Tim Bollerslev, Juanita & Clifton Kreps Professor and Professor of Finance

Tim Bollerslev is the Juanita and Clifton Kreps Distinguished Professor of Economics at Duke University and Professor of Finance at the Fuqua School of Business at Duke University. He is an elected fellow of the Econometric Society, and a longtime Research Associate at the National Bureau of Economic Research (NBER). He is also a research fellow at the Center for Research in Time Series Econometrics (CREATES) at the University of Aarhus, Denmark. Prior to joining Duke, Bollerslev has held positions as the Sharpe Distinguished Professor of Finance at the Kellogg Graduate School of Management at Northwestern University, and the Commonwealth Professor of Economics at the University of Virginia. Risk plays a central role in the theory and practice of financial economics and macroeconomics. A burgeon literature has emerged over the past two decades devoted to modeling and better understanding the temporal dependencies in financial market risks and volatilities. Bollerslev’s research has been at the forefront of these developments. Many of his ideas for measuring, modeling, and forecasting financial market volatility are now routinely used by economists and finance practitioners all over the world. The GARCH model invented by Bollerslev was explicitly cited in the press release accompanying the 2003 Nobel Prize in Economics “for methods of analyzing economic time series with time-varying volatility (ARCH)” as the “model most often applied today.” Bollerslev has published extensively in all of the leading academic journals in the field, and lectured at numerous international conferences, universities, and financial institutions. His research has been continually supported by grants from the National Science Foundation (NSF). He is the author of two of the three most cited papers in the Journal of Econometrics, and he was recently ranked among the top twenty most cited economists in the world. Bollerslev currently serves as co-editor for the Journal of Applied Econometrics, and he has previously served on the editorial board for more than ten other academic journals.

Contact Info:

Office Location:	313 Social Science
Office Phone:	(919) 660-1846
Email Address:
Web Page:	http://econ.duke.edu/~boller

Teaching (Fall 2009):

• ECON 385F.01, FINANCIAL ECONOMETRICS

  Perkins 2-071, M 11:40 AM-12:55 PM

• ECON 201FS.01, HONORS JR WORKSHOP: FINANCE

  Perkins 2-071, MW 11:40 AM-12:55 PM

• ECON 350.01, ECONOMET MACRO TIME SER

  Social Sciences 105, TuTh 01:15 PM-02:30 PM

• ECON 385F.01, FINANCIAL ECONOMETRICS

  Perkins 2-071, M 11:40 AM-01:00 PM

Education:

PhD	University of California, San Diego	1986
Master of Science in Economics and Mathematics (Cand. Scient. Oecon.),	University of Aarhus, Denmark	1983

Specialties:

Econometrics
Financial Economics

Research Interests: Time Series Econometrics, Financial Econometrics, Empirical Finance

Professor Bollerslev conducts research in the areas of time-series econometrics, financial econometrics, and empirical asset pricing finance. He is particularly well known for his developments of econometric models and procedures for analyzing and forecasting financial market volatility. Much of Bollerslev’s recent research has focused on the analysis of newly available high-frequency intraday, or tick-by-tick, financial data and so-called realized volatility measures, macroeconomic news announcement effects, and the pricing of volatility risk. Recent reviews of his work are available in the two Handbook chapters "Volatility and Correlation Forecasting” (with Torben G. Andersen, Peter Christoffersen and Francis X. Diebold), Handbook of Economic Forecasting, (eds. Graham Elliott, Clive W.J. Granger and Allan Timmermann), 2006, and "Parametric and Nonparametric Volatility Measurement” (with Torben G. Andersen and Francis X. Diebold), in Handbook of Financial Econometrics, (eds. Yacine Aït-Sahalia and Lars P. Hansen), 2009.

Areas of Interest:

Time Series Econometrics
Financial Econometrics
Empirical Finance

Keywords:

Financial econometrics • time series econometrics • financial economics • volatility • GARCH • high frequency financial data • macroeconomic news announcements

Curriculum Vitae

Representative Publications   (More Publications)

1. Tim Bollerslev, Torben G. Anderson and Nour Meddahi, Realized Volatility Forecasting and Market Microstructure Noise., Journal of Econometrics. (2009)
2. Tim Bollerslev, Michael Gibson and Hao Zhou, Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities., Journal of Econometrics. (2009)
3. Tim Bollerslev, George Tauchen and Hao Zhou, Expected Stock Returns and Variance Risk Premia., Review of Financial Studies. (2009)
4. Tim Bollerslev, Torben G. Anderson and Francis X. Diebold, Roughing it Up: Disentangling Continuous and Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility., Review of Financial Studies. (2007)
5. Tim Bollerslev, Torben G. Anderson, Francis X. Diebold and Clara Vega, Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange., American Economic Review. (2003)
6. Tim Bollerslev, Torben G. Anderson, Francis X. Diebold and Paul Labys, Modeling and Forecasting Realized Volatility, Econometrica (2003)