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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 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

Papers Submitted

  1. 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)

Journal Articles

  1. Aleti, S; Bollerslev, T, News and Asset Pricing: A High-Frequency Anatomy of the SDF, Review of Financial Studies, vol. 38 no. 3 (March, 2025), pp. 712-759, Oxford University Press (OUP) [doi]  [abs]
  2. Bollerslev, T; Li, SZ; Tang, Y, Forecasting and Managing Correlation Risks (September, 2024)
  3. Bollerslev, T; Li, J; Ren, Y, Optimal Inference for Spot Regressions, American Economic Review, vol. 114 no. 3 (March, 2024), pp. 678-708 [doi]  [abs]
  4. Bollerslev, T; Li, J; Li, Q, Optimal nonparametric range-based volatility estimation, Journal of Econometrics, vol. 238 no. 1 (January, 2024) [doi]  [abs]
  5. Bollerslev, T; Todorov, V, The jump leverage risk premium, Journal of Financial Economics, vol. 150 no. 3 (December, 2023) [doi]  [abs]
  6. Aleti, S; Bollerslev, T; Siggaard, M, Intraday Market Return Predictability Culled from the Factor Zoo (March, 2023)
  7. Aleti, S; Bollerslev, T; Siggaard, M, Intraday Market Return Predictability Culled from the Factor Zoo (March, 2023)
  8. Bollerslev, T, The story of GARCH: A personal odyssey, Journal of Econometrics, vol. 234 (March, 2023), pp. 96-100 [doi]  [abs]
  9. Bollerslev, T, Reprint of: Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, vol. 234 (March, 2023), pp. 25-37 [doi]  [abs]
  10. Bollerslev, T; Medeiros, MC; Patton, AJ; Quaedvlieg, R, From zero to hero: Realized partial (co)variances, Journal of Econometrics, vol. 231 no. 2 (December, 2022), pp. 348-360 [doi]  [abs]
  11. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Granular Betas and Risk Premium Functions (October, 2022)
  12. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Realized semibetas: Disentangling “good” and “bad” downside risks, Journal of Financial Economics, vol. 144 no. 1 (April, 2022), pp. 227-246 [doi]  [abs]
  13. Zhang, C; Li, J; Bollerslev, T, Occupation density estimation for noisy high-frequency data, Journal of Econometrics, vol. 227 no. 1 (March, 2022), pp. 189-211 [doi]  [abs]
  14. Bollerslev, T; Patton, AJ; Zhang, H, Equity clusters through the lens of realized semicorrelations, Economics Letters, vol. 211 (February, 2022) [doi]  [abs]
  15. Bollerslev, T, Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal, Journal of Financial Econometrics, vol. 20 no. 2 (January, 2022), pp. 219-252, Oxford University Press (OUP) [doi]  [abs]
  16. Bollerslev, T; Li, J; Liao, Z, Fixed-k inference for volatility, Quantitative Economics, vol. 12 no. 4 (November, 2021), pp. 1053-1084 [doi]  [abs]
  17. Bollerslev, T; Li, J; Chaves, LSS, Generalized Jump Regressions for Local Moments, Journal of Business and Economic Statistics, vol. 39 no. 4 (January, 2021), pp. 1015-1025 [doi]  [abs]
  18. 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]
  19. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Realized Semibetas: Signs of Things to Come (February, 2020)
  20. Bollerslev, T; Li, J; Patton, A; Quaedvlieg, R, Realized Semicovariances, Econometrica: journal of the Econometric Society, vol. 88 no. 4 (2020), pp. 1515-1551, Econometric Society [doi]  [abs]
  21. 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]
  22. 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]
  23. Bollerslev, T; Hood, B; Huss, J; Pedersen, LH, Risk Everywhere: Modeling and Managing Volatility (February, 2018)
  24. 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]
  25. Bollerslev, T; Li, SZ; Zhao, B, Good Volatility, Bad Volatility and the Cross-Section of Stock Returns (January, 2017)
  26. 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]
  27. 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]
  28. 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]
  29. 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]
  30. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Exploiting the errors: A simple approach for improved volatility forecasting, vol. 192 no. 1 (2016), pp. 1-18  [abs]
  31. Bollerslev, T; Li, SZ; Todorov, V, Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns, vol. 120 no. 3 (2016), pp. 464-490  [abs]
  32. Bollerslev, T; Todorov, V; Xu, L, Tail risk premia and return predictability, Journal of Financial Economics, vol. 118 no. 1 (October, 2015), pp. 113-134, Elsevier BV [doi]  [abs]
  33. 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]
  34. Bollerslev, T; Xu, L; Zhou, H, Stock return and cash flow predictability: The role of volatility risk, vol. 187 no. 2 (2015), pp. 458-471  [abs]
  35. Bollerslev, T; Todorov, V; Xu, L, Tail risk premia and return predictability, vol. 118 no. 1 (2015), pp. 113-134  [abs]
  36. Bollerslev, T; Marrone, J; Xu, L; Zhou, H, Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence, Journal of Financial and Quantitative Analysis, vol. 49 no. 03 (June, 2014), pp. 633-661
  37. 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]
  38. 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 and Data Analysis, vol. 76 (January, 2014), pp. 1-3, Elsevier BV, ISSN 0167-9473 [doi]
  39. Kontoghiorghes, EJ; Dijk, HKV; Belsley, DA; Bollerslev, T; Diebold, FX; Dufour, J-M; Engle, RF; 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, MFJ; Taylor, R; Tzavalis, E; Zakoian, J-M; Boswijk, HP; Luati, A; Maheu, JM, CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue., Comput. Stat. Data Anal., vol. 76 (2014), pp. 1-3 [doi]
