百晓学者学者目录

Tim Bollerslev

National Bureau of Economic Research; Duke University

Selected Publications

Journal Articles

  1. Tim Bollerslev, Sophia Zhengzi Li, Yushan Tang (2026). Forecasting and Managing Correlation Risks. Management Science.DOI
  2. Saketh Aleti, Tim Bollerslev, Mathias Siggaard (2025). Intraday Market Return Predictability Culled from the Factor Zoo. Management Science, Vol. 710, No. 9.DOI
  3. Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg (2025). Granular betas and risk premium functions. Journal of Econometrics.DOI
  4. Saketh Aleti, Tim Bollerslev (2024). News and Asset Pricing: A High-Frequency Anatomy of the SDF. Review Of Financial Studies, Vol. 380, No. 3.DOI
  5. Tim Bollerslev, Jia Li, Yuexuan Ren (2024). Optimal Inference for Spot Regressionst. American Economic Review, Vol. 1140, No. 3.DOI
  6. Tim Bollerslev, Jia Li, Qiyuan Li (2024). Optimal nonparametric range-based volatility estimation. Journal Of Econometrics, Vol. 2380, No. 1.DOI
  7. Tim Bollerslev, Viktor Todorov (2023). The jump leverage risk premium. Journal Of Financial Economics, Vol. 1500, No. 3.DOI
  8. Tim Bollerslev (2023). The story of GARCH: A personal odyssey. Journal Of Econometrics, Vol. 2340.DOI
  9. Tim Bollerslev (2023). Generalized Autoregressive Conditional Heteroskedasticity (Reprinted from Journal of Econometrics, vol 31, pg 307-327, 1986). Journal Of Econometrics, Vol. 2340.DOI
  10. Tim Bollerslev, Marcelo C. Medeiros, Andrew J. Patton, Rogier Quaedvlieg (2022). From zero to hero: Realized partial (co)variances. Journal Of Econometrics, Vol. 2310, No. 2.DOI
  11. Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg (2022). Realized semibetas: Disentangling good and bad downside risks. Journal Of Financial Economics, Vol. 1440, No. 1.DOI
  12. Tim Bollerslev (2022). Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal*. Journal Of Financial Econometrics, Vol. 200, No. 20.DOI
  13. Congshan Zhang, Jia Li, Tim Bollerslev (2022). Occupation density estimation for noisy high-frequency data. Journal Of Econometrics, Vol. 2270, No. 1.DOI
  14. Tim Bollerslev, Andrew J. Patton, Haozhe Zhang (2022). Equity clusters through the lens of realized semicorrelations. Economics Letters, Vol. 211.DOI
  15. Tim Bollerslev, Jia Li, Zhipeng Liao (2021). Fixed-k inference for volatility. Quantitative Economics, Vol. 12, No. 4.DOI
  16. Tim Bollerslev, Jia Li, Leonardo Salim Saker Chaves (2021). Generalized Jump Regressions for Local Moments. Journal Of Business & Economic Statistics, Vol. 390, No. 4.DOI
  17. Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg (2020). Multivariate leverage effects and realized semicovariance GARCH models. Journal Of Econometrics, Vol. 2170, No. 2.DOI
  18. Tim Bollerslev, Jia Li, Andrew J. Patton, Rogier Quaedvlieg (2020). Realized Semicovariances. Econometrica, Vol. 880, No. 4.DOI
  19. Tim Bollerslev, Sophia Zhengzi Li, Bingzhi Zhao (2020). Good Volatility, Bad Volatility, and the Cross Section of Stock Returns. Journal Of Financial And Quantitative Analysis, Vol. 550, No. 3.DOI
  20. Tim Bollerslev, Nour Meddahi, Serge Nyawa (2019). High-dimensional multivariate realized volatility estimation. Journal Of Econometrics, Vol. 2120, No. 1.DOI
  21. Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg (2018). Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. Journal Of Econometrics, Vol. 2070, No. 1.DOI
