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Publications of Tim Bollerslev    :chronological  combined  bibtex listing:

Papers Accepted

  1. T. Bollerslev,Torben G. Andersen, Francis X. Diebold, and Ginger Wu, Realized Beta: Persistence and Predictability, in Advances in Econometrics: Econometric Analysis of Economic and Financial Time Series, edited by Thomas B. Fomby, vol. 20 (forthcoming 2005), Amsterdam: Elsevier Science B.V.
  2. T. Bollerslev with H. Zhou, Volatility Puzzles: A Unified Framework for Gauging Return-Volatility Regressions, Journal of Econometrics (forthcoming 2005)
  3. T. Bollerslev with T.G. Andersen and N. Meddahi, Correcting the Errors: Volatility Forecast Evaluation using High-Frequency Data and Realized Volatilities, Econometrica (forthcoming 2005)
  4. 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.
  5. 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
  6. T. Bollerslev with T.G. Andersen and F.X. Diebold, A Framework for Exploring the Macroeconomic Determinants of Systematic Risk, American Economic Review (forthcoming 2005)
  7. 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. 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. T. Bollerslev with T.G. Andersen and N. Meddahi, Analytic Evaluation of Volatility Forecasts, International Economic Review, vol. 45 no. 4 (2004), pp. 1079-1110
  6. T. Bollerslev with T.G. Andersen, F. X. Diebold, and P. Labys, "Modeling and Forecasting Realized Volatility", Econometrica, vol. 71 no. 2 (2003), pp. 579-625
  7. T. Bollerslev with T.G. Andersen, F. X. Diebold, and C. Vega, "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange", American Economic Review, vol. 93 no. 1 (2003), pp. 38-62
  8. T. Bollerslev with B.Y.B. Zhang, "Measuring and Modeling Systematic Risk in Factor Pricing Models using High-Frequency Data", Journal of Empirical Finance, vol. 10 no. 5 (2003), pp. 533-558
  9. 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)
  10. Tim Bollerslev, Torben G. Anderson, Francis X. Diebold and Paul Labys, Modeling and Forecasting Realized Volatility, Econometrica (2003)
  11. T. Bollerslev with Hao Zhou, "Estimating Stochastic Volatility Diffusions Using Conditional Moments of Integrated Volatility", Journal of Econometrics, vol. 109 (2002), pp. 33-65
  12. T. Bollerslev with L.E. Forsberg, "Bridging the Gap Between the Distribution of Realized (ECU) Volatility and ARCH Modeling (of the Euro): The GARCH-NIG Model", Journal of Applied Econometrics, vol. 17 (2002), pp. 535-548
  13. T. Bollerslev with J.R. Wright, Volatility Forecasting, High-Frequency Data, and Frequency Domain Inference, Review of Economics and Statistics, vol. 83 (2001), pp. 596-602
  14. T. Bollerslev with T.G. Andersen, F.X. Diebold and H. Ebens, The Distribution of Realized Stock Return Volatility, Journal of Financial Economics, vol. 61 (2001), pp. 43-76
  15. 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, vol. 96 (2001), pp. 42-55
  16. T. Bollerslev with T.G. Andersen and A. Das, Variance-Ratio Statistics and High-Frequency Data: Testing for Changes in Intraday Volatility Patterns, Journal of Finance, vol. 56 no. 1 (2001), pp. 305-327
  17. T. Bollerslev, Financial Econometrics: Past Developments and Future Challenges, Journal of Econometrics, vol. 100 no. 1 (2001), pp. 41-51
  18. T. Bollerslev with T.G. Andersen, F.X. Diebold and P. Labys, Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian, Multinational Finance Journal, vol. 4 (2000), pp. 159-179  [author's comments]
  19. T. Bollerslev with R.T. Baillie, The Forward Premium Anomaly is Not as Bad as You Think, Journal of International Money and Finance, vol. 19 no. 4 (2000), pp. 471-488
  20. T. Bollerslev with J.H. Wright, Semiparametric Estimation of Long-Memory Volatility Dependencies, Journal of Econometrics, vol. 98 no. 1 (2000), pp. 81-106
