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Publications of Tim Bollerslev    :chronological  alphabetical  combined  bibtex listing:

Papers Accepted

  1. T. Bollerslev with T.G. Andersen, P. Christoffersen and F.X. Diebold, Volatility Forecasting, in Handbook of Economic Forecasting, edited by G. Elliott, C.W.J. Granger and A. Timmermann (forthcoming 2005), Amsterdam: Elsevier Science B.V.
  2. T. Bollerslev with T.G. Andersen, P. Christoffersen and F.X. Diebold, Volatility and Correlation Modelling in Market Risk Management: Pitfalls and Opportunities, in Risks of Financial Institutions and the Financial Sector, edited by R. Stulz and M. Carey (forthcoming 2005), National Bureau of Economic Research
  3. T. Bollerslev with T.G. Andersen and F. X. Diebold, "Parametric and Nonparametric Volatility Measurement", in Handbook of Financial Econometrics, edited by Y. Ait-Sahalia and L.P. Hansen (forthcoming 2005), Amsterdam: Elsevier Science B.V.

Papers Submitted

  1. T. Bollerslev with T.G. Andersen, F.X. Diebold and C. Vega, Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (2004)
  2. T. Bollerslev with M. Gibson and H. Zhou, Estimating Time-Varying Volatility Risk Premia and Investor Risk Aversion from Options Implied and Realized Volatilities (2004)
  3. T. Bollerslev with T.G. Andersen and F.X. Diebold, Some Like it Smooth and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility (2004)

Journal Articles

  1. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Multivariate leverage effects and realized semicovariance GARCH models, Journal of Econometrics, vol. 217 no. 2 (August, 2020), pp. 411-430 [doi]  [abs]
  2. Bollerslev, T; Li, J; Patton, AJ; Quaedvlieg, R, Realized Semicovariances, Econometrica, vol. 88 no. 4 (July, 2020), pp. 1515-1551 [doi]  [abs]
  3. Bollerslev, T; Li, J; Chaves, LSS, Generalized Jump Regressions for Local Moments, Journal of Business & Economic Statistics (January, 2020) [doi]  [abs]
  4. Zhang, C; Li, J; Bollerslev, T, Occupation density estimation for noisy high-frequency data, Journal of Econometrics (January, 2020) [doi]  [abs]
  5. Bollerslev, T; Meddahi, N; Nyawa, S, High-dimensional multivariate realized volatility estimation, Journal of Econometrics, vol. 212 no. 1 (September, 2019), pp. 116-136 [doi]  [abs]
  6. Bollerslev, T; Li, J; Xue, Y, Volume, volatility, and public news announcements, Review of Economic Studies, vol. 85 no. 4 (October, 2018), pp. 2005-2041, Oxford University Press (OUP) [doi]  [abs]
  7. Bollerslev, T; Hood, B; Huss, J; Pedersen, LH, Risk Everywhere: Modeling and Managing Volatility (February, 2018)
  8. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions, vol. 207 no. 1 (2018), pp. 71-91  [abs]
  9. Bollerslev, T; Li, SZ; Zhao, B, Good Volatility, Bad Volatility and the Cross-Section of Stock Returns (January, 2017)
  10. Bollerslev, T; Patton, AJ; Wang, W, Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions, Journal of Applied Econometrics, vol. 31 no. 6 (September, 2016), pp. 1005-1025  [abs]
  11. Bollerslev, T; Li, SZ; Todorov, V, Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns, Journal of Financial Economics, vol. 120 no. 3 (June, 2016), pp. 464-490, Elsevier BV [doi]  [abs]
  12. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Exploiting the errors: A simple approach for improved volatility forecasting, Journal of Econometrics, vol. 192 no. 1 (May, 2016), pp. 1-18, Elsevier BV [doi]  [abs]
  13. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions, vol. 207 no. 1 (April, 2016), pp. 71-91, Elsevier BV [doi]  [abs]
