 |
0 |
0 |
4 |
3 |
9 |
10 |
1,010 |
| Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns |
0 |
0 |
0 |
199 |
3 |
5 |
7 |
330 |
| Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks |
0 |
0 |
0 |
110 |
3 |
4 |
7 |
300 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
1 |
479 |
9 |
16 |
23 |
2,281 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
0 |
52 |
7 |
12 |
15 |
524 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
1 |
4 |
291 |
3 |
5 |
11 |
1,044 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? |
0 |
0 |
2 |
356 |
4 |
9 |
14 |
1,275 |
| Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions |
0 |
0 |
1 |
428 |
3 |
11 |
14 |
147 |
| Modeling and Forecasting Realized Volatility |
0 |
1 |
2 |
1,262 |
22 |
36 |
52 |
3,037 |
| Modeling and Forecasting Realized Volatility |
0 |
2 |
5 |
796 |
3 |
12 |
25 |
1,917 |
| Modeling and Forecasting Realized Volatility |
0 |
2 |
5 |
997 |
7 |
16 |
30 |
2,199 |
| 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 |
2 |
8 |
12 |
695 |
| On Periodic Autogressive Conditional Heteroskedasticity |
0 |
0 |
0 |
990 |
2 |
5 |
6 |
2,910 |
| PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES |
0 |
0 |
0 |
2 |
1 |
7 |
10 |
893 |
| Parametric and Nonparametric Volatility Measurement |
0 |
0 |
0 |
830 |
3 |
8 |
10 |
2,120 |
| Parametric and Nonparametric Volatility Measurement |
0 |
0 |
0 |
692 |
3 |
6 |
10 |
1,614 |
| Periodic Autoregressive Conditional Heteroskedasticity |
0 |
0 |
0 |
193 |
0 |
3 |
7 |
557 |
| Periodic Autoregressive Conditional Heteroskedasticity |
0 |
0 |
0 |
3 |
2 |
6 |
9 |
696 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
0 |
569 |
3 |
8 |
11 |
1,201 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
1 |
421 |
2 |
10 |
14 |
910 |
| Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
2 |
397 |
4 |
9 |
18 |
869 |
| Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances |
0 |
0 |
0 |
0 |
12 |
20 |
31 |
2,007 |
| Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
149 |
3 |
7 |
10 |
517 |
| Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
181 |
8 |
9 |
12 |
813 |
| Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
218 |
2 |
7 |
14 |
686 |
| Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
0 |
1 |
279 |
3 |
6 |
11 |
1,011 |
| Real-time price discovery in stock, bond and foreign exchange markets |
0 |
0 |
1 |
144 |
4 |
7 |
10 |
566 |
| Realized Beta: Persistence and Predictability |
0 |
0 |
0 |
516 |
3 |
6 |
14 |
928 |
| Realized beta: Persistence and predictability |
0 |
0 |
2 |
221 |
5 |
10 |
16 |
651 |
| Risk Everywhere: Modeling and Managing Volatility |
0 |
2 |
5 |
84 |
3 |
13 |
27 |
194 |
| Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability |
0 |
0 |
0 |
179 |
1 |
3 |
5 |
489 |
| Risk, Jumps, and Diversification |
0 |
0 |
0 |
107 |
3 |
8 |
9 |
276 |
| Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
0 |
4 |
171 |
1 |
7 |
21 |
575 |
| Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
0 |
2 |
356 |
6 |
9 |
15 |
1,000 |
| Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns |
0 |
0 |
1 |
54 |
4 |
11 |
14 |
181 |
| 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 |
8 |
13 |
1,034 |
| 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 |
6 |
12 |
18 |
547 |
| Stock Return and Cash Flow Predictability: The Role of Volatility Risk |
0 |
0 |
0 |
103 |
5 |
8 |
13 |
220 |
| Stock return predictability and variance risk premia: statistical inference and international evidence |
0 |
0 |
0 |
129 |
5 |
11 |
15 |
315 |
| Tail Risk Premia and Return Predictability |
0 |
0 |
4 |
78 |
13 |
21 |
32 |
331 |
| Tails, Fears and Risk Premia |
0 |
0 |
0 |
190 |
3 |
7 |
10 |
457 |
| Tails, Fears and Risk Premia |