  22. Tim Bollerslev, Jia Li, Yuan Xue (2018). Volume, Volatility, and Public News Announcements. Review Of Economic Studies, Vol. 850, No. 4.DOI
  23. Tim Bollerslev, Benjamin Hood, John Huss, Lasse Heje Pedersen (2018). Risk Everywhere: Modeling and Managing Volatility. Review Of Financial Studies, Vol. 310, No. 7.DOI
  24. Torben G. Andersen, Tim Bollerslev (2018). Review Article: Volatility.DOI
  25. Tim Bollerslev, Ian Domowitz (2018). Some Effects of Restricting the Electronic Order Book in an Automated Trade Execution System.DOI
  26. Tim Bollerslev, Andrew J. Patton, Wenjing Wang (2016). Daily House Price Indices: Construction, Modeling, and Longer-run Predictions. Journal Of Applied Econometrics, Vol. 310, No. 6.DOI
  27. Tim Bollerslev, Sophia Zhengzi Li, Viktor Todorov (2016). Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns. Journal Of Financial Economics, Vol. 1200, No. 3.DOI
  28. Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg (2016). Exploiting the errors: A simple approach for improved volatility forecasting. Journal Of Econometrics, Vol. 1920, No. 1.DOI
  29. Tim Bollerslev, Viktor Todorov, Lai Xu (2015). Tail risk premia and return predictability. Journal Of Financial Economics, Vol. 1180, No. 1.DOI
  30. Tim Bollerslev, Lai Xu, Hao Zhou (2015). Stock return and cash flow predictability: The role of volatility risk. Journal Of Econometrics, Vol. 1870, No. 2.DOI
  31. Svetlana Bryzgalova, Tim Bollerslev, Mikhail Chernov, J. Cochrane, Daniel Ferreira, L. Hansen, O. Linton, D. Lou, Hanno N. Lustig, A. Mikusheva, Philippe Mueller, S. Nagel, Christopher K. Polk, A. Tamoni, George Tauchen, M. Wilson, Motohiro Yogo (2015). Spurious Factors in Linear Asset Pricing Models.
  32. Tim Bollerslev, Viktor Todorov (2014). Time-varying jump tails. Journal Of Econometrics, Vol. 1830, No. 2.DOI
  33. Tim Bollerslev, James Marrone, Lai Xu, Hao Zhou (2014). Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence. Journal Of Financial And Quantitative Analysis, Vol. 490, No. 3.DOI
  34. E. Kontoghiorghes, H. K. van Dijk, David A. Belsley, Tim Bollerslev, F. Diebold, Jean-Marie Dufour, R. Engle, A. Harvey, S. Koopman, H. Pesaran, P. Phillips, Richard J. Smith, Mike West, Q. Yao, Alessandra Amendola, Monica Billio, Cathy W. S. Chen, C. Chiarella, A. Colubi, M. Deistler, C. Francq, M. Hallin, Éric Jacquier, K. Judd, G. Koop, H. Lütkepohl, J. MacKinnon, S. Mittnik, Yasuhiro Omori, D. Pollock, Tommaso Proietti, J. Rombouts, Olivier Scaillet, W. Semmler, Mike K. P. So, M. Steel, Robert Taylor, E. Tzavalis, J. Zakoian, H. Boswijk, A. Luati, J. Maheu (2014). CFEnetwork: The annals of computational and financial econometrics, 3rd issue. Computational Statistics & Data Analysis.DOI
  35. Tim Bollerslev, Daniela Osterrieder, Natalia Sizova, George Tauchen (2013). Risk and return: Long-run relations, fractional cointegration, and return predictability. Journal Of Financial Economics, Vol. 1080, No. 2.DOI
  36. Tim Bollerslev, Viktor Todorov, Sophia Zhengzi Li (2013). Jump tails, extreme dependencies, and the distribution of stock returns. Journal Of Econometrics, Vol. 1720, No. 2.DOI
  37. Tim Bollerslev, Natalia Sizova, George Tauchen (2012). Volatility in Equilibrium: Asymmetries and Dynamic Dependencies. Review Of Finance, Vol. 160, No. 10.DOI