  14. Bollerslev, T; Hood, B; Huss, J; Pedersen, LH, Risk Everywhere: Modeling and Managing Volatility, vol. 31 no. 7 (January, 2016), pp. 2730-2773, Oxford University Press (OUP) [doi]  [abs]
  15. Bollerslev, T; Xu, L; Zhou, H, Stock return and cash flow predictability: The role of volatility risk, Journal of Econometrics, vol. 187 no. 2 (August, 2015), pp. 458-471, Elsevier BV [doi]  [abs]
  16. Bollerslev, T; Todorov, V; Xu, L, Tail risk premia and return predictability, Journal of Financial Economics, vol. 118 no. 1 (January, 2015), pp. 113-134, Elsevier BV [doi]  [abs]
  17. Bollerslev, T; Todorov, V, Time-varying jump tails, Journal of Econometrics, vol. 183 no. 2 (January, 2014), pp. 168-180, ISSN 0304-4076 [doi]  [abs]
  18. Kontoghiorghes, EJ; Van Dijk, HK; Belsley, DA; Bollerslev, T; Diebold, FX; Dufour, JM; Engle, R; Harvey, A; Koopman, SJ; Pesaran, H; Phillips, PCB; Smith, RJ; West, M; Yao, Q; Amendola, A; Billio, M; Chen, CWS; Chiarella, C; Colubi, A; Deistler, M; Francq, C; Hallin, M; Jacquier, E; Judd, K; Koop, G; Lütkepohl, H; MacKinnon, JG; Mittnik, S; Omori, Y; Pollock, DSG; Proietti, T; Rombouts, JVK; Scaillet, O; Semmler, W; So, MKP; Steel, M; Taylor, R; Tzavalis, E; Zakoian, JM; Peter Boswijk, H; Luati, A; Maheu, J, CFEnetwork: The Annals of computational and financial econometrics: 2nd issue, Computational Statistics & Data Analysis, vol. 76 (January, 2014), pp. 1-3, Elsevier BV, ISSN 0167-9473 [doi]
  19. Bollerslev, T; Todorov, V; Li, SZ, Jump tails, extreme dependencies, and the distribution of stock returns, Journal of Econometrics, vol. 172 no. 2 (January, 2013), pp. 307-324, ISSN 0304-4076 [doi]  [abs]
  20. Andersen, TG; Bollerslev, T; Christoffersen, P; Diebold, FX, Financial Risk Measurement for Financial Risk Management, vol. 2 no. PB (May, 2012), pp. 1127-1220  [abs]
  21. Bollerslev, T; Sizova, N; Tauchen, G, Volatility in equilibrium: Asymmetries and dynamic dependencies, Review of Finance, vol. 16 no. 1 (2012), pp. 31-80, Oxford University Press (OUP), ISSN 1572-3097 [doi]  [abs]
  22. Bollerslev, T; Todorov, V, Tails, Fears, and Risk Premia, The Journal of Finance, vol. 66 no. 6 (December, 2011), pp. 2165-2211, WILEY, ISSN 0022-1082 [doi]  [abs]
  23. Bollerslev, T; Todorov, V, Estimation of jump tails, Econometrica, vol. 79 no. 6 (November, 2011), pp. 1727-1783, The Econometric Society, ISSN 0012-9682 [doi]  [abs]
  24. Tim, B; Jesper, CB; Niels, H; Asger, L, Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction, Journal of Time Series Econometrics, vol. 3 no. 1 (February, 2011), pp. 1-8
  25. Andersen, TG; Bollerslev, T; Huang, X, A reduced form framework for modeling volatility of speculative prices based on realized variation measures, Journal of Econometrics, vol. 160 no. 1 (January, 2011), pp. 176-189, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  26. Bollerslev, T; Gibson, M; Zhou, H, Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities, Journal of Econometrics, vol. 160 no. 1 (January, 2011), pp. 235-245, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  27. Andersen, TG; Bollerslev, T; Meddahi, N, Realized volatility forecasting and market microstructure noise, Journal of Econometrics, vol. 160 no. 1 (January, 2011), pp. 220-234, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  28. Bollerslev, T; Marrone, J; Xu, L; Zhou, H, Stock return predictability and variance risk premia: statistical inference and international evidence, vol. 49 no. 3 (2011), pp. 633-661, ISSN 0022-1090 [doi]  [abs]