0 |
1 |
2 |
56 |
5 |
7 |
10 |
258 |
| Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment |
0 |
0 |
1 |
649 |
8 |
10 |
11 |
2,318 |
| The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
531 |
3 |
6 |
11 |
1,324 |
| The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
552 |
2 |
10 |
13 |
1,456 |
| The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
323 |
3 |
6 |
16 |
875 |
| The Distribution of Stock Return Volatility |
0 |
0 |
0 |
906 |
2 |
9 |
10 |
2,410 |
| The Distribution of Stock Return Volatility |
0 |
0 |
0 |
839 |
3 |
7 |
13 |
2,248 |
| The Long Memory of the Foreward Premium |
0 |
0 |
0 |
0 |
15 |
22 |
25 |
422 |
| Volatility Forecasting |
0 |
1 |
1 |
562 |
6 |
16 |
18 |
1,018 |
| Volatility Forecasting |
0 |
0 |
0 |
950 |
5 |
14 |
22 |
1,293 |
| Volatility forecasting |
1 |
1 |
2 |
339 |
8 |
16 |
18 |
751 |
| Volatility in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
7 |
3 |
4 |
6 |
121 |
| Volatility in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
21 |
8 |
11 |
13 |
163 |
| Volatility in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
203 |
2 |
2 |
3 |
408 |
| Volatility puzzles: a unified framework for gauging return-volatility regressions |
0 |
0 |
0 |
431 |
4 |
6 |
9 |
1,657 |
| Volume, Volatility and Public News Announcements |
0 |
1 |
2 |
112 |
3 |
11 |
21 |
273 |
| Total Working Papers |
6 |
33 |
115 |
34,631 |
463 |
1,003 |
1,611 |
97,545 |
| 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 |
2 |
6 |
17 |
3,033 |
13 |
33 |
84 |
7,689 |
| A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return |
2 |
4 |
12 |
1,691 |
6 |
17 |
48 |
4,121 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
106 |
5 |
11 |
16 |
503 |
| A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
146 |
| A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects |
0 |
0 |
1 |
157 |
12 |
16 |
26 |
496 |
| A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets |
0 |
0 |
1 |
378 |
5 |
10 |
11 |
775 |
| A reduced form framework for modeling volatility of speculative prices based on realized variation measures |
0 |
1 |
1 |
99 |
4 |
11 |
14 |
395 |
| ANALYTICAL EVALUATION OF VOLATILITY FORECASTS |
0 |
0 |
0 |
360 |
3 |
5 |
10 |
1,007 |
| ARCH modeling in finance: A review of the theory and empirical evidence |
3 |
12 |
36 |
6,148 |
19 |
61 |
132 |
11,819 |
| Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts |
0 |
0 |
0 |
3 |
18 |
83 |
144 |
4,939 |
| 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 |
1 |
1 |
588 |
2 |
7 |
18 |
1,288 |
| Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model |
0 |
0 |
0 |
398 |
5 |
7 |
12 |
949 |
| Cointegration, Fractional Cointegration, and Exchange Rate Dynamics |
0 |
1 |
1 |
368 |
6 |
23 |
27 |
921 |
| Comment |
0 |
0 |
0 |
29 |
0 |
1 |
3 |
147 |
| Common Persistence in Conditional Variances |
0 |
0 |
1 |
373 |
2 |
11 |
14 |
963 |
| Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns |
0 |
0 |
1 |
170 |
17 |
32 |
36 |
612 |
| Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
231 |
1 |
3 |
4 |
682 |
| Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65] |
0 |
0 |
0 |
57 |
1 |
7 |
9 |
173 |
| Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions |
0 |
0 |
0 |
19 |
3 |
5 |
6 |
84 |
| Dan Nelson Remembered |
0 |
0 |
0 |
0 |
2 |
3 |
5 |
457 |
| Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities |
0 |
0 |
1 |
217 |
6 |
7 |
13 |
742 |
| Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities |
0 |
0 |
0 |
38 |
10 |
12 |
15 |
220 |
| Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies |
0 |
0 |
0 |
0 |
1 |
3 |
5 |
1,193 |
| Equity clusters through the lens of realized semicorrelations |
0 |
0 |
0 |
