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1

Generalized autoregressive conditional heteroskedasticity

Journal:

Journal of Econometrics

Year:

1986

Language:

english

File:

PDF, 772 KB

english, 1986

2

Order flow and the bid-ask spread: An empirical probability model of screen-based trading

Tim Bollerslev, Ian Domowitz, Jianxin Wang

Journal:

Journal of Economic Dynamics and Control

Year:

1997

Language:

english

File:

PDF, 1.41 MB

english, 1997

3

Modelling the persistence of conditional variances

Engle, Robert F., Bollerslev, Tim

Journal:

Econometric Reviews

Year:

1986

Language:

english

File:

PDF, 1.13 MB

english, 1986

4

A Capital Asset Pricing Model with Time-Varying Covariances

Tim Bollerslev, Robert F. Engle and Jeffrey M. Wooldridge

Journal:

Journal of Political Economy

Year:

1988

Language:

english

File:

PDF, 903 KB

english, 1988

5

Modeling and Forecasting Realized Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys

Journal:

Year:

2003

Language:

english

File:

PDF, 678 KB

english, 2003

6

The Distribution of Realized Exchange Rate Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys

Journal:

Journal of the American Statistical Association

Year:

2001

Language:

english

File:

PDF, 1.74 MB

english, 2001

7

Intraday periodicity and volatility persistence in financial markets

Torben G. Andersen, Tim Bollerslev

Journal:

Journal of Empirical Finance

Year:

1997

Language:

english

File:

PDF, 2.23 MB

english, 1997

8

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Richard T. Baillie, Tim Bollerslev, Hans Ole Mikkelsen

Journal:

Journal of Econometrics

Year:

1996

Language:

english

File:

PDF, 1.52 MB

english, 1996

9

Modeling and pricing long memory in stock market volatility

Tim Bollerslev, Hans Ole Mikkelsen

Journal:

Journal of Econometrics

Year:

1996

Language:

english

File:

PDF, 1.78 MB

english, 1996

10

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

Journal:

Review of Economics and Statistics

Year:

1987

Language:

english

File:

PDF, 265 KB

english, 1987

11

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Bollerslev, Tim, Wooldridge, Jeffrey M.

Journal:

Econometric Reviews

Year:

1992

Language:

english

File:

PDF, 1.06 MB

english, 1992

12

Exploiting the errors: A simple approach for improved volatility forecasting

Bollerslev, Tim, Patton, Andrew J., Quaedvlieg, Rogier

Journal:

Journal of Econometrics

Year:

2016

Language:

english

File:

PDF, 559 KB

english, 2016

13

ARCH modeling in finance: A review of the theory and empirical evidence

Tim Bollerslev, Ray Y. Chou, Kenneth F. Kroner

Journal:

Journal of Econometrics

Year:

1992

Language:

english

File:

PDF, 4.05 MB

english, 1992

14

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega

Journal:

American Economic Review

Year:

2003

Language:

english

File:

PDF, 890 KB

english, 2003

15

Trading Patterns and Prices in the Interbank Foreign Exchange Market

Tim Bollerslev and Ian Domowitz

Journal:

The Journal of Finance

Year:

1993

Language:

english

File:

PDF, 2.85 MB

english, 1993

16

Risk Everywhere: Modeling and Managing Volatility

Bollerslev, Tim, Hood, Benjamin, Huss, John, Pedersen, Lasse Heje

Journal:

Review of Financial Studies

Year:

2018

Language:

english

File:

PDF, 824 KB

english, 2018

17

Volatility puzzles: a simple framework for gauging return-volatility regressions

Tim Bollerslev, Hao Zhou

Journal:

Journal of Econometrics

Year:

2006

Language:

english

File:

PDF, 304 KB

english, 2006

18

Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns

Torben G. Andersen, Tim Bollerslev, Ashish Das

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 400 KB

english, 2001

19

The distribution of realized stock return volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Heiko Ebens

Journal:

Journal of Financial Economics

Year:

2001

Language:

english

File:

PDF, 325 KB

english, 2001

20

Expected Stock Returns and Variance Risk Premia

Bollerslev, T., Tauchen, G., Zhou, H.

Journal:

Review of Financial Studies

Year:

2009

Language:

english

File:

PDF, 304 KB

english, 2009

21

Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

Journal:

Review of Economics and Statistics

Year:

1990

Language:

english

File:

PDF, 1.10 MB

english, 1990

22

Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns

Bollerslev, Tim, Li, Sophia Zhengzi, Todorov, Viktor

Journal:

Journal of Financial Economics

Year:

2016

Language:

english

File:

PDF, 1.53 MB

english, 2016

23

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Andersen, Torben G., Vega, Clara, Bollerslev, Tim, Diebold, Francis X.

Journal:

SSRN Electronic Journal

Year:

2006

Language:

english

File:

PDF, 717 KB

english, 2006

24

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

Torben G. Andersen, Tim Bollerslev, Dobrislav Dobrev

Journal:

Journal of Econometrics

Year:

2007

Language:

english

File:

PDF, 990 KB

english, 2007

25

Risk, jumps, and diversification

Tim Bollerslev, Tzuo Hann Law, George Tauchen

Journal:

Journal of Econometrics

Year:

2008

Language:

english

File:

PDF, 2.09 MB

english, 2008

26

Realized volatility forecasting and market microstructure noise

Torben G. Andersen, Tim Bollerslev, Nour Meddahi

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 363 KB

english, 2011

27

Tails, Fears, and Risk Premia

TIM BOLLERSLEV, VIKTOR TODOROV

Journal:

The Journal of Finance

Year:

2011

Language:

english

File:

PDF, 2.01 MB

english, 2011

28

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

Andersen, Torben G., Bollerslev, Tim, Diebold, Francis X.

