Research Interests for Tim Bollerslev

Tim Bollerslev joined the Duke Faculty in the Fall, 1998, as the first Juanita and Clifton Kreps Professor of Economics. He also holds an appointment as Professor of Finance at the Fuqua School of Business. He received his Ph.D. from UCSD, and has previously held chaired positions at the Kellogg School at Northwestern University and the University of Virginia. He is an elected fellow of the Econometric Society, and has been affiliated with the National Bureau of Economic Research as a Faculty Research Associate since 1991. An internationally recognized time series econometrician, Prof. Bollerslev is especially well known for his expertise in financial econometrics and empirical finance. His ideas for measuring and forecasting financial market volatility are used routinely by economists and finance practitioners throughout the world. In the press release accompanying the 2003 Nobel Prize in Economics, his GARCH (generalized autoregressive conditional heteroskedasticity) model was explicitly singled out as "the model most often applied today." Prof. Bollerslev has published widely in the most prominent academic journals in the area. His work is also widely cited, including two of the three most cited papers in the first one hundred issues of the Journal of Econometrics. His current research, involving the use of high-frequency financial data for better measuring volatility and understanding the impact of news, has been supported by a series of grants from the National Science Foundation. Prof. Bollerslev routinely lectures at professional meetings and research institutions around the world. He has served on the editorial boards for more than ten different academic journals and is currently serving as co-editor for the Journal of Applied Econometrics.

Areas of Interest:

Time Series Econometrics
Empirical Finance
Volatility

Recent Publications

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 (Accepted, 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 (Accepted, 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 (Accepted, 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 (Accepted, 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 (Accepted, forthcoming 2005), National Bureau of Economic Research