  40. Bollerslev, T; Patton, AJ; Wenjing, W, Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions, Economic Research Initiatives at Duke (ERID), vol. 31 no. 166 (June, 2013), pp. 49 pages  [abs]
  41. 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]
  42. 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]
  43. 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]
  44. Bollerslev, T; Todorov, V, Tails, Fears, and Risk Premia, Journal of Finance, vol. 66 no. 6 (December, 2011), pp. 2165-2211, WILEY, ISSN 0022-1082 [doi]  [abs]
  45. 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]
  46. 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
  47. 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]
  48. 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]
  49. 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]
  50. Andersen, TG; Bollerslev, T; Huang, X, A reduced form framework for modeling volatility of speculative prices based on realized variation measures, vol. 160 no. 1 (January, 2011), pp. 176-189  [abs]
  51. 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]
  52. Bollerslev, T; Sizova, N; Tauchen, G, Volatility in Equilibrium: Asymmetries and Dynamic Dependencies, Review of Finance, vol. 16 no. 1 (2011), pp. 31-80  [abs]
  53. 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]
  54. Todorov, V; Bollerslev, T, Jumps and betas: A new framework for disentangling and estimating systematic risks, vol. 157 no. 2 (August, 2010), pp. 220-235  [abs]
  55. Bollerslev, T; Todorov, V, Estimation of Jump Tails, CREATES Research Paper no. 2010 (April, 2010)
  56. Andersen, TG; Bollerslev, T; Diebold, FX, Parametric and Nonparametric Volatility Measurement (2010), pp. 67-137, Elsevier [doi]
  57. Andersen, TG; Bollerslev, T; Frederiksen, P; Nielsen, MOR, Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns, Journal of Applied Econometrics, vol. 25 no. 2 (2010), pp. 233-261, WILEY, ISSN 0883-7252 [doi]  [abs]
  58. 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]
  59. Bollerslev, T; Todorov, V, Tails, Fears and Risk Premia, CREATES Research Paper no. 2009 (June, 2009)
  60. 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]
  61. Bollerslev, T; Kretschmer, U; Pigorsch, C; Tauchen, G, A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects, vol. 150 no. 2 (June, 2009), pp. 151-166  [abs]
  62. Bollerslev, T; Gibson, MS; Zhou, H, Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities, FEDS Working Paper no. 2004 (July, 2008)
  63. 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]
  64. Bollerslev, T; Law, TH; Tauchen, G, Risk, jumps, and diversification, vol. 144 no. 1 (May, 2008), pp. 234-256  [abs]
  65. 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]
  66. Andersen, TG; Bollerslev, T; Diebold, FX, Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility, Review of Economics and Statistics, vol. 89 no. 4 (November, 2007), pp. 701-720, MIT Press - Journals, ISSN 0034-6535 [doi]  [abs]
  67. Andersen, TG; Bollerslev, T; Diebold, FX; Vega, C, Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets, CREATES Research Paper no. 2007 (August, 2007)
  68. Andersen, TG; Bollerslev, T; Diebold, FX, Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility, CREATES Research Paper no. 2007 (August, 2007)
  69. 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]
  70. 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]
  71. Bollerslev, T; Zhou, H, Expected Stock Returns and Variance Risk Premia (April, 2007)
  72. 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)
  73. Xiong, W; Peng, L; Bollerslev, T, Investor Attention and Time-Varying Comovements (August, 2006)
  74. 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]
  75. 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]
  76. Andersen, TG; Bollerslev, T; Frederiksen, PH; Nielsen, MØ, Comment, Journal of Business and Economic Statistics, vol. 24 no. 2 (April, 2006), pp. 173-179, Informa UK Limited, ISSN 0735-0015 [doi]
  77. 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]
  78. 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]
  79. Bollerslev, T; Litvinova, J; Tauchen, G, Leverage and Volatility Feedback Effects in High-Frequency Data (May, 2005)
  80. 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]
  81. Zhou, H; Bollerslev, T; Gibson, MS, Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2005)
  82. 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]
  83. 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
  84. Zhou, H; Bollerslev, T, Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regression (March, 2004)
  85. 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]
  86. 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]
  87. 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]
  88. 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]
  89. Tim Bollerslev, Torben G. Anderson, Francis X. Diebold and Paul Labys, Modeling and Forecasting Realized Volatility, Econometrica (2003)
  90. 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]
  91. Andersen, TG; Bollerslev, T; Diebold, FX, Parametric and Nonparametric Volatility Measurement, in Handbook of Financial Econometrics, edited by Y. Ait-Sahalia and L.P. Hansen (July, 2002), Amsterdam: Elsevier Science B.V.