  38. Kyungmee Choi, Tim Bollerslev (2012). Relative Contribution of Common Jumps in Realized Correlation.
  39. Tim Bollerslev, Viktor Todorov (2011). Tails, Fears, and Risk Premia. Journal Of Finance, Vol. 660, No. 6.DOI
  40. Tim Bollerslev, Viktor Todorov (2011). Estimation of Jump Tails. Econometrica, Vol. 790, No. 6.DOI
  41. Tim Bollerslev, Michael Gibson, Hao Zhou (2011). Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. Journal Of Econometrics, Vol. 1600, No. 1.DOI
  42. Torben G. Andersen, Tim Bollerslev, Xin Huang (2011). A reduced form framework for modeling volatility of speculative prices based on realized variation measures. Journal Of Econometrics, Vol. 1600, No. 1.DOI
  43. Torben G. Andersen, Tim Bollerslev, Nour Meddahi (2011). Realized volatility forecasting and market microstructure noise. Journal Of Econometrics, Vol. 1600, No. 1.DOI
  44. Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, F. Diebold (2011). Financial Risk Measurement for Financial Risk Management.DOI
  45. Tim Bollerslev, Viktor Todorov (2011). Research Paper 2010-16 Estimation of Jump Tails.
  46. Tim Bollerslev, B. Christensen, N. Haldrup, A. Lunde (2011). Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction.DOI
  47. Hao Sun, Tim Bollerslev (2011). Measuring CAPM beta and Empirical Analysis on the Effects of Jumps.
  48. George Tauchen, Tim Bollerslev (2011). Time-Varying Beta : The Heterogeneous Autoregressive Beta Model.
  49. Torben G. Andersen, Tim Bollerslev, F. Diebold (2011). CHAPTER 2 Parametric and Nonparametric Volatility Measurement.
  50. Viktor Todorov, Tim Bollerslev (2010). Jumps and betas: A new framework for disentangling and estimating systematic risks. Journal Of Econometrics, Vol. 1570, No. 2.DOI
  51. Torben G. Andersen, Tim Bollerslev, Per Frederiksen, Morten Orregaard Nielsen (2010). CONTINUOUS-TIME MODELS, REALIZED VOLATILITIES, AND TESTABLE DISTRIBUTIONAL IMPLICATIONS FOR DAILY STOCK RETURNS. Journal Of Applied Econometrics, Vol. 250, No. 2.DOI
  52. Torben G. Andersen, Tim Bollerslev, Ali S. Hadi (2010). ARCH and GARCH Models.DOI
  53. Tim Bollerslev, Clifton H. Kreps (2010). Modeling and forecasting financial market volatility: past developments and new directions.
  54. Torben G. Andersen, Tim Bollerslev, F. Diebold (2010). Parametric and Nonparametric Measurements of Volatility: Volume 1: Tools and Techniques.
  55. Tim Bollerslev, Jeffrey R. Russell, M. Watson (2010). Volatility and Time Series Econometrics.DOI
  56. George Tauchen, Tim Bollerslev (2010). The Distortionary Eects of Market Microstructure Noise on Volatility Forecasts.
  57. Tim Bollerslev, George Tauchen, Hao Zhou (2009). Expected Stock Returns and Variance Risk Premia. Review Of Financial Studies, Vol. 220, No. 11.DOI
  58. Tim Bollerslev, Uta Kretschmer, Christian Pigorsch, George Tauchen (2009). A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects. Journal Of Econometrics, Vol. 1500, No. 2.DOI
  59. Tim Bollerslev, S. Hylleberg (2009). A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom.DOI
  60. Tim Bollerslev, Tzuo Hann Law, George Tauchen (2008). Risk, jumps, and diversification. Journal Of Econometrics, Vol. 1440, No. 1.DOI
  61. Torben G. Andersen, Tim Bollerslev, Francis X. Diebold (2007). [Review] Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility. Review Of Economics And Statistics, Vol. 890, No. 4.DOI
  62. Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Clara Vega (2007). Real-time price discovery in global stock, bond and foreign exchange markets. Journal Of International Economics, Vol. 730, No. 2.DOI
  63. Lin Peng, Wei Xiong, Tim Bollerslev (2007). Investor attention and time-varying comovements. European Financial Management, Vol. 130, No. 30.DOI
  64. Torben G. Andersen, Tim Bollerslev, Dobrislav Dobrev (2007). 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. Journal Of Econometrics, Vol. 1380, No. 1.DOI
  65. Tim Bollerslev, Hao Zhou (2007). Expected stock returns and variance risk premia.DOI
  66. Torben Gustav Andersen, Tim Bollerslev, Per Houmann Frederiksen, Morten Ørregaard Nielsen (2006). Comment. Journal of Business and Economic Statistics.DOI
  67. Tim Bollerslev, Julia Litvinova, George Tauchen (2006). Leverage and Volatility Feedback Effects in High-Frequency Data.DOI
