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," Advances in Econometrics: Econometric Analysis of Economic and Financial Time Series 20 (forthcoming 2005).
  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," Handbook of Economic Forecasting  (forthcoming 2005).
  5. T. Bollerslev with T.G. Andersen, P. Christoffersen and F.X. Diebold. "Volatility and Correlation Modelling in Market Risk Management: Pitfalls and Opportunities," Risks of Financial Institutions and the Financial Sector  (forthcoming 2005).
  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"," Handbook of Financial Econometrics  (forthcoming 2005).

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. "Analytic Evaluation of Volatility Forecasts," T. Bollerslev with T.G. Andersen and N. Meddahi, International Economic Review 45.4 (2004): 1079-1110.
  2. ""Modeling and Forecasting Realized Volatility"," T. Bollerslev with T.G. Andersen, F. X. Diebold, and P. Labys, Econometrica 71.2 (2003): 579-625.
  3. ""Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange"," T. Bollerslev with T.G. Andersen, F. X. Diebold, and C. Vega, American Economic Review 93.1 (2003): 38-62.
  4. ""Measuring and Modeling Systematic Risk in Factor Pricing Models using High-Frequency Data"," T. Bollerslev with B.Y.B. Zhang, Journal of Empirical Finance 10.5 (2003): 533-558.
  5. ""Estimating Stochastic Volatility Diffusions Using Conditional Moments of Integrated Volatility"," T. Bollerslev with Hao Zhou, Journal of Econometrics 109 (2002): 33-65.
  6. ""Bridging the Gap Between the Distribution of Realized (ECU) Volatility and ARCH Modeling (of the Euro): The GARCH-NIG Model"," T. Bollerslev with L.E. Forsberg, Journal of Applied Econometrics 17 (2002): 535-548.
  7. "Volatility Forecasting, High-Frequency Data, and Frequency Domain Inference," T. Bollerslev with J.R. Wright, Review of Economics and Statistics 83 (2001): 596-602.
  8. "The Distribution of Realized Stock Return Volatility," T. Bollerslev with T.G. Andersen, F.X. Diebold and H. Ebens, Journal of Financial Economics 61 (2001): 43-76.
  9. "The Distribution of Realized Exchange Rate Volatility," T. Bollerslev with T.G. Andersen, F.X. Diebold and P. Labys, Journal of the American Statistical Association 96 (2001): 42-55.
  10. "Variance-Ratio Statistics and High-Frequency Data: Testing for Changes in Intraday Volatility Patterns," T. Bollerslev with T.G. Andersen and A. Das, Journal of Finance 56.1 (2001): 305-327.
  11. "Financial Econometrics: Past Developments and Future Challenges," T. Bollerslev, Journal of Econometrics 100.1 (2001): 41-51.
  12. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," T. Bollerslev with T.G. Andersen, F.X. Diebold and P. Labys, Multinational Finance Journal 4 (2000): 159-179.  [author's comments]
  13. "The Forward Premium Anomaly is Not as Bad as You Think," T. Bollerslev with R.T. Baillie, Journal of International Money and Finance 19.4 (2000): 471-488.
  14. "Semiparametric Estimation of Long-Memory Volatility Dependencies," T. Bollerslev with J.H. Wright, Journal of Econometrics 98.1 (2000): 81-106.
  15. "Intraday and Interday Volatility in the Japanese Stock Market," T. Bollerslev with T.G. Andersen and J.Cai, Journal of International Financial Markets, Institutions & Money 10.2 (2000): 107-130.
  16. "Intraday Periodicity, Long-Memory Volatility, and Macroeconomic Announcement Effects in the U.S. Treasury Bond Market," T. Bollerslev with J. Cai and F.M. Song, Journal of Empirical Finance 7.1 (2000): 37-55.
  17. "Great Realizations," T. Bollerslev, Torben G. Andersen, Francis X. Diebold, and Paul Labys, Risk 13 (2000): 105-108.
  18. "Forecasting Financial Market Volatility: Sampling Frequency vis-a-vis Forecast Horizon," T. Bollerslev with T.G. Andersen and S. Lange, Journal of Empirical Finance 6.5 (1999): 457-477.
  19. "Long-Term Equity Anticipation Securities and Stock Market Volatility Dynamics," T. Bollerslev with H.O. Mikkelsen, Journal of Econometrics 92.1 (1999): 75-99.
