Publications [#369329] of Tim Bollerslev

Journal Articles

1. Bollerslev, T, The story of GARCH: A personal odyssey, Journal of Econometrics, vol. 234 (March, 2023), pp. 96-100 [doi]
   (last updated on 2026/01/16)

   Abstract:
   I provide a brief history of the origins of the GARCH model and my 1986 paper published in the Journal, along with a discussion of how the GARCH model and applications thereof have flourished since then. I also briefly highlight connections to the more recent realized volatility literature.