  68. Torben G. Andersen, Tim Bollerslev (2006). Realized Return Volatility, Asset Pricing, and Risk Management.
  69. Torben G. Andersen, Tim Bollerslev, F. Diebold, Ginger Y. Wu (2006). Realized Beta: Persistence and Predictability: Advances in Econometrics, Volume 20.
  70. Torben G. Andersen, Tim Bollerslev, Xin Huang (2006). A Semiparametric Framework for Modelling and Forecasting Jumps and Volatility in Speculative Prices.
  71. Torben G. Andersen, Tim Bollerslev, F. Diebold, J. Wu (2005). A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.DOI
  72. Torben G. Andersen, Tim Bollerslev, P. Frederiksen, M. Nielsen (2005). Asger Lunde : Realized Variance and Market Microstructure Noise by.
  73. Torben Gustav Andersen, Tim Bollerslev, Nour Meddahi (2004). Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities. Econometrica.DOI
  74. Torben Gustav Andersen, Tim Bollerslev, Nour Meddahi (2004). ANALYTICAL EVALUATION OF VOLATILITY FORECASTS*. International Economic Review.DOI
  75. Torben G. Andersen, Tim Bollerslev, F. Diebold, J. Wu (2004). (Appendix to Realized Beta: Persistence and Predictability, by Andersen, Bollerslev, Diebold and Wu, 2004) Analysis of Monthly Realized Beta Based on High-Frequency Intraday Data*.
  76. C. S. Hansen, Bjorn E. Tuypens, Tim Bollerslev, C. Granger, Ayman Hindy, Chi-Fu Huang, Stefan Krieger, Peter Phillips, Nagpurnanand Prabhala, R. Shiller, Jiang Wang, Erik Hjalmarsson, George M. Korniotis, Makram Talih, Avi Wohl (2004). Long Run Regressions : Theory and Application to US Asset Markets 1.
  77. Tim Bollerslev, Hao Zhou (2003). Corrigendum to “Estimating stochastic volatility diffusion using conditional moments of integrated volatility” [J. Econom. 109 (2002) 33–65]. Journal of Econometrics.DOI
  78. Tim Bollerslev, Benjamin Y.B. Zhang (2003). Measuring and modeling systematic risk in factor pricing models using high-frequency data. Journal of Empirical Finance.DOI
  79. Torben G. Anderson, Tim Bollerslev, Francis X. Diebold, Clara Vega (2003). Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. American Economic Review.DOI
  80. Tim Bollerslev, Hao Zhou (2003). Volatility puzzles: a unified framework for gauging return-volatility regressions.DOI
  81. Torben G. Andersen, Tim Bollerslev, F. Diebold, Paul Labys (2003). MODELING AND FORECASTING REALIZED VOLATILITY.DOI
  82. Lars Forsberg, Tim Bollerslev (2002). Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH‐NIG model. Journal of Applied Econometrics.DOI
  83. Torben M. Andersen, Tim Bollerslev, Francis X. Diebold (2002). Parametric and Nonparametric Volatility Measurement. National Bureau of Economic Research.DOI
  84. Tim Bollerslev, Hao Zhou (2002). Estimating stochastic volatility diffusion using conditional moments of integrated volatility.DOI
  85. Nour Meddahi, Cahier, Torben G. Andersen, F. Bandi, Tim Bollerslev, M. Carrasco, Xia-Hong Chen, Peter F. Christoffersen, F. Diebold, Jean-Marie Dufour, R. Engle, J. Florens, Ronald Gallant, Eric Ghysels, Sı́lvia Gonçalves, L. Hansen, Éric Jacquier, B. Perron, É. Renault, Enrique Sentana, N. Shephard, George Tauchen (2002). CAHIER 29-2001.