  29. Todorov, V; Bollerslev, T, Jumps and betas: A new framework for disentangling and estimating systematic risks, Journal of Econometrics, vol. 157 no. 2 (August, 2010), pp. 220-235, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  30. Andersen, TG; Bollerslev, T; Frederiksen, P; Nielsen, MØ, Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns, Journal of Applied Econometrics, vol. 25 no. 2 (March, 2010), pp. 233-261, WILEY, ISSN 0883-7252 [doi]  [abs]
  31. Bollerslev, T; Tauchen, G; Zhou, H, Expected stock returns and variance risk premia, Review of Financial Studies, vol. 22 no. 11 (November, 2009), pp. 4463-4492, Oxford University Press (OUP), ISSN 0893-9454 [doi]  [abs]
  32. Bollerslev, T; Kretschmer, U; Pigorsch, C; Tauchen, G, A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects, Journal of Econometrics, vol. 150 no. 2 (June, 2009), pp. 151-166, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  33. Bollerslev, T; Law, TH; Tauchen, G, Risk, jumps, and diversification, Journal of Econometrics, vol. 144 no. 1 (May, 2008), pp. 234-256, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  34. Andersen, TG; Bollerslev, T; Diebold, FX; Vega, C, Real-time price discovery in global stock, bond and foreign exchange markets, Journal of International Economics, vol. 73 no. 2 (November, 2007), pp. 251-277, Elsevier BV, ISSN 0022-1996 [doi]  [abs]
  35. Andersen, TG; Bollerslev, T; Diebold, FX, Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility, The Review of Economics and Statistics, vol. 89 no. 4 (November, 2007), pp. 701-720, MIT Press - Journals, ISSN 0034-6535 [doi]  [abs]
  36. Peng, L; Xiong, W; Bollerslev, T, Investor attention and time-varying comovements, European Financial Management, vol. 13 no. 3 (June, 2007), pp. 394-422, WILEY, ISSN 1354-7798 [doi]  [abs]
  37. Andersen, TG; Bollerslev, T; Dobrev, D, 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. 138 no. 1 (May, 2007), pp. 125-180, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  38. Bollerslev, T; Anderson, TG; Diebold, FX, Roughing it Up: Disentangling Continuous and Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility., Review of Financial Studies. (2007)
  39. Bollerslev, T; Litvinova, J; Tauchen, G, Leverage and volatility feedback effects in high-frequency data, Journal of Financial Econometrics, vol. 4 no. 3 (June, 2006), pp. 353-384, Oxford University Press (OUP), ISSN 1479-8409 [doi]  [abs]
  40. Andersen, TG; Bollerslev, T; Diebold, FX; Wu, G, Realized Beta: Persistence and Predictability, in Advances in Econometrics: Econometric Analysis of Economic and Financial Time Series, edited by Thomas B. Fomby, Advances in Econometrics, vol. 20 PART 2 (April, 2006), pp. 1-39, Emerald (MCB UP ), ISSN 0731-9053 [doi]  [abs]
  41. Andersen, TG; Bollerslev, T; Frederiksen, PH; Nielsen, MØ, Comment, Journal of Business & Economic Statistics, vol. 24 no. 2 (April, 2006), pp. 173-179, Informa UK Limited, ISSN 0735-0015 [doi]
  42. Bollerslev, T; Zhou, H, Volatility puzzles: A simple framework for gauging return-volatility regressions, Journal of Econometrics, vol. 131 no. 1-2 (March, 2006), pp. 123-150, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  43. Andersen, TG; Bollerslev, T; Diebold, FX; Wu, J; Brandt, M, A framework for exploring the macroeconomic determinants of systematic risk, American Economic Review, vol. 95 no. 2 (May, 2005), pp. 398-404, American Economic Association, ISSN 0002-8282 [doi]