  92. 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]
  93. Vega, C; Andersen, TG; Bollerslev, T; Diebold, FX, Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (April, 2002)
  94. Baillie, RT; Bollerslev, T, The message in daily exchange rates: A conditional-variance tale, Journal of Business and Economic Statistics, vol. 20 no. 1 (January, 2002), pp. 60-68, ISSN 0735-0015 [doi]  [abs]
  95. Bollerslev, T; Wright, JH, High-frequency data, frequency domain inference, and volatility forecasting, Review of Economics and Statistics, vol. 83 no. 4 (November, 2001), pp. 596-602, MIT Press - Journals [doi]  [abs]
  96. Andersen, TG; Bollerslev, T; Diebold, FX; Ebens, H, The distribution of realized stock return volatility, vol. 61 no. 1 (July, 2001), pp. 43-76
  97. 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]
  98. 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]
  99. 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]
  100. Andersen, TG; Bollerslev, T; Diebold, FX; Labys, P, Modeling and Forecasting Realized Volatility (January, 2001)
  101. Andersen, TG; Bollerslev, T; Das, A, Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns, Journal of Finance, vol. 56 no. 1 (January, 2001), pp. 305-327, WILEY [doi]  [abs]
  102. 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]
  103. Andersen, TG; Bollerslev, T; Diebold, FX; Labys, P, The Distribution of Realized Exchange Rate Volatility (August, 2000)
  104. 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]
  105. 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]
  106. Bollerslev, T; Wright, JH, Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data, Journal of Econometrics, vol. 98 no. 1 (January, 2000), pp. 81-106 [doi]  [abs]
  107. Bollerslev, T; Andersen, TG; Diebold, FX; Labys, P, Great Realizations, Risk, vol. 13 (2000), pp. 105-108
  108. Bollerslev, T; Cai, J; Song, FM, 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, Elsevier BV [doi]  [abs]
  109. Bollerslev, T; Andersen, TG; Cai, J, Intraday and Interday Volatility in the Japanese Stock Market, Journal of International Financial Markets, Institutions & Money, vol. 10 no. 2 (2000), pp. 107-130, Elsevier BV [doi]  [abs]
  110. Bollerslev, T; Wright, JH, Semiparametric Estimation of Long-Memory Volatility Dependencies, Journal of Econometrics, vol. 98 no. 1 (2000), pp. 81-106 [repository]  [abs]
  111. Bollerslev, T; Jubinski, D, Equity trading volume and volatility: Latent information arrivals and common long-run dependencies, Journal of Business and Economic Statistics, vol. 17 no. 1 (January, 1999), pp. 9-21, Informa UK Limited [repository], [doi]  [abs]
  112. 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]
  113. 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]
  114. Dewhirst, MW; Mitchell, JB, Introduction., Semin Radiat Oncol, vol. 8 no. 3 (July, 1998), pp. 141-142, ISSN 1053-4296 [doi]  [abs]
  115. Andersen, TG; Bollerslev, T; Das, A, Testing for Market Microstructure Effects in Intraday Volatility: a Reassessment of the Tokyo FX Experiment (July, 1998)
  116. Andersen, TG; Bollerslev, T, Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies, Journal of Finance, vol. 53 no. 1 (January, 1998), pp. 219-265, WILEY [doi]  [abs]
  117. 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]
  118. 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]
  119. 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.