  86. Tim Bollerslev, F. Diebold, Clara Vega (2002). A Summary of the Conference on Real-Time Data Analysis.
  87. Ravi Bansal, Robert F. Dittmar, Christian T. Lundblad, Tim Bollerslev, Alon P. Brav, Jennifer Conrad, Magnus Dahlquist, Campbell Harvey, Pete Kyle, Martin Lettau, George Tauchen, Amir Yaron, Lu Zhang (2002). Consumption , Dividends , and the Cross-Section of Equity Returns.
  88. Raymond Kan, Guo-Fu Zhou, Kerry Back, Jeremy Berkowitz, Tim Bollerslev, Douglas T. Breeden, Nai-Fu Chen, Sean Cleary, Philip Dybvig, Heber Farnsworth, Christopher Gadarowski, Yaniv Grinstein, Campbell Harvey, Yongmiao Hong, Pete Kyle, Haitao Li, Ludan Liu, Kasing Man, Stephen A. Ross, Chu Zhang (2002). Hansen-Jagannathan Distance : Geometry and Exact Distribution.
  89. Tim Bollerslev, Jonathan H. Wright (2001). High-Frequency Data, Frequency Domain Inference, and Volatility Forecasting. The Review of Economics and Statistics.DOI
  90. Torben Gustav Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys (2001). The Distribution of Realized Exchange Rate Volatility. Journal of the American Statistical Association.DOI
  91. Torben Gustav Andersen, Tim Bollerslev, Ashish Das (2001). Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns. The Journal of Finance.DOI
  92. Tim Bollerslev (2001). Financial econometrics: Past developments and future challenges. Journal of Econometrics.DOI
  93. Torben G. Andersen, Tim Bollerslev, F. Diebold, Heiko Ebens (2001). The distribution of realized stock return volatility.DOI
  94. Torben G. Andersen, Tim Bollerslev (2001). Towards a unified framework for high and low frequency return volatility modeling.DOI
  95. Tim Bollerslev, Jonathan H. Wright (2000). Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data. Journal of Econometrics.DOI
  96. Torben Gustav Andersen, Tim Bollerslev, Jun Ping Cai (2000). Intraday and interday volatility in the Japanese stock market. Journal of International Financial Markets Institutions and Money.DOI
  97. Tim Bollerslev, Jun Ping Cai, Frank Min Song (2000). Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market. Journal of Empirical Finance.DOI
  98. Tim Bollerslev, Hao Zhou (2000). Estimating Stochastic Volatility Diiusion Using Conditional Moments of Integrated Volatility.DOI
  99. R. Baillie, Tim Bollerslev (2000). The forward premium anomaly is not as bad as you think.DOI
  100. Torben Gustav Andersen, Tim Bollerslev, Steve Lange (1999). Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon. Journal of Empirical Finance.DOI
  101. Tim Bollerslev, Hans Ole Mikkelsen (1999). Long-term equity anticipation securities and stock market volatility dynamics. Journal of Econometrics.DOI
  102. Tim Bollerslev, Daniel Jubinski (1999). Equity trading volume and volatility: Latent information arrivals and common long-run dependencies.DOI
  103. Torben G. Andersen, Tim Bollerslev, F. Diebold, Paul Labys (1999). (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation *.