  21. T. Bollerslev with T.G. Andersen and J.Cai, Intraday and Interday Volatility in the Japanese Stock Market, Journal of International Financial Markets, Institutions & Money, vol. 10 no. 2 (2000), pp. 107-130
  22. T. Bollerslev with J. Cai and F.M. Song, Intraday Periodicity, Long-Memory Volatility, and Macroeconomic Announcement Effects in the U.S. Treasury Bond Market, Journal of Empirical Finance, vol. 7 no. 1 (2000), pp. 37-55
  23. T. Bollerslev, Torben G. Andersen, Francis X. Diebold, and Paul Labys, Great Realizations, Risk, vol. 13 (2000), pp. 105-108
  24. T. Bollerslev with T.G. Andersen and S. Lange, Forecasting Financial Market Volatility: Sampling Frequency vis-a-vis Forecast Horizon, Journal of Empirical Finance, vol. 6 no. 5 (1999), pp. 457-477
  25. T. Bollerslev with H.O. Mikkelsen, Long-Term Equity Anticipation Securities and Stock Market Volatility Dynamics, Journal of Econometrics, vol. 92 no. 1 (1999), pp. 75-99
  26. T. Bollerslev with P.D. Jubinski, Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies, Journal of Business and Economic Statistics, vol. 17 no. 1 (1999), pp. 9-21
  27. T. Bollerslev with Richard T. Baillie, "The Message in Daily Exchange Rates: A Conditional Variance Tale", Journal of Business and Economic Statistics, vol. 7 no. 3 (1998), pp. 297-305 (Reprinted in Journal of Business and Economic Statistics, 20th Anniversary Commemorative Issue, Vol. 20, No. 1, 2002.)
  28. T. Bollerslev with Torben G. Andersen, "Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts", International Economic Review, vol. 39 no. 4 (1998), pp. 885-905 (Reprinted in The International Library of Critical Writings in Economics: Forecasting Financial Markets (ed. Terence C. Mills), London: Edward Elgar Publishing Limited, 2002.)
  29. T. Bollerslev, Torben G. Andersen, DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer-Run Dependencies, Journal of Finance, vol. 53 no. 1 (1998), pp. 219-265
  30. T. Bollerslev, Torben G. Andersen, Towards a Unified Framework for High- and Low-Frequency Return Volatility Modeling, Statistica Neerlandica, vol. 52 no. 3 (1998), pp. 273-302
  31. 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.
  32. T. Bollerslev, Ian Domowitz and Jianxin Wang, Order Flow and the Bid-Ask Spread: An Empirical Probability Model of Screen-Based Trading, Journal of Economic Dynamics and Control, vol. 21 (1997), pp. 1471-1491
  33. T. Bollerslev, Torben G. Andersen, Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns, Journal of Finance, vol. 52 no. 3 (1997), pp. 975-1005
  34. T. Bollerslev, Hans O. Mikkelsen, Modeling and Pricing Long-Memory in Stock Market Volatility, Journal of Econometrics, vol. 73 no. 1 (1996), pp. 151-184
  35. T. Bollerslev, Eric Ghysels, Periodic Autoregressive Conditional Heteroskedasticity, Journal of Business and Economic Statistics, vol. 14 no. 2 (1996), pp. 139-151
  36. 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
  37. 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
  38. T. Bollerslev, Peter E. Rossi, Dan Nelson Remembered, Journal of Business and Economic Statistics, vol. 13 no. 4 (1995), pp. 361-364
  39. T. Bollerslev, Richard T. Baillie, The Long-Memory of the Forward Premium, Journal of International Money and Finance, vol. 13 no. 5 (1994), pp. 565-571
  40. T. Bollerslev, Richard T. Baillie, Cointegration, Fractional Cointegration, and Exchange Rate Dynamics, Journal of Finance, vol. 49 no. 2 (1994), pp. 737-745
  41. T. Bollerslev, Michael Melvin, Bid-Ask Spreads and Volatility in the Foreign Exchange Market: An Empirical Analysis, Journal of International Economics, vol. 36 no. 3/4 (1994), pp. 355-372
  42. 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.