3 |
2 |
7 |
11 |
27 |
| Estimating stochastic volatility diffusion using conditional moments of integrated volatility |
0 |
0 |
0 |
235 |
5 |
8 |
13 |
599 |
| Estimation of Jump Tails |
0 |
0 |
0 |
37 |
3 |
4 |
6 |
195 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
1 |
18 |
10 |
20 |
30 |
159 |
| Expected Stock Returns and Variance Risk Premia |
0 |
4 |
8 |
231 |
12 |
37 |
71 |
842 |
| Exploiting the errors: A simple approach for improved volatility forecasting |
1 |
3 |
10 |
249 |
6 |
21 |
53 |
805 |
| Financial econometrics: Past developments and future challenges |
0 |
0 |
0 |
240 |
1 |
2 |
3 |
448 |
| Fixed‐k inference for volatility |
0 |
0 |
1 |
2 |
5 |
8 |
10 |
24 |
| Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon |
0 |
1 |
8 |
563 |
7 |
12 |
26 |
1,410 |
| Fractionally integrated generalized autoregressive conditional heteroskedasticity |
2 |
2 |
8 |
1,476 |
10 |
29 |
96 |
3,432 |
| From zero to hero: Realized partial (co)variances |
0 |
0 |
1 |
6 |
3 |
5 |
10 |
20 |
| Generalized Jump Regressions for Local Moments |
0 |
0 |
0 |
1 |
3 |
6 |
6 |
12 |
| Generalized autoregressive conditional heteroskedasticity |
13 |
31 |
116 |
8,159 |
69 |
238 |
647 |
20,180 |
| Good Volatility, Bad Volatility, and the Cross Section of Stock Returns |
0 |
0 |
2 |
67 |
6 |
10 |
18 |
232 |
| Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
0 |
2 |
198 |
13 |
34 |
47 |
700 |
| High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting |
0 |
0 |
0 |
190 |
1 |
6 |
11 |
634 |
| High-dimensional multivariate realized volatility estimation |
0 |
0 |
0 |
8 |
0 |
2 |
3 |
37 |
| Intra-Day and Inter-Market Volatility in Foreign Exchange Rates |
0 |
0 |
2 |
476 |
2 |
6 |
14 |
1,199 |
| Intraday and interday volatility in the Japanese stock market |
0 |
0 |
2 |
229 |
4 |
7 |
12 |
915 |
| Intraday periodicity and volatility persistence in financial markets |
1 |
1 |
11 |
1,297 |
11 |
40 |
79 |
2,671 |
| Investor Attention and Time‐varying Comovements |
0 |
0 |
0 |
30 |
6 |
7 |
11 |
147 |
| Jump tails, extreme dependencies, and the distribution of stock returns |
0 |
1 |
1 |
128 |
2 |
7 |
10 |
414 |
| Jumps and betas: A new framework for disentangling and estimating systematic risks |
0 |
0 |
0 |
98 |
4 |
9 |
11 |
369 |
| Leverage and Volatility Feedback Effects in High-Frequency Data |
0 |
0 |
3 |
173 |
0 |
2 |
10 |
489 |
| Long-term equity anticipation securities and stock market volatility dynamics |
0 |
0 |
0 |
176 |
2 |
6 |
9 |
609 |
| Measuring and modeling systematic risk in factor pricing models using high-frequency data |
0 |
0 |
0 |
317 |
2 |
5 |
6 |
802 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
4 |
18 |
600 |
11 |
54 |
117 |
2,027 |
| Modeling and Forecasting Realized Volatility |
0 |
0 |
0 |
1,158 |
11 |
67 |
112 |
3,747 |
| Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions |
0 |
0 |
1 |
28 |
3 |
4 |
9 |
94 |
| Modeling and pricing long memory in stock market volatility |
0 |
1 |
2 |
1,101 |
12 |
33 |
48 |
2,369 |
| Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model |
1 |
3 |
13 |
2,170 |
7 |
24 |
69 |
5,121 |
| Multivariate leverage effects and realized semicovariance GARCH models |
0 |
0 |
2 |
5 |
1 |
4 |
8 |
61 |
| 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 |
143 |
6 |
7 |
14 |
523 |
| ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS |
0 |
0 |
2 |
23 |
1 |
4 |
10 |
61 |
| Occupation density estimation for noisy high-frequency data |
0 |
0 |
1 |
3 |
1 |
3 |
6 |
16 |
| Optimal Inference for Spot Regressions |
0 |
0 |
2 |
7 |
4 |
7 |
19 |
41 |
| Optimal nonparametric range-based volatility estimation |
0 |
0 |
3 |
7 |
5 |
11 |
22 |
28 |