  104. Torben G. Anderson, Tim Bollerslev, Ashish Das (1998). Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment. National Bureau of Economic Research.DOI
  105. Torben G. Andersen, Tim Bollerslev (1998). Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies.DOI
  106. Torben G. Andersen, Tim Bollerslev (1998). ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS*.DOI
  107. Torben Gustav Andersen, Tim Bollerslev (1997). Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns. The Journal of Finance.DOI
  108. Torben Gustav Andersen, Tim Bollerslev (1997). Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance.DOI
  109. Tim Bollerslev, Ian H. Domowitz, Jianxin Wang (1997). Order flow and the bid-ask spread: An empirical probability model of screen-based trading. Journal of Economic Dynamics and Control.DOI
  110. Torben M. Andersen, Tim Bollerslev (1997). Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts. National Bureau of Economic Research.DOI
  111. Tim Bollerslev, Éric Ghysels (1996). Periodic Autoregressive Conditional Heteroscedasticity. Journal of Business and Economic Statistics.DOI
  112. Tim Bollerslev, Peter E. Rossi (1996). Introduction: Modelling Stock Market Volatility—Bridging the Gap to Continuous Time.DOI
  113. Tim Bollerslev, H. Mikkelsen (1996). MODELING AND PRICING LONG- MEMORY IN STOCK MARKET VOLATILITY.DOI
  114. R. Baillie, Tim Bollerslev, H. Mikkelsen (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity.DOI
  115. Tim Bollerslev, Peter E. Rossi (1995). Dan Nelson Remembered.DOI
  116. R. Baillie, Tim Bollerslev (1994). The long memory of the forward premium.DOI
  117. Tim Bollerslev, Michael T. Melvin (1994). Bid—ask spreads and volatility in the foreign exchange market: An empirical analysis.DOI
  118. R. Baillie, Tim Bollerslev (1994). Cointegration, Fractional Cointegration, and Exchange Rate Dynamics.DOI
  119. Tim Bollerslev, R. Engle, Daniel B. Nelson (1994). Chapter 49 Arch models.DOI
  120. Tim Bollerslev, Rob Engle, Daniel B. Nelson (1993). ARCH MODELS Prepared for The Handbook of Econometrics , Volume 4.
  121. Tim Bollerslev, Ian Domowitz (1993). Trading Patterns and Prices in the Interbank Foreign Exchange Market.DOI
  122. R. Baillie, Tim Bollerslev, M. Redfearn (1993). Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange.DOI
  123. Tim Bollerslev, R. Engle (1993). COMMON PERSISTENCE IN CONDITIONAL VARIANCES.DOI
  124. Tim Bollerslev, Robert J. Hodrick (1992). Financial Market Efficiency Tests. National Bureau of Economic Research.DOI
  125. R. Baillie, Tim Bollerslev (1992). Prediction in dynamic models with time-dependent conditional variances.DOI
  126. Tim Bollerslev, J. Wooldridge (1992). Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances.DOI
  127. Tim Bollerslev, R. Chou, Kenneth F. Kroner (1992). ARCH modeling in finance: A review of the theory and empirical evidence.DOI
  128. Tim Bollerslev, Ray Yeutien Chou, Narayanan Jayaraman, L. KennethF.Kroner (1991). es modéles ARCH en finance: un point sur la théorie et les résultats empiriques.DOI
  129. R. Baillie, Tim Bollerslev (1991). INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES.DOI
  130. Tim Bollerslev (1990). Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model.DOI
  131. R. Baillie, Tim Bollerslev (1990). A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets.DOI
  132. R. Baillie, Tim Bollerslev (1989). The Message in Daily Exchange Rates.DOI
  133. R. Baillie, Tim Bollerslev (1989). A Conditional-Variance Tale.
  134. R. Baillie, Tim Bollerslev (1989). Common Stochastic Trends in a System of Exchange Rates.DOI
  135. Tim Bollerslev, R. Engle, J. Wooldridge (1988). A Capital Asset Pricing Model with Time-Varying Covariances. Journal of Political Economy.DOI
  136. Tim Bollerslev (1988). ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS.DOI
  137. R. Baillie, Tim Bollerslev (1988). FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES.
  138. Tim Bollerslev (1987). A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN.DOI
  139. Tim Bollerslev, Ian H. Domowitz, Wang, Jianxin. Order flow and the bid-ask spread: An empirical probability model of screen-based trading. RePEc: Research Papers in Economics.
  140. DemetrioLacava, AngeloRanaldo, Paolo Santucci de Magistris, Y. Amihud, Tim Bollerslev, Nicola Borri, Massimiliano Caporin, Alessandro Casini, Leopoldo Catania, Dobrislav Dobrev, Deniz Erdemlioglu, M. Hallin, Joel Hasbrouck, M. Podolskij, A. Rahbek, Eduardo Rossi, F. Sangiorgi, Pierluigi Vallarino, Paolo Vitale. Realized Illiquidity ∗.
  141. Tim Bollerslev, Eric Ghysels Montréal, Polytechnique, Université De Montréal, Cirano, Eric Ghysels. Série Scientifique Scientific Series on Periodic Autogressive Conditional Heteroskedasticity Les Organisations-partenaires / the Partner Organizations on Periodic Autoregressive Conditional Heteroskedasticity.
