Tim Bollerslev

Available identifiers

zbMath Open bollerslev.timMaRDI QIDQ250863

List of research outcomes

Publication	Date of Publication	Type
Optimal nonparametric range-based volatility estimation	2024-02-13	Paper
Reprint of: Generalized autoregressive conditional heteroskedasticity	2023-04-14	Paper
The story of GARCH: a personal odyssey	2023-04-14	Paper
From zero to hero: realized partial (co)variances	2022-12-14	Paper
Equity clusters through the lens of realized semicorrelations	2022-04-14	Paper
Fixed‐ k inference for volatility	2022-03-24	Paper
Occupation density estimation for noisy high-frequency data	2022-03-16	Paper
Realized Semicovariances	2021-06-07	Paper
Multivariate leverage effects and realized semicovariance GARCH models	2020-06-18	Paper
High-dimensional multivariate realized volatility estimation	2019-09-02	Paper
Volume, Volatility, and Public News Announcements	2019-01-23	Paper
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions	2018-10-12	Paper
Jump tails, extreme dependencies, and the distribution of stock returns	2017-05-12	Paper
A reduced form framework for modeling volatility of speculative prices based on realized variation measures	2016-08-10	Paper
Realized volatility forecasting and market microstructure noise	2016-08-10	Paper
Jumps and betas: a new framework for disentangling and estimating systematic risks	2016-08-04	Paper
A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects	2016-07-04	Paper
Volatility puzzles: a simple framework for gauging return-volatility regressions	2016-06-10	Paper
Risk, jumps, and diversification	2016-06-10	Paper
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	2016-05-04	Paper
Corrigendum to: ``Estimating stochastic volatility diffusion using conditional moments of integrated volatility	2016-04-18	Paper
Exploiting the errors: a simple approach for improved volatility forecasting	2016-03-01	Paper
Stock return and cash flow predictability: the role of volatility risk	2015-06-08	Paper
Time-varying jump tails	2014-11-24	Paper
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies*	2012-10-23	Paper
Estimation of Jump Tails	2012-06-18	Paper
https://portal.mardi4nfdi.de/entity/Q3099631	2011-12-01	Paper
https://portal.mardi4nfdi.de/entity/Q3084271	2011-03-15	Paper
Realized Beta: Persistence and Predictability	2010-06-30	Paper
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities	2006-10-24	Paper
Modeling and Forecasting Realized Volatility	2006-06-19	Paper
https://portal.mardi4nfdi.de/entity/Q3374323	2006-03-09	Paper
The Distribution of Realized Exchange Rate Volatility	2003-08-10	Paper
Estimating stochastic volatility diffusion using conditional moments of integrated volatility	2003-04-02	Paper
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data	2001-08-17	Paper
Financial econometrics: Past developments and future challenges	2001-06-05	Paper
Modeling and pricing long memory in stock market volatility	2001-05-17	Paper
Long-term equity anticipation securities and stock market volatility dynamics	2000-04-02	Paper
Towards a unified framework for high and low frequency return volatility modeling	1999-08-23	Paper
Order flow and the bid-ask spread: an empirical probability model of screen-based trading	1998-07-22	Paper
Fractionally integrated generalized autoregressive conditional heteroskedasticity	1997-07-14	Paper
Common Persistence in Conditional Variances	1993-08-22	Paper
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances	1993-04-01	Paper
ARCH modeling in finance. A review of the theory and empirical evidence	1992-06-28	Paper
Prediction in dynamic models with time-dependent conditional variances	1992-06-28	Paper
Generalized autoregressive conditional heteroscedasticity	1986-01-01	Paper
Modelling the persistence of conditional variances	1986-01-01	Paper

Research outcomes over time

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