  43. T. Bollerslev, Robert F. Engle, Common Persistence in Conditional Variances, Econometrica, vol. 61 no. 1 (1994), pp. 167-186
  44. 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
  45. T. Bollerslev, Richard T. Baillie and Michael Redfearn, Bear Squeezes, Volatility Spillovers, and Speculative Attacks in the Hyperinflation 1920's Foreign Exchange, Journal of International Money and Finance, vol. 12 no. 5 (1993), pp. 511-521
  46. T. Bollerslev, Ian Domowitz, Trading Patterns and Prices in the Interbank Foreign Exchange Market, Journal of Finance, vol. 48 no. 4 (1993), pp. 1421-1443
  47. 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
  48. 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
  49. T. Bollerslev, Jeffrey M. Wooldridge, Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances, Econometric Reviews, vol. 11 no. 2 (1992), pp. 143-172
  50. T. Bollerslev, Richard T. Baillie, Prediction in Dynamic Models with Time Dependent Conditional Variances, Journal of Econometrics, vol. 52 no. 1 (1992), pp. 91-113 (Reprinted in The International Library of Critical Writings in Economics: Economic Forecasting (ed. Terence C. Mills), London: Edward Elgar Publishing Limited, 1998..)
  51. T. Bollerslev, Ian Domowitz, Price Volatility, Spread Variability and the Role of Alternative Market Mechanisms, Review of Futures Markets, vol. 10 no. 1 (1991), pp. 78-102
  52. T. Bollerslev, Richard T. Baillie, Intra Day and Inter Market Volatility in Foreign Exchange Rates, Review of Economic Studies, vol. 58 (1991), pp. 565-585
  53. 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
  54. T. Bollerslev, Richard T. Baillie, A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Markets, Journal of International Money and Finance, vol. 9 (1990), pp. 309-324
  55. T. Bollerslev, Modelling the Coherence in Short Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model, Review of Economics and Statistics, vol. 72 no. 3 (1990), pp. 498-505 (Reprinted in ARCH: Selected Readings (ed. Robert F. Engle), Oxford: Oxford University Press, 1995.)
  56. T. Bollerslev, Richard T. Baillie, Common Stochastic Trends in a System of Exchange Rates, Journal of Finance, vol. 44 no. 1 (1989), pp. 167-181
  57. T. Bollerslev, Richard T. Baillie, The Message in Daily Exchange Rates: A Conditional Variance Tale, Journal of Business and Economic Statistics, vol. 7 no. 3 (1989), pp. 297-305 (Reprinted in Journal of Business and Economic Statistics, 20th Anniversary Commemorative Issue, Vol.20, No.1, 2002.)
  58. T. Bollerslev, Robert F. Engle and Jeffrey M. Wooldridge, A Capital Asset Pricing Model with Time Varying Covariances, Journal of Political Economy, vol. 96 no. 1 (1988), pp. 116-131 (Reprinted in ARCH: Selected Readings (ed. Robert F. Engle), Oxford: Oxford University Press, 1995.)
  59. T. Bollerslev, On the Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process, Journal of Time Series Analysis, vol. 9 no. 2 (1988), pp. 121-131
  60. T. Bollerslev, A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return, Review of Economics and Statistics, vol. 69 no. 3 (1987), pp. 542-547
  61. T. Bollerslev, Robert F. Engle, Modelling the Persistence of Conditional Variances and 'Reply', Econometric Reviews, vol. 5 no. 1 (1986), pp. 1-50 & 81-87
  62. T. Bollerslev, Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, vol. 31 (1986), pp. 307-327 (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..)
  63. T. Bollerslev, Svend Hylleberg, A Note on the Relationship Between Consumers' Expenditure and Income in the United Kingdom, Oxford Bulletin of Economics and Statistics, vol. 47 no. 2 (1985), pp. 153-170

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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