  142. Tim Bollerslev, Jia Li, Qiyuan Li, Yi-Fan Li. Estimating Correlations and Reading the News by Candlesticks ∗.
  143. Y. Şimşek, Andrew J. Patton, Tim Bollerslev, A. Bykhovskaya, Anna Cieślak, Mehmet Caner, P. Hansen, Ilze Kalniņa, Raul Guarini Riva, Adam Rosen, George Tauchen, Christopher Walker. Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation ∗.
  144. Eric Ghysels, Pedro Santa-Clara, Rossen I. Valkanov, Tim Bollerslev, Mike Chernov, Rob Engle, David Hendry, Nour Meddahi, Éric Renault, Neil Shephard. Série Scientifique Scientific Series the Midas Touch: Mixed Data Sampling Regression Models the Midas Touch: Mixed Data Sampling Regression Models*.
  145. Peter F. Christoffersen, Kris Jacobs, Cirano, Torben G. Andersen, Jeremy Berkowitz, Tim Bollerslev, Michael Brandt, J. Detemple, Jin-Li Duan, René Garcia, Nour Meddahi, Éric Renault. Série Scientifique Scientific Series the Importance of the Loss Function in Option Valuation the Importance of the Loss Function in Option Valuation.
  146. Eric Ghysels, Pedro Santa-Clara, Rossen I. Valkanov, Ucla, Tim Bollerslev, Mike Chernov, Rob Engle, John Geweke, David Hendry, Nour Meddahi, Éric Renault, Neil Shephard, C. Whiteman, Jonathan H. Wright. Anderson Graduate School of Management – Finance Uc Los Angeles Title: the Midas Touch: Mixed Data Sampling Regression Models the Midas Touch: Mixed Data Sampling Regression Models *.
  147. Eric Ghysels, Pedro Santa-Clara, Rossen I. Valkanov, Michael Brandt, Tim Bollerslev, Mike Chernov, Rob Engle, Shingo Goto, Amit Goyal, Campbell Harvey, David Hendry, F. Longstaff, Nour Meddahi, Éric Renault, M. Richardson, Neil Shephard, L. Brothers. Série Scientifique Scientific Series There Is a Risk-return Tradeoff after All There Is a Risk-return Tradeoff after All*.
  148. Michael W. Brandt, F. Diebold, Tim Bollerslev, Celso Brunetti, Rob Engle, Joel Hasbrouck, Peter Lildolt, Jeffrey R. Russell, Neil Shephard, W. Brandt, F. Diebold. The Rodney L. White Center for Financial Research a No-arbitrage Approach to Range-based Estimation of Return Covariances and Correlations *.
  149. Peter F. Christoffersen, Kris Jacobs, Cirano, Torben G. Andersen, Tim Bollerslev, J. Detemple, Jin Duan, Nour Meddahi. Série Scientifique Scientific Series the Importance of the Loss Function in Option Pricing the Importance of the Loss Function in Option Pricing.

Preprints

  1. Tim Bollerslev, Jia Li, Yifan Li, Qiushi Zhang (2025). Illuminating Important Economic News by Candlesticks: Optimal Testing meets Technical Analysis. SSRN Electronic Journal.DOI
  2. Tim Bollerslev (2008). Glossary to ARCH (GARCH). SSRN Electronic Journal.DOI
  3. Torben Gustav Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold (2005). Volatility Forecasting. SSRN Electronic Journal.DOI
  4. Torben Gustav Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold (2005). Practical Volatility and Correlation Modeling for Financial Market Risk Management. SSRN Electronic Journal.DOI
  5. Torben Gustav Andersen, Tim Bollerslev, Francis X. Diebold, Jin Ginger Wu (2004). Realized Beta: Persistence and Predictability. SSRN Electronic Journal.DOI
  6. Torben Gustav Andersen, Tim Bollerslev, Francis X. Diebold (2003). Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility. SSRN Electronic Journal.DOI

Book Chapters

  1. Torben Gustav Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold (2006). Chapter 15 Volatility and Correlation Forecasting. Handbook of economic forecasting.DOI

Research Interests

EconomicsEconometricsFinance

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