  120. 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]
  121. Andersen, TG; Bollerslev, T, Answering the Critics: Yes, Arch Models Do Provide Good Volatility Forecasts (April, 1997)
  122. 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]
  123. Andersen, TG; Bollerslev, T, Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns, Journal of Finance, vol. 52 no. 3 (January, 1997), pp. 975-1005, WILEY [doi]  [abs]
  124. 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]
  125. Bollerslev, T; Ghysels, E, Periodic autoregressive conditional heteroscedasticity, Journal of Business and Economic Statistics, vol. 14 no. 2 (January, 1996), pp. 139-151, Informa UK Limited [doi]  [abs]
  126. 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]
  127. 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
  128. Bollerslev, T; Rossi, PE, Dan Nelson Remembered., Journal of Business and Economic Statistics, vol. 13 no. 4 (October, 1995), pp. 361-364 [repository]
  129. 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
  130. Baillie, RT; Bollerslev, T, The long memory of the forward premium, vol. 13 no. 5 (October, 1994), pp. 565-571
  131. 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]
  132. 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]
  133. 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]
  134. 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.
  135. 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
  136. Baillie, RT; Bollerslev, T; Redfearn, MR, Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange, vol. 12 no. 5 (October, 1993), pp. 511-521
  137. 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]
  138. 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]
  139. 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]
  140. 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
  141. 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
  142. Bollerslev, T; Hodrick, RJ, Financial Market Efficiency Tests (June, 1992)
  143. 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]
  144. 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]
  145. 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]
  146. Bollerslev Richard, T; Baillie, T, Prediction in Dynamic Models with Time Dependent Conditional Variances, Journal of Econometrics, vol. 52 no. 1 (1992), pp. 91-113, ISSN 0304-4076 (Reprinted in The International Library of Critical Writings in Economics: Economic Forecasting (ed. Terence C. Mills), London: Edward Elgar Publishing Limited, 1998..) [DukeSpace]  [abs]
  147. 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]
  148. 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
  149. 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
  150. Baillie, RT; Bollerslev, T, Intra-Day and Inter-Market Volatility in Foreign Exchange Rates, The Review of Economic Studies, vol. 58 no. 3 (1991), pp. 565-585  [abs]
  151. Bollerslev, T; Chou, RY; Jayaraman, N; Kenneth, FKL, es modéles ARCH en finance : un point sur la théorie et les résultats empiriques, Annals Of Economics and Statistics no. 24 (1991), pp. 1-59  [abs]
  152. 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]
  153. 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]
  154. Baillie, RT; Bollerslev, T, The Message in Daily Exchange Rates: A Conditional-Variance Tale, Journal of Business & Economic Statistics, vol. 7 no. 3 (July, 1989), pp. 297-297, JSTOR, ISSN 0735-0015 (Reprinted in Journal of Business and Economic Statistics, 20th Anniversary Commemorative Issue, Vol. 20, No. 1, 2002.) [Gateway.cgi], [doi]
  155. 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]
  156. Baillie, RT; Bollerslev, T, The message in daily exchange rates: A conditional-variance tale, Journal of Business and 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]
  157. 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]
  158. Bollerslev, T, On the Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process, Journal of Time Series Analysis, vol. 9 no. 2 (1988), pp. 121-131, WILEY [doi]  [abs]
  159. 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]
  160. Engle, RF; Bollerslev, T, Reply, Econometric Reviews, vol. 5 no. 1 (January, 1986), pp. 81-87, Informa UK Limited, ISSN 0747-4938 [doi]
  161. 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]
  162. Bollerslev Robert, T; Engle, F, Modelling the Persistence of Conditional Variances and 'Reply', Econometric Reviews, vol. 5 no. 1 (1986), pp. 1-50, Informa UK Limited [doi]  [abs]
  163. 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), pp. 67-137, Elsevier Science BV [doi]  [abs]
  3. Andersen, TG; Bollerslev, T; Christoffersen, PF; Diebold, FX, Chapter 15 Volatility and Correlation Forecasting, vol. 1 (December, 2006), pp. 777-878, ISSN 1574-0706 [doi]  [abs]
  4. 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]