  44. Andersen, TG; Bollerslev, T; Meddahi, N, Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities, Econometrica, vol. 73 no. 1 (January, 2005), pp. 279-296, The Econometric Society, ISSN 0012-9682 [repository], [doi]  [abs]
  45. Andersen, TG; Bollerslev, T; Meddahi, N, Analytical evaluation of volatility forecasts, International Economic Review, vol. 45 no. 4 (November, 2004), pp. 1079-1110, WILEY, ISSN 0020-6598 [doi]  [abs]
  46. Bollerslev, T; Zhou, H, Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65], vol. 119 no. 1 (March, 2004), pp. 221-222
  47. Bollerslev, T; Zhou, H, Erratum: Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Journal of Econometircs (2002) 109 (33-65) PII: S0304407601001415), Journal of Econometrics, vol. 119 no. 1 (2004), pp. 221-222, Elsevier BV [doi]
  48. Andersen, TG; Bollerslev, T; Diebold, FX; Vega, C, Micro effects of macro announcements: Real-time price discovery in foreign exchange, American Economic Review, vol. 93 no. 1 (March, 2003), pp. 38-62, American Economic Association, ISSN 0002-8282 [doi]  [abs]
  49. Bollerslev, T; Zhang, BYB, Measuring and modeling systematic risk in factor pricing models using high-frequency data, Journal of Empirical Finance, vol. 10 no. 5 (January, 2003), pp. 533-558, Elsevier BV [doi]  [abs]
  50. Andersen, TG; Bollerslev, T; Diebold, FX; Labys, P, Modeling and forecasting realized volatility, Econometrica, vol. 71 no. 2 (January, 2003), pp. 579-625, The Econometric Society [doi]  [abs]
  51. 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)
  52. Tim Bollerslev, Torben G. Anderson, Francis X. Diebold and Paul Labys, Modeling and Forecasting Realized Volatility, Econometrica (2003)
  53. Forsberg, L; Bollerslev, T, Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): The GARCH-NIG model, Journal of Applied Econometrics, vol. 17 no. 5 (September, 2002), pp. 535-548, WILEY [doi]  [abs]
  54. Bollerslev, T; Zhou, H, Estimating stochastic volatility diffusion using conditional moments of integrated volatility, Journal of Econometrics, vol. 109 no. 1 (July, 2002), pp. 33-65, Elsevier BV [repository], [doi]  [abs]
  55. Bollerslev, T; Wright, JH, High-frequency data, frequency domain inference, and volatility forecasting, The Review of Economics and Statistics, vol. 83 no. 4 (November, 2001), pp. 596-602, MIT Press - Journals [doi]  [abs]
  56. Andersen, TG; Bollerslev, T; Diebold, FX; Ebens, H, The distribution of realized stock return volatility, Journal of Financial Economics, vol. 61 no. 1 (July, 2001), pp. 43-76, Elsevier BV [doi]  [abs]
  57. Andersen, TG; Bollerslev, T; Diebold, FX; Labys, P, The distribution of realized exchange rate volatility, Journal of the American Statistical Association, vol. 96 no. 453 (March, 2001), pp. 42-55, Informa UK Limited, ISSN 0162-1459 [doi]  [abs]
  58. Bollerslev, T, Financial econometrics: Past developments and future challenges, Journal of Econometrics, vol. 100 no. 1 (January, 2001), pp. 41-51, Elsevier BV [doi]  [abs]
  59. Andersen, TG; Bollerslev, T; Das, A, Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns, The Journal of Finance, vol. 56 no. 1 (January, 2001), pp. 305-327, WILEY [doi]  [abs]
  60. Bollerslev, T; Wright, JR, Volatility Forecasting, High-Frequency Data, and Frequency Domain Inference, Review of Economics and Statistics, vol. 83 no. 4 (2001), pp. 596-602 [doi]  [abs]
  61. Bollerslev, T; Cai, J; Song, FM, Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market, Journal of Empirical Finance, vol. 7 no. 1 (January, 2000), pp. 37-55, Elsevier BV [doi]  [abs]