  20. "Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies," T. Bollerslev with P.D. Jubinski, Journal of Business and Economic Statistics 17.1 (1999): 9-21.
  21. ""The Message in Daily Exchange Rates: A Conditional Variance Tale"," T. Bollerslev with Richard T. Baillie, Journal of Business and Economic Statistics 7.3 (1998): 297-305. Reprinted in Journal of Business and Economic Statistics, 20th Anniversary Commemorative Issue, Vol. 20, No. 1, 2002
  22. ""Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts"," T. Bollerslev with Torben G. Andersen, International Economic Review 39.4 (1998): 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
  23. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer-Run Dependencies," T. Bollerslev, Torben G. Andersen, Journal of Finance 53.1 (1998): 219-265.
  24. "Towards a Unified Framework for High- and Low-Frequency Return Volatility Modeling," T. Bollerslev, Torben G. Andersen, Statistica Neerlandica 52.3 (1998): 273-302.
  25. "ARCH and GARCH Models," T. Bollerslev, Torben G. Andersen, Encyclopedia of Statistical Sciences Vol.II  (1998).
  26. "Order Flow and the Bid-Ask Spread: An Empirical Probability Model of Screen-Based Trading," T. Bollerslev, Ian Domowitz and Jianxin Wang, Journal of Economic Dynamics and Control 21 (1997): 1471-1491.
  27. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," T. Bollerslev, Torben G. Andersen, Journal of Finance 52.3 (1997): 975-1005.
  28. "Modeling and Pricing Long-Memory in Stock Market Volatility," T. Bollerslev, Hans O. Mikkelsen, Journal of Econometrics 73.1 (1996): 151-184.
  29. "Periodic Autoregressive Conditional Heteroskedasticity," T. Bollerslev, Eric Ghysels, Journal of Business and Economic Statistics 14.2 (1996): 139-151.
  30. "Introduction: Modelling Stock Market Volatility - Bridging the GAP to Continuous Time," T. Bollerslev, Peter E. Rossi, Modelling Stock Market Volatility  (1996).
  31. "Financial Market Efficiency Tests," T. Bollerslev, Robert J. Hodrick, Handbook of Applied Econometrics, Vol.I  (1995).
  32. "Dan Nelson Remembered," T. Bollerslev, Peter E. Rossi, Journal of Business and Economic Statistics 13.4 (1995): 361-364.
  33. "The Long-Memory of the Forward Premium," T. Bollerslev, Richard T. Baillie, Journal of International Money and Finance 13.5 (1994): 565-571.
  34. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," T. Bollerslev, Richard T. Baillie, Journal of Finance 49.2 (1994): 737-745.
  35. "Bid-Ask Spreads and Volatility in the Foreign Exchange Market: An Empirical Analysis," T. Bollerslev, Michael Melvin, Journal of International Economics 36.3/4 (1994): 355-372.
  36. "ARCH Models," T. Bollerslev, Robert F. Engle and Daniel B. Nelson, Handbook of Econometrics Vol.IV (1994).
  37. "Common Persistence in Conditional Variances," T. Bollerslev, Robert F. Engle, Econometrica 61.1 (1994): 167-186.
  38. "On the Interdependence of International Asset Markets," T. Bollerslev, Richard T. Baillie, Global Portfolio Diversification: Risk Management, Market Microstructure, and Implementation Issues  (1994).
  39. "Bear Squeezes, Volatility Spillovers, and Speculative Attacks in the Hyperinflation 1920's Foreign Exchange," T. Bollerslev, Richard T. Baillie and Michael Redfearn, Journal of International Money and Finance 12.5 (1993): 511-521.
  40. "Trading Patterns and Prices in the Interbank Foreign Exchange Market," T. Bollerslev, Ian Domowitz, Journal of Finance 48.4 (1993): 1421-1443.
  41. "Nominal Exchange Rates," T. Bollerslev, Richard T. Baillie, TheNew Palgrave Dictionary of Money and Finance  (1993).
  42. "Some Effects of Restricting the Electronic Order Book in an Automated Trade Execution System," T. Bollerslev, Ian Domowitz, The Double Auction Market: Institutions, Theories, and Evidence  (1993).
  43. "Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances," T. Bollerslev, Jeffrey M. Wooldridge, Econometric Reviews 11.2 (1992): 143-172.
