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Research Interests for Tim Bollerslev

Research Interests: Time Series Econometrics, Financial Econometrics, Empirical Finance

Professor Bollerslev conducts research in the areas of time-series econometrics, financial econometrics, and empirical asset pricing finance. He is particularly well known for his developments of econometric models and procedures for analyzing and forecasting financial market volatility. Much of Bollerslev’s recent research has focused on the analysis of newly available high-frequency intraday, or tick-by-tick, financial data and so-called realized volatility measures, macroeconomic news announcement effects, and the pricing of volatility risk. Recent reviews of his work are available in the two Handbook chapters "Volatility and Correlation Forecasting” (with Torben G. Andersen, Peter Christoffersen and Francis X. Diebold), Handbook of Economic Forecasting, (eds. Graham Elliott, Clive W.J. Granger and Allan Timmermann), 2006, and "Parametric and Nonparametric Volatility Measurement” (with Torben G. Andersen and Francis X. Diebold), in Handbook of Financial Econometrics, (eds. Yacine Aït-Sahalia and Lars P. Hansen), 2009.

Financial econometrics, financial economics, GARCH, high frequency financial data, macroeconomic news announcements, Risk, Risk Management, time series econometrics, volatility
Areas of Interest:

Time Series Econometrics
Financial Econometrics
Empirical Finance

Representative Publications
  1. 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]
  2. 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]
  3. 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]
  4. 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)
  5. 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)
  6. Tim Bollerslev, Torben G. Anderson, Francis X. Diebold and Paul Labys, Modeling and Forecasting Realized Volatility, Econometrica (2003)

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