  62. Andersen, TG; Bollerslev, T; Cai, J, Intraday and interday volatility in the Japanese stock market, Journal of International Financial Markets, Institutions and Money, vol. 10 no. 2 (January, 2000), pp. 107-130, Elsevier BV [doi]  [abs]
  63. Baillie, RT; Bollerslev, T, The forward premium anomaly is not as bad as you think, Journal of International Money and Finance, vol. 19 no. 4 (January, 2000), pp. 471-488, Elsevier BV [repository], [doi]  [abs]
  64. Andersen, TG; Bollerslev, T; Diebold, FX; Labys, P, Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian, vol. 4 (January, 2000), pp. 159-179  [author's comments]
  65. Bollerslev, T; Andersen, TG; Diebold, FX; Labys, P, Great Realizations, Risk, vol. 13 (2000), pp. 105-108
  66. Bollerslev, T; Wright, JH, Semiparametric Estimation of Long-Memory Volatility Dependencies, Journal of Econometrics, vol. 98 no. 1 (2000), pp. 81-106 [repository]  [abs]
  67. Bollerslev, T; Jubinski, D, Equity trading volume and volatility: Latent information arrivals and common long-run dependencies, Journal of Business & Economic Statistics, vol. 17 no. 1 (January, 1999), pp. 9-21, Informa UK Limited [repository], [doi]  [abs]
  68. Bollerslev, T; Mikkelsen, HO, Long-term equity anticipation securities and stock market volatility dynamics, Journal of Econometrics, vol. 92 no. 1 (January, 1999), pp. 75-99, Elsevier BV [repository], [doi]  [abs]
  69. Andersen, TG; Bollerslev, T; Lange, S, Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon, Journal of Empirical Finance, vol. 6 no. 5 (January, 1999), pp. 457-477, Elsevier BV [doi]  [abs]
  70. Dewhirst, MW; Mitchell, JB, Introduction., Semin Radiat Oncol, vol. 8 no. 3 (July, 1998), pp. 141-142, ISSN 1053-4296 [doi]  [abs]
  71. Andersen, TG; Bollerslev, T, Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies, The Journal of Finance, vol. 53 no. 1 (January, 1998), pp. 219-265, WILEY [doi]  [abs]
  72. Andersen, TG; Bollerslev, T, Towards a unified framework for high and low frequency return volatility modeling, Statistica Neerlandica, vol. 52 no. 3 (January, 1998), pp. 273-302, WILEY [doi]  [abs]
  73. Andersen, TG; Bollerslev, T, Answering the skeptics: Yes, standard volatility models do provide accurate forecasts, International Economic Review, vol. 39 no. 4 (January, 1998), pp. 885-905, JSTOR (Reprinted in The International Library of Critical Writings in Economics: Forecasting Financial Markets (ed. Terence C. Mills), London: Edward Elgar Publishing Limited, 2002.) [doi]  [abs]
  74. T. Bollerslev, Torben G. Andersen, ARCH and GARCH Models, in Encyclopedia of Statistical Sciences Vol.II, edited by Samuel Kotz, Campbell B. Read and David L. Banks (1998), New York: John Wiley and Sons Inc.
  75. Bollerslev, T; Domowitz, I; Wang, J, Order flow and the bid-ask spread: An empirical probability model of screen-based trading, Journal of Economic Dynamics and Control, vol. 21 no. 8-9 (June, 1997), pp. 1471-1491, Elsevier BV [doi]  [abs]
  76. Andersen, TG; Bollerslev, T, Answering the Critics: Yes, Arch Models Do Provide Good Volatility Forecasts (April, 1997)
  77. Andersen, TG; Bollerslev, T, Intraday periodicity and volatility persistence in financial markets, Journal of Empirical Finance, vol. 4 no. 2-3 (January, 1997), pp. 115-158, Elsevier BV [doi]  [abs]
  78. Andersen, TG; Bollerslev, T, Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns, The Journal of Finance, vol. 52 no. 3 (January, 1997), pp. 975-1005, WILEY [doi]  [abs]
