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

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

Teaching (Fall 2012):

• ECON 471.01, FINANCIAL MRKT AND INVESTMENTS Synopsis

  Social Sciences 111, TuTh 01:25 PM-02:40 PM

  (also cross-listed as ECON 571.01, VMS 254.01)

• ECON 957S.01, RSRCH SEM: FINANL ECONOMETRICS Synopsis

  Social Sciences 113, M 11:45 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

Representative 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)