| Order flow and the bid-ask spread: An empirical probability model of screen-based trading |
0 |
1 |
1 |
194 |
4 |
10 |
12 |
512 |
| Periodic Autoregressive Conditional Heteroscedasticity |
0 |
0 |
0 |
0 |
5 |
9 |
18 |
1,109 |
| Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction |
0 |
0 |
0 |
30 |
3 |
5 |
7 |
123 |
| Prediction in dynamic models with time-dependent conditional variances |
1 |
3 |
4 |
605 |
9 |
22 |
27 |
1,027 |
| Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
1 |
5 |
360 |
8 |
21 |
49 |
1,254 |
| Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal* |
0 |
0 |
0 |
3 |
2 |
5 |
6 |
13 |
| Realized Semicovariances |
0 |
0 |
0 |
17 |
2 |
8 |
13 |
105 |
| Realized semibetas: Disentangling “good” and “bad” downside risks |
1 |
3 |
5 |
44 |
1 |
11 |
19 |
250 |
| Realized volatility forecasting and market microstructure noise |
0 |
0 |
4 |
142 |
5 |
7 |
17 |
546 |
| Reprint of: Generalized Autoregressive Conditional Heteroskedasticity |
1 |
4 |
8 |
14 |
4 |
11 |
25 |
40 |
| Risk Everywhere: Modeling and Managing Volatility |
0 |
1 |
2 |
29 |
5 |
9 |
17 |
127 |
| Risk and return: Long-run relations, fractional cointegration, and return predictability |
0 |
0 |
0 |
58 |
0 |
2 |
6 |
270 |
| Risk, jumps, and diversification |
0 |
0 |
1 |
204 |
1 |
4 |
7 |
561 |
| Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility |
1 |
4 |
16 |
694 |
9 |
27 |
64 |
1,923 |
| Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns |
1 |
1 |
3 |
25 |
7 |
11 |
20 |
177 |
| Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data |
0 |
0 |
0 |
90 |
4 |
5 |
7 |
243 |
| Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence |
0 |
0 |
1 |
77 |
7 |
8 |
17 |
225 |
| Stock return and cash flow predictability: The role of volatility risk |
0 |
0 |
0 |
31 |
3 |
10 |
14 |
144 |
| Stock returns and volatility: pricing the long-run and short-run components of market risk |
0 |
0 |
0 |
48 |
2 |
4 |
8 |
166 |
| Tail risk premia and return predictability |
4 |
6 |
11 |
136 |
10 |
25 |
50 |
578 |
| Tails, Fears, and Risk Premia |
0 |
1 |
3 |
70 |
5 |
10 |
17 |
285 |
| The Distribution of Realized Exchange Rate Volatility |
0 |
2 |
6 |
214 |
4 |
23 |
36 |
698 |
| The Message in Daily Exchange Rates: A Conditional-Variance Tale |
0 |
0 |
0 |
0 |
5 |
15 |
23 |
1,081 |
| The Message in Daily Exchange Rates: A Conditional-Variance Tale |
0 |
0 |
0 |
0 |
12 |
17 |
19 |
1,046 |
| The distribution of realized stock return volatility |
0 |
3 |
9 |
867 |
4 |
23 |
43 |
2,249 |
| The forward premium anomaly is not as bad as you think |
0 |
0 |
1 |
538 |
2 |
7 |
10 |
1,137 |
| The jump leverage risk premium |
0 |
1 |
3 |
5 |
4 |
11 |
24 |
39 |
| The long memory of the forward premium |
0 |
0 |
0 |
279 |
3 |
3 |
4 |
594 |
| Time-varying jump tails |
0 |
1 |
3 |
51 |
2 |
10 |
15 |
151 |
| Towards a unified framework for high and low frequency return volatility modeling |
0 |
0 |
0 |
1 |
1 |
4 |
6 |
13 |
| Trading Patterns and Prices in the Interbank Foreign Exchange Market |
0 |
0 |
1 |
289 |
4 |
6 |
10 |
763 |
| Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns |
0 |
0 |
2 |
169 |
3 |
6 |
12 |
658 |
| Volatility in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
19 |
2 |
5 |
9 |
92 |
| Volatility puzzles: a simple framework for gauging return-volatility regressions |
0 |
0 |
0 |
157 |
2 |
6 |
10 |
679 |
| Volume, Volatility, and Public News Announcements |
0 |
1 |
6 |
60 |
5 |
10 |
30 |
264 |
| es modéles ARCH en finance: un point sur la théorie et les résultats empiriques |
0 |
0 |
0 |
5 |
4 |
7 |
11 |
103 |
| Total Journal Articles |
34 |
109 |
391 |
39,867 |
546 |
1,503 |
2,997 |
111,185 |
|
|
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