  79. Baillie, RT; Bollerslev, T; Mikkelsen, HO, Fractionally integrated generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol. 74 no. 1 (January, 1996), pp. 3-30, Elsevier BV [doi]  [abs]
  80. Bollerslev, T; Ghysels, E, Periodic autoregressive conditional heteroscedasticity, Journal of Business & Economic Statistics, vol. 14 no. 2 (January, 1996), pp. 139-151, Informa UK Limited [doi]  [abs]
  81. Bollerslev, T; Mikkelsen, HO, Modeling and pricing long memory in stock market volatility, Journal of Econometrics, vol. 73 no. 1 (January, 1996), pp. 151-184, Elsevier BV [doi]  [abs]
  82. T. Bollerslev, Peter E. Rossi, Introduction: Modelling Stock Market Volatility - Bridging the GAP to Continuous Time, in Modelling Stock Market Volatility, edited by Peter E. Rossi (1996), San Diego: Academic Press
  83. Bollerslev, T; Rossi, PE, Dan Nelson Remembered., Journal of Business and Economic Statistics, vol. 13 no. 4 (October, 1995), pp. 361-364 [repository]
  84. T. Bollerslev, Robert J. Hodrick, Financial Market Efficiency Tests, in Handbook of Applied Econometrics, Vol.I, edited by M. Hashem Pesaran and Michael Wickens (1995), London: Basil Blackwell
  85. BAILLIE, RT; BOLLERSLEV, T, Cointegration, Fractional Cointegration, and Exchange Rate Dynamics, The Journal of Finance, vol. 49 no. 2 (January, 1994), pp. 737-745, WILEY, ISSN 0022-1082 [Gateway.cgi], [doi]  [abs]
  86. Baillie, RT; Bollerslev, T, The long memory of the forward premium, Journal of International Money and Finance, vol. 13 no. 5 (January, 1994), pp. 565-571, Elsevier BV, ISSN 0261-5606 [doi]  [abs]
  87. Bollerslev, T; Melvin, M, Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis, Journal of International Economics, vol. 36 no. 3-4 (January, 1994), pp. 355-372, ISSN 0022-1996 [repository], [doi]  [abs]
  88. T. Bollerslev, Robert F. Engle and Daniel B. Nelson, ARCH Models, in Handbook of Econometrics, edited by Robert F. Engle and Daniel McFadden, vol. Vol.IV (1994), Amsterdam: Elsevier Science B.V.
  89. T. Bollerslev, Richard T. Baillie, On the Interdependence of International Asset Markets, in Global Portfolio Diversification: Risk Management, Market Microstructure, and Implementation Issues, edited by Raj Aggarwal and David C. Schirm (1994), Orlando, Florida: Academic Press
  90. BOLLERSLEV, T; DOMOWITZ, I, Trading Patterns and Prices in the Interbank Foreign Exchange Market, The Journal of Finance, vol. 48 no. 4 (January, 1993), pp. 1421-1443, WILEY, ISSN 0022-1082 [Gateway.cgi], [doi]  [abs]
  91. Baillie, RT; Bollerslev, T; Redfearn, MR, Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange, Journal of International Money and Finance, vol. 12 no. 5 (January, 1993), pp. 511-521, Elsevier BV, ISSN 0261-5606 [doi]  [abs]
  92. Bollerslev, T; Engle, RF, Common Persistence in Conditional Variances, Econometrica, vol. 61 no. 1 (January, 1993), pp. 167-167, JSTOR, ISSN 0012-9682 [Gateway.cgi], [doi]
  93. T. Bollerslev, Richard T. Baillie, Nominal Exchange Rates, in New Palgrave Dictionary of Money and Finance, edited by Peter Newman, The (1993), ). London: MacMillan Press Limited
  94. T. Bollerslev, Ian Domowitz, Some Effects of Restricting the Electronic Order Book in an Automated Trade Execution System, in The Double Auction Market: Institutions, Theories, and Evidence, edited by Daniel Friedman and John Rust (1993), Reading, Massachusetts: Addison-Wesley Publishing Company
  95. Bollerslev, T; Hodrick, RJ, Financial Market Efficiency Tests (June, 1992)