Journal:

Review of Economics and Statistics

Year:

2007

Language:

english

File:

PDF, 753 KB

english, 2007

29

Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction

Bollerslev, Tim, Christensen, Bent Jesper, Haldrup, Niels, Lunde, Asger

Journal:

Journal of Time Series Econometrics

Year:

2011

Language:

english

File:

PDF, 243 KB

english, 2011

30

Stock return and cash flow predictability: The role of volatility risk

Bollerslev, Tim, Xu, Lai, Zhou, Hao

Journal:

Journal of Econometrics

Year:

2015

Language:

english

File:

PDF, 444 KB

english, 2015

31

Les modèles ARCH en finance: Un point sur la théorie et les résultats empiriques

Tim Bollerslev, Ray Y. Chou, Narayanan Jayaraman and Kenneth F. Kroner

Journal:

Annales d'Économie et de Statistique

Year:

1991

Language:

english

File:

PDF, 6.83 MB

english, 1991

32

Tails, Fears, and Risk Premia

TIM BOLLERSLEV and VIKTOR TODOROV

Journal:

The Journal of Finance

Year:

2011

Language:

english

File:

PDF, 3.78 MB

english, 2011

33

Vitamin D Assays and the Definition of Hypovitaminosis D: Results from the 1 st International Conference on Controversies in Vitamin D

Sempos, Christopher T., Heijboer, Annemieke C., Bikle, Daniel D., Bollerslev, Jens, Bouillon, Roger, Brannon, Patsy M., DeLuca, Hector F., Jones, Glenville, Munns, Craig F., Bilezikian, John P., Giust

Journal:

British Journal of Clinical Pharmacology

Year:

2018

Language:

english

File:

PDF, 770 KB

english, 2018

34

Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model

Lars Forsberg, Tim Bollerslev

Journal:

Journal of Applied Econometrics

Year:

2002

Language:

english

File:

PDF, 264 KB

english, 2002

35

Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

Torben G. Andersen, Tim Bollerslev

Journal:

The Journal of Finance

Year:

1998

Language:

english

File:

PDF, 796 KB

english, 1998

36

ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS

Journal:

Journal of Time Series Analysis

Year:

1988

Language:

english

File:

PDF, 512 KB

english, 1988

37

Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities

Torben G. Andersen, Tim Bollerslev, Nour Meddahi

Journal:

Year:

2005

Language:

english

File:

PDF, 146 KB

english, 2005

38

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns

TORBEN G. ANDERSEN, TIM BOLLERSLEV

Journal:

The Journal of Finance

Year:

1997

Language:

english

File:

PDF, 1.87 MB

english, 1997

39

Bid—ask spreads and volatility in the foreign exchange market: An empirical analysis

Tim Bollerslev, Michael Melvin

Journal:

Journal of International Economics

Year:

1994

Language:

english

File:

PDF, 1.15 MB

english, 1994

40

Real-time price discovery in global stock, bond and foreign exchange markets

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Clara Vega

Journal:

Journal of International Economics

Year:

2007

Language:

english

File:

PDF, 1.12 MB

english, 2007

41

Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance || Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Torben G. Andersen and Tim Bollerslev

Journal:

International Economic Review

Year:

1998

Language:

english

File:

PDF, 479 KB

english, 1998

42

Clinical, Immunological, and Genetic Features of Autoimmune Primary Adrenal Insufficiency: Observations from a Norwegian Registry

Erichsen, Martina M., Løvås, Kristian, Skinningsrud, Beate, Wolff, Anette B., Undlien, Dag E., Svartberg, Johan, Fougner, Kristian J., Berg, Tore J., Bollerslev, Jens, Mella, Bjarne, Carlson, Joyce A.

Journal:

Journal of Clinical Endocrinology & Metabolism

Year:

2009

Language:

english

File:

PDF, 86 KB

english, 2009

43

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Anderson, Torben G, Bollerslev, Tim, Diebold, Francis X, Vega, Clara

Journal:

American Economic Review

Year:

2003

Language:

english

File:

PDF, 492 KB

english, 2003

44

Common Stochastic Trends in a System of Exchange Rates

Richard T. Baillie and Tim Bollerslev

Journal:

The Journal of Finance

Year:

1989

Language:

english

File:

PDF, 625 KB

english, 1989

45

Cointegration, Fractional Cointegration, and Exchange Rate Dynamics

Richard T. Baillie and Tim Bollerslev

Journal:

The Journal of Finance

Year:

1994

Language:

english

File:

PDF, 347 KB

english, 1994

46

Volume, Volatility, and Public News Announcements

Bollerslev, Tim, Li, Jia, Xue, Yuan

Journal:

Review of Economic Studies

Year:

2018

Language:

english

File:

PDF, 677 KB

english, 2018

47

Parametric and Nonparametric Volatility Measurement

Andersen, Torben G., Bollerslev, Tim, Diebold, Francis X.

Journal:

SSRN Electronic Journal

Year:

2002

Language:

english

File:

PDF, 375 KB

english, 2002

48

Multivariate Leverage Effects and Realized Semicovariance GARCH Models

Bollerslev, Tim, Patton, Andrew J., Quaedvlieg, Rogier

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 659 KB

english, 2018

49

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Andersen, Torben G., Bollerslev, Tim, Christoffersen, Peter, Diebold, Francis X.

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 581 KB

english, 2005

50

Risk Everywhere: Modeling and Managing Volatility

Bollerslev, Tim, Hood, Benjamin, Huss, John, Pedersen, Lasse Heje

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 1.63 MB

english, 2016