×
Compute Distance To:
Author ID: bollerslev.tim Recent zbMATH articles by "Bollerslev, Tim"
Published as: Bollerslev, Tim; Bollerslev, T.

Publications by Year

Citations contained in zbMATH Open

39 Publications have been cited 3,522 times in 2,464 Documents Cited by Year
Generalized autoregressive conditional heteroscedasticity. Zbl 0616.62119
Bollerslev, Tim
1986
ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057
Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F.
301
1992
Modeling and forecasting realized volatility. Zbl 1142.91712
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
298
2003
The distribution of realized exchange rate volatility. Zbl 1015.62107
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
248
2001
Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085
Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole
234
1996
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Zbl 0850.62884
Bollerslev, Tim; Wooldridge, Jeffrey M.
184
1992
Modelling the persistence of conditional variances. Zbl 0619.62105
Engle, Robert F.; Bollerslev, Tim
144
1986
Modeling and pricing long memory in stock market volatility. Zbl 0960.62560
Bollerslev, Tim; Mikkelsen, Hans Ole
114
1996
Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Zbl 1020.62096
Bollerslev, Tim; Zhou, Hao
62
2002
Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Zbl 1152.91720
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
40
2005
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. Zbl 1418.62371
Andersen, Torben G.; Bollerslev, Tim; Dobrev, Dobrislav
33
2007
Common persistence in conditional variances. Zbl 0782.62102
Bollerslev, Tim; Engle, Robert F.
30
1993
Realized volatility forecasting and market microstructure noise. Zbl 1441.62585
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
29
2011
Prediction in dynamic models with time-dependent conditional variances. Zbl 0850.62902
Baillie, Richard T.; Bollerslev, Tim
27
1992
Jumps and betas: a new framework for disentangling and estimating systematic risks. Zbl 1400.62240
Todorov, Viktor; Bollerslev, Tim
24
2010
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. Zbl 1441.62258
Bollerslev, Tim; Gibson, Michael; Zhou, Hao
23
2011
Risk, jumps, and diversification. Zbl 1418.62374
Bollerslev, Tim; Law, Tzuo Hann; Tauchen, George
21
2008
Exploiting the errors: a simple approach for improved volatility forecasting. Zbl 1419.62294
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
21
2016
Realized beta: persistence and predictability. Zbl 1190.91145
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger
19
2006
Volatility in equilibrium: asymmetries and dynamic dependencies. Zbl 1250.91105
Bollerslev, Tim; Sizova, Natalia; Tauchen, George
18
2012
Estimation of jump tails. Zbl 1241.91136
Bollerslev, Tim; Todorov, Viktor
16
2011
A discrete-time model for daily S&P500 returns and realized variations: jumps and leverage effects. Zbl 1429.62461
Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; Tauchen, George
15
2009
Jump tails, extreme dependencies, and the distribution of stock returns. Zbl 1443.62334
Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi
14
2013
A reduced form framework for modeling volatility of speculative prices based on realized variation measures. Zbl 1441.62584
Andersen, Torben G.; Bollerslev, Tim; Huang, Xin
14
2011
Volatility puzzles: a simple framework for gauging return-volatility regressions. Zbl 1337.62346
Bollerslev, Tim; Zhou, Hao
12
2006
Glossary to ARCH (GARCH). Zbl 05984103
Bollerslev, Tim
12
2010
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data. Zbl 0966.62078
Bollerslev, Tim; Wright, Jonathan H.
12
2000
Long-term equity anticipation securities and stock market volatility dynamics. Zbl 0933.62125
Bollerslev, Tim; Mikkelsen, Hans Ole
9
1999
Financial econometrics: Past developments and future challenges. Zbl 0961.62092
Bollerslev, Tim
9
2001
The distribution of realized exchange rate volatility. Zbl 1126.91354
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
8
2005
Order flow and the bid-ask spread: an empirical probability model of screen-based trading. Zbl 0901.90043
Bollerslev, Tim; Domowitz, Ian; Wang, Jianxin
6
1997
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. Zbl 1452.62746
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
5
2018
Towards a unified framework for high and low frequency return volatility modeling. Zbl 0951.91018
Andersen, T. G.; Bollerslev, T.
3
1998
Stock return and cash flow predictability: the role of volatility risk. Zbl 1337.91136
Bollerslev, Tim; Xu, Lai; Zhou, Hao
3
2015
Time-varying jump tails. Zbl 1312.91093
Bollerslev, Tim; Todorov, Viktor
3
2014
Volatility and time series econometrics. Essays in honor of Robert F. Engle. Zbl 1223.91004
2
2010
Realized semicovariances. Zbl 1467.62172
Bollerslev, Tim; Li, Jia; Patton, Andrew J.; Quaedvlieg, Rogier
2
2020
ARCH and GARCH models. Zbl 1208.91159