  96. Bollerslev, T; Chou, RY; Kroner, KF, ARCH modeling in finance. A review of the theory and empirical evidence, Journal of Econometrics, vol. 52 no. 1-2 (January, 1992), pp. 5-59, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  97. Baillie, RT; Bollerslev, T, Prediction in dynamic models with time-dependent conditional variances, Journal of Econometrics, vol. 52 no. 1-2 (January, 1992), pp. 91-113, Elsevier BV, ISSN 0304-4076 [repository], [doi]  [abs]
  98. Bollerslev, T; Wooldridge, JM, Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometric Reviews, vol. 11 no. 2 (January, 1992), pp. 143-172, Informa UK Limited [doi]  [abs]
  99. Baillie, RT; Bollerslev, T, Intra-day and inter-market volatility in foreign exchange rates, Review of Economic Studies, vol. 58 no. 3 (January, 1991), pp. 565-585, Oxford University Press (OUP), ISSN 0034-6527 [Gateway.cgi], [doi]  [abs]
  100. T. Bollerslev, Ray Y. Chou, Narayanan Jayaraman and Kenneth F. Kroner, Les Modèles ARCH en Finance: Un Point sur la Théorie et les Résultats Empiriques, Annales D'Économie et de Statistique, vol. 24 (1991), pp. 1-59
  101. Bollerslev, T; Domowitz, I, Price Volatility, Spread Variability and the Role of Alternative Market Mechanisms, Review of Futures Markets, vol. 10 no. 1 (1991), pp. 78-102
  102. Bollerslev, T, Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model, The Review of Economics and Statistics, vol. 72 no. 3 (August, 1990), pp. 498-498, JSTOR, ISSN 0034-6535 (Reprinted in ARCH: Selected Readings (ed. Robert F. Engle), Oxford: Oxford University Press, 1995.) [Gateway.cgi], [doi]
  103. Baillie, RT; Bollerslev, T, A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets, Journal of International Money and Finance, vol. 9 no. 3 (January, 1990), pp. 309-324, Elsevier BV, ISSN 0261-5606 [repository], [doi]  [abs]
  104. BAILLIE, RT; BOLLERSLEV, T, Common Stochastic Trends in a System of Exchange Rates, The Journal of Finance, vol. 44 no. 1 (January, 1989), pp. 167-181, WILEY, ISSN 0022-1082 [Gateway.cgi], [doi]  [abs]
  105. Baillie, RT; Bollerslev, T, The message in daily exchange rates: A conditional-variance tale, Journal of Business & Economic Statistics, vol. 7 no. 3 (January, 1989), pp. 297-305, Informa UK Limited, ISSN 0735-0015 (Reprinted in Journal of Business and Economic Statistics, 20th Anniversary Commemorative Issue, Vol.20, No.1, 2002.) [doi]  [abs]
  106. Bollerslev, T; Engle, RF; Wooldridge, JM, A Capital Asset Pricing Model with Time-Varying Covariances, Journal of Political Economy, vol. 96 no. 1 (February, 1988), pp. 116-131, University of Chicago Press, ISSN 0022-3808 (Reprinted in ARCH: Selected Readings (ed. Robert F. Engle), Oxford: Oxford University Press, 1995.) [Gateway.cgi], [doi]
  107. Bollerslev, T, ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS, Journal of Time Series Analysis, vol. 9 no. 2 (January, 1988), pp. 121-131, WILEY [doi]  [abs]
  108. Bollerslev, T, A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return, The Review of Economics and Statistics, vol. 69 no. 3 (August, 1987), pp. 542-542, JSTOR, ISSN 0034-6535 [Gateway.cgi], [doi]
  109. Bollerslev, T, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol. 31 no. 3 (January, 1986), pp. 307-327, Elsevier BV, ISSN 0304-4076 (Reprinted in The International Library of Critical Writings in Econometrics: Time Series (ed. Andrew Harvey), London: Edward Elgar Publishing Limited, 1994. Reprinted in ARCH: Selected Readings (ed. Robert F. Engle), Oxford: Oxford University Press, 1995. Reprinted in Foundations of Probability, Econometrics and Economic Games (eds. O.F. Hamouda and J.C.R. Rowley), London: Edward Elgar Publishing Limited, 1996. Reprinted in Journal of Econometrics, 100th Anniversary Commemorative Issue, Vol.100, No.1, 2001..) [doi]  [abs]