  44. "Prediction in Dynamic Models with Time Dependent Conditional Variances," T. Bollerslev, Richard T. Baillie, Journal of Econometrics 52.1 (1992): 91-113. Reprinted in The International Library of Critical Writings in Economics: Economic Forecasting (ed. Terence C. Mills), London: Edward Elgar Publishing Limited, 1998.
  45. "Price Volatility, Spread Variability and the Role of Alternative Market Mechanisms," T. Bollerslev, Ian Domowitz, Review of Futures Markets 10.1 (1991): 78-102.
  46. "Intra Day and Inter Market Volatility in Foreign Exchange Rates," T. Bollerslev, Richard T. Baillie, Review of Economic Studies 58 (1991): 565-585.
  47. "Les Modèles ARCH en Finance: Un Point sur la Théorie et les Résultats Empiriques," T. Bollerslev, Ray Y. Chou, Narayanan Jayaraman and Kenneth F. Kroner, Annales D'Économie et de Statistique 24 (1991): 1-59.
  48. "A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Markets," T. Bollerslev, Richard T. Baillie, Journal of International Money and Finance 9 (1990): 309-324.
  49. "Modelling the Coherence in Short Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," T. Bollerslev, Review of Economics and Statistics 72.3 (1990): 498-505. Reprinted in ARCH: Selected Readings (ed. Robert F. Engle), Oxford: Oxford University Press, 1995
  50. "Common Stochastic Trends in a System of Exchange Rates," T. Bollerslev, Richard T. Baillie, Journal of Finance 44.1 (1989): 167-181.
  51. "The Message in Daily Exchange Rates: A Conditional Variance Tale," T. Bollerslev, Richard T. Baillie, Journal of Business and Economic Statistics 7.3 (1989): 297-305. Reprinted in Journal of Business and Economic Statistics, 20th Anniversary Commemorative Issue, Vol.20, No.1, 2002
  52. "A Capital Asset Pricing Model with Time Varying Covariances," T. Bollerslev, Robert F. Engle and Jeffrey M. Wooldridge, Journal of Political Economy 96.1 (1988): 116-131. Reprinted in ARCH: Selected Readings (ed. Robert F. Engle), Oxford: Oxford University Press, 1995
  53. "On the Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process," T. Bollerslev, Journal of Time Series Analysis 9.2 (1988): 121-131.
  54. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," T. Bollerslev, Review of Economics and Statistics 69.3 (1987): 542-547.
  55. "Modelling the Persistence of Conditional Variances and 'Reply'," T. Bollerslev, Robert F. Engle, Econometric Reviews 5.1 (1986): 1-50 & 81-87.
  56. "Generalized Autoregressive Conditional Heteroskedasticity," T. Bollerslev, Journal of Econometrics 31 (1986): 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.
  57. "A Note on the Relationship Between Consumers' Expenditure and Income in the United Kingdom," T. Bollerslev, Svend Hylleberg, Oxford Bulletin of Economics and Statistics 47.2 (1985): 153-170.

Other

  1. "The Distribution of Realized Exchange Rate Volatility (Journal of the American Statistical Association, 96, 42-55, 2001)," T. Bollerslev with T.G. Andersen, F.X. Diebold and P. Labys, Stochastic Volatility (2004).
  2. "Fractionally Integrated Generalized Autoregresisve Conditional Heteroskedasticity (Journal of Econometrics, 74, 3-30, 1996)," T. Bollerslev with R.T. Baillie and H.O. Mikkelsen, Recent Developments in Time Series (2003).
  3. "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence (Journal of Econometrics, 52, 5-59, 1992)," T. Bollerslev with R.Y. Chou and K.F. Kroner, Recent Developments in Time Series (2003).
  4. "Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (International Economic Review, 39, 885-905, 1998)," T. Bollerslev with T.G. Andersen, Forecasting Financial Markets (2002).
  5. "The Message in Daily Exchange Rates: A Conditional Variance Tale (Journal of Business and Economic Statistics, 7, 297-305, 1989)," T. Bollerslev with R.T. Baillie, reprinted in 20th Anniversary Issue of Journal of Business and Economic Statistics20.1 (2002).  [author's comments]
  6. "Generalized Autoregressive Conditional Heteroskedasticity (Journal of Econometrics, 31, 307-327, 1986)," T. Bollerslev, reprinted in 100th Anniversary Issue of Journal of Econometrics100.1 (2001).
  7. "Great Realizations," T. Bollerslev with T.G. Andersen, F.X. Diebold and P. Labys, Risk Magazine13 (2000): 105-108.