  5. Andersen, TG; Bollerslev, T, Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns, JOURNAL OF FINANCE, vol. 52 no. 3 (July, 1997), pp. 1203-1203, WILEY
  6. 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]
  7. 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. Bollerslev, T; Patton, AJ; Wang, W, Daily House Price Indices: Construction, Modeling, and Longer-run Predictions (September, 2016), pp. 1005-1025 [doi]  [abs]
  2. Bollerslev, T; Li, J; Xue, Y, Volume, Volatility and Public News Announcements (June, 2016)  [abs]
  3. Andersen, TG; Bollerslev, T; Diebold, FX; Labys, P, Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian (July, 2015)
  4. Andersen, TG; Bollerslev, T; Christoffersen, PF; Diebold, FX, Financial Risk Measurement for Financial Risk Management, vol. 2 no. PB (January, 2013), pp. 1127-1220 [doi]  [abs]
  5. Andersen, T; Bollerslev, T; Christoffersen, P; Diebold, F, Financial Risk Measurement for Financial Risk Management (November, 2011)  [abs]
  6. Bollerslev, T; Tauchen, G; Zhou, H, Expected Stock Returns and Variance Risk Premia (November, 2009), pp. 4463-4492
  7. Bollerslev, T; Tauchen, G; Sizova, N, Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (August, 2009)
  8. Bollerslev, T; Sizova, N; Tauchen, G, Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2009)
  9. Andersen, TG; Vega, C; Bollerslev, T; Diebold, FX, Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (2007)
  10. Andersen, TG; Vega, C; Bollerslev, T; Diebold, FX, Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (September, 2006)
  11. Andersen, TG; Bollerslev, T; Christoffersen, P; Diebold, FX, Volatility Forecasting, in Handbook of Economic Forecasting, edited by G. Elliott, C.W.J. Granger and A. Timmermann (March, 2005), Amsterdam: Elsevier Science B.V.
  12. Andersen, TG; Bollerslev, T; Christoffersen, P; Diebold, FX, Volatility Forecasting (February, 2005)
  13. Andersen, TG; Bollerslev, T; Diebold, FX; Wu, JG, A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (February, 2005)
  14. Andersen, TG; Bollerslev, T; Christoffersen, P; Diebold, FX, Practical Volatility and Correlation Modeling for Financial Market Risk Management (January, 2005)
  15. Andersen, T; Bollerslev, T; Christoffersen, P; Diebold, F, Practical Volatility and Correlation Modeling for Financial Market Risk Management (January, 2005)  [abs]
  16. Andersen, TG; Bollerslev, T; Christoffersen, P; Diebold, FX, Practical Volatility and Correlation Modeling for Financial Market Risk Management (January, 2005)
  17. Andersen, T; Bollerslev, T; Diebold, F; Wu, J, A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (January, 2005)  [abs]
  18. Andersen, TG; Vega, C; Bollerslev, T; Diebold, FX, Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (June, 2004)
  19. 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
  20. Andersen, TG; Bollerslev, T; Diebold, FX; Wu, J, Realized beta: Persistence and predictability (2004)  [abs]
  21. Bollerslev, T; Gibson, MS; Zhou, H, Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2004)  [abs]
  22. Andersen, TG; Bollerslev, T; Diebold, FX, Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (September, 2003)
  23. Andersen, TG; Bollerslev, T; Diebold, FX, Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (September, 2003)
  24. Andersen, TG; Bollerslev, T; Diebold, FX; Wu, J, Realized Beta: Persistence and Predictability (January, 2003)  [abs]
  25. 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
  26. 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
  27. Andersen, TG; Bollerslev, T; Meddahi, N, Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities (December, 2002)  [abs]
  28. 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
  29. 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]
  30. ANDERSEN, TG; BOLLERSLEV, T; MEDDAHI, N, Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities (2002)  [abs]
  31. ANDERSEN, TG; BOLLERSLEV, T; MEDDAHI, N, CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES (2002)  [abs]
  32. 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)
  33. T. Bollerslev with T.G. Andersen, F.X. Diebold and P. Labys, Great Realizations, Risk Magazine, vol. 13 (2000), pp. 105-108
  34. Andersen, TG; Bollerslev, T; Diebold, FX; Labys, P, The Distribution of Exchange Rate Volatility (November, 1999)
  35. Andersen, TG; Bollerslev, T; Diebold, FX; Labys, P, (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation (October, 1999)  [abs]
  36. Wright, JH; Bollerslev, T, High frequency data, frequency domain inference and volatility forecasting (1999)  [abs]
  37. Bollerslev, T; Ghysels, E, On Periodic Autogressive Conditional Heteroskedasticity (September, 1994)  [abs]
  38. Bollerslev, T, Generalized autoregressive conditional heteroskedasticity (September, 1986)  [abs]
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