  110. Engle, RF; Bollerslev, T, Modelling the persistence of conditional variances, Econometric Reviews, vol. 5 no. 1 (January, 1986), pp. 1-50, Informa UK Limited [doi]  [abs]
  111. Engle, RF; Bollerslev, T, Reply, Econometric Reviews, vol. 5 no. 1 (January, 1986), pp. 81-87, Informa UK Limited, ISSN 0747-4938 [doi]
  112. Bollerslev, T; Hylleberg, S, A NOTE ON THE RELATION BETWEEN CONSUMER'S EXPENDITURE AND INCOME IN THE UNITED KINGDOM, Oxford Bulletin of Economics and Statistics, vol. 47 no. 2 (January, 1985), pp. 153-170, WILEY, ISSN 0305-9049 [Gateway.cgi], [doi]

Chapters in Books

  1. Tim, B, Glossary to ARCH (GARCH), in Volatility and Time Series Econometrics: Essays in Honor of Robert Engle (May, 2010), pp. 137-163, Oxford University Press, ISBN 9780199549498 [doi]  [abs]
  2. Bollerslev, T; Andersen, T; Diebold, FX, Parametric and Nonparametric Volatility Measurement, in Handbook of Financial Econometrics, edited by Aït-Sahalia, Y; Hansen, LP (2010), ELSEVIER SCIENCE BV  [abs]
  3. Andersen, TG; Bollerslev, T; Christoffersen, PF; Diebold, FX, Volatility and Correlation Forecasting, in Handbook of Economic Forecasting, edited by Elliott, G; Granger, C; Timmermann, A, vol. 1 (May, 2006), pp. 777-878, ISBN 0-444-51395-7  [abs]
  4. Bollerslev, T; Engle, RF; Nelson, DB, Chapter 49 Arch models, in Handbook of Econometrics, vol. 4 (December, 1994), pp. 2959-3038, Elsevier, ISSN 1573-4412, ISBN 9780444887665 [doi]  [abs]
  5. Bollerslev, T; Engle, RF; Nelson, DB, Arch models, in Handbook of Econometrics, edited by Engle, RF; McFadden, D, vol. 4 (June, 1986), pp. 2959-3038  [abs]

Other

  1. T. Bollerslev with T.G. Andersen, F.X. Diebold and P. Labys, The Distribution of Realized Exchange Rate Volatility (Journal of the American Statistical Association, 96, 42-55, 2001), in Stochastic Volatility, edited by N. Shephard (2004), Oxford, UK: Oxford University Press
  2. T. Bollerslev with R.T. Baillie and H.O. Mikkelsen, Fractionally Integrated Generalized Autoregresisve Conditional Heteroskedasticity (Journal of Econometrics, 74, 3-30, 1996), in Recent Developments in Time Series, edited by P. Newbold and S.J. Leybourne (2003), London: Edward Elgar Publishing
  3. T. Bollerslev with R.Y. Chou and K.F. Kroner, ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence (Journal of Econometrics, 52, 5-59, 1992), in Recent Developments in Time Series, edited by P. Newbold and S.J. Leybourne (2003), London: Edward Elgar Publishing
  4. T. Bollerslev with T.G. Andersen, Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (International Economic Review, 39, 885-905, 1998), in Forecasting Financial Markets, edited by T.C. Mills (2002), London: Edward Elgar Publishing
  5. T. Bollerslev with R.T. Baillie, The Message in Daily Exchange Rates: A Conditional Variance Tale (Journal of Business and Economic Statistics, 7, 297-305, 1989), reprinted in 20th Anniversary Issue of Journal of Business and Economic Statistics, vol. 20 no. 1 (2002)  [author's comments]
  6. T. Bollerslev, Generalized Autoregressive Conditional Heteroskedasticity (Journal of Econometrics, 31, 307-327, 1986), reprinted in 100th Anniversary Issue of Journal of Econometrics, vol. 100 no. 1 (2001)
  7. T. Bollerslev with T.G. Andersen, F.X. Diebold and P. Labys, Great Realizations, Risk Magazine, vol. 13 (2000), pp. 105-108

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