The following pages link to Tim Bollerslev (Q250863):
Displaying 50 items.
- Corrigendum to: ``Estimating stochastic volatility diffusion using conditional moments of integrated volatility'' (Q269242) (← links)
- 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 (Q277161) (← links)
- Volatility puzzles: a simple framework for gauging return-volatility regressions (Q292008) (← links)
- Risk, jumps, and diversification (Q292155) (← links)
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
- (Q473226) (redirect page) (← links)
- Time-varying jump tails (Q473227) (← links)
- (Q528155) (redirect page) (← links)
- Jump tails, extreme dependencies, and the distribution of stock returns (Q528157) (← links)
- (Q589779) (redirect page) (← links)
- Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← links)
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
- Realized volatility forecasting and market microstructure noise (Q737278) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104) (← links)
- Prediction in dynamic models with time-dependent conditional variances (Q1185107) (← links)
- Long-term equity anticipation securities and stock market volatility dynamics (Q1302760) (← links)
- Order flow and the bid-ask spread: an empirical probability model of screen-based trading (Q1391446) (← links)
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data (Q1584769) (← links)
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (Q1792481) (← links)
- Generalized autoregressive conditional heteroscedasticity (Q1821471) (← links)
- Financial econometrics: Past developments and future challenges (Q1841086) (← links)
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Q1867730) (← links)
- Modeling and pricing long memory in stock market volatility (Q1922362) (← links)
- From zero to hero: realized partial (co)variances (Q2106366) (← links)
- Occupation density estimation for noisy high-frequency data (Q2116333) (← links)
- Equity clusters through the lens of realized semicorrelations (Q2126161) (← links)
- Multivariate leverage effects and realized semicovariance GARCH models (Q2190232) (← links)
- High-dimensional multivariate realized volatility estimation (Q2323370) (← links)
- Stock return and cash flow predictability: the role of volatility risk (Q2347721) (← links)
- Reprint of: Generalized autoregressive conditional heteroskedasticity (Q2697962) (← links)
- The story of GARCH: a personal odyssey (Q2697967) (← links)
- Estimation of Jump Tails (Q2892447) (← links)
- Volatility in Equilibrium: Asymmetries and Dynamic Dependencies* (Q2919956) (← links)
- (Q3084271) (← links)
- (Q3099631) (← links)
- (Q3374323) (← links)
- Fixed‐ <i>k</i> inference for volatility (Q3390399) (← links)
- Realized Beta: Persistence and Predictability (Q3571976) (← links)
- Modelling the persistence of conditional variances (Q3756387) (← links)
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (Q4031295) (← links)
- Towards a unified framework for high and low frequency return volatility modeling (Q4259384) (← links)
- Volume, Volatility, and Public News Announcements (Q4610477) (← links)
- The Distribution of Realized Exchange Rate Volatility (Q4808055) (← links)
- Realized Semicovariances (Q4992136) (← links)
- Common Persistence in Conditional Variances (Q5289304) (← links)
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities (Q5393915) (← links)
- Modeling and Forecasting Realized Volatility (Q5472963) (← links)
- Exploiting the errors: a simple approach for improved volatility forecasting (Q5964747) (← links)
- Optimal nonparametric range-based volatility estimation (Q6193007) (← links)