Andersen, Torben; Bollerslev, Tim
1
2010
Volume, volatility, and public news announcements. Zbl 1405.91727
Bollerslev, Tim; Li, Jia; Xue, Yuan
1
2018
Realized semicovariances. Zbl 1467.62172
Bollerslev, Tim; Li, Jia; Patton, Andrew J.; Quaedvlieg, Rogier
2
2020
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. Zbl 1452.62746
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
5
2018
Volume, volatility, and public news announcements. Zbl 1405.91727
Bollerslev, Tim; Li, Jia; Xue, Yuan
1
2018
Exploiting the errors: a simple approach for improved volatility forecasting. Zbl 1419.62294
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
21
2016
Stock return and cash flow predictability: the role of volatility risk. Zbl 1337.91136
Bollerslev, Tim; Xu, Lai; Zhou, Hao
3
2015
Time-varying jump tails. Zbl 1312.91093
Bollerslev, Tim; Todorov, Viktor
3
2014
Jump tails, extreme dependencies, and the distribution of stock returns. Zbl 1443.62334
Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi
14
2013
Volatility in equilibrium: asymmetries and dynamic dependencies. Zbl 1250.91105
Bollerslev, Tim; Sizova, Natalia; Tauchen, George
18
2012
Realized volatility forecasting and market microstructure noise. Zbl 1441.62585
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
29
2011
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. Zbl 1441.62258
Bollerslev, Tim; Gibson, Michael; Zhou, Hao
23
2011
Estimation of jump tails. Zbl 1241.91136
Bollerslev, Tim; Todorov, Viktor
16
2011
A reduced form framework for modeling volatility of speculative prices based on realized variation measures. Zbl 1441.62584
Andersen, Torben G.; Bollerslev, Tim; Huang, Xin
14
2011
Jumps and betas: a new framework for disentangling and estimating systematic risks. Zbl 1400.62240
Todorov, Viktor; Bollerslev, Tim
24
2010
Glossary to ARCH (GARCH). Zbl 05984103
Bollerslev, Tim
12
2010
Volatility and time series econometrics. Essays in honor of Robert F. Engle. Zbl 1223.91004
2
2010
ARCH and GARCH models. Zbl 1208.91159
Andersen, Torben; Bollerslev, Tim
1
2010
A discrete-time model for daily S&P500 returns and realized variations: jumps and leverage effects. Zbl 1429.62461
Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; Tauchen, George
15
2009
Risk, jumps, and diversification. Zbl 1418.62374
Bollerslev, Tim; Law, Tzuo Hann; Tauchen, George
21
2008
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. Zbl 1418.62371
Andersen, Torben G.; Bollerslev, Tim; Dobrev, Dobrislav
33
2007
Realized beta: persistence and predictability. Zbl 1190.91145
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger
19
2006
Volatility puzzles: a simple framework for gauging return-volatility regressions. Zbl 1337.62346
Bollerslev, Tim; Zhou, Hao
12
2006
Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Zbl 1152.91720
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
40
2005
The distribution of realized exchange rate volatility. Zbl 1126.91354
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
8
2005
Modeling and forecasting realized volatility. Zbl 1142.91712
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
298
2003
Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Zbl 1020.62096
Bollerslev, Tim; Zhou, Hao
62
2002
The distribution of realized exchange rate volatility. Zbl 1015.62107
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
248
2001
Financial econometrics: Past developments and future challenges. Zbl 0961.62092
Bollerslev, Tim
9
2001
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data. Zbl 0966.62078
Bollerslev, Tim; Wright, Jonathan H.
12
2000
Long-term equity anticipation securities and stock market volatility dynamics. Zbl 0933.62125
Bollerslev, Tim; Mikkelsen, Hans Ole
9
1999
Towards a unified framework for high and low frequency return volatility modeling. Zbl 0951.91018
Andersen, T. G.; Bollerslev, T.
3
1998
Order flow and the bid-ask spread: an empirical probability model of screen-based trading. Zbl 0901.90043
Bollerslev, Tim; Domowitz, Ian; Wang, Jianxin
6
1997
Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085
Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole
234
1996
Modeling and pricing long memory in stock market volatility. Zbl 0960.62560
Bollerslev, Tim; Mikkelsen, Hans Ole
114
1996
Common persistence in conditional variances. Zbl 0782.62102
Bollerslev, Tim; Engle, Robert F.
30
1993
ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057
Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F.
301
1992
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Zbl 0850.62884
Bollerslev, Tim; Wooldridge, Jeffrey M.
184
1992
Prediction in dynamic models with time-dependent conditional variances. Zbl 0850.62902
Baillie, Richard T.; Bollerslev, Tim
27
1992
Generalized autoregressive conditional heteroscedasticity. Zbl 0616.62119
Bollerslev, Tim
1986
Modelling the persistence of conditional variances. Zbl 0619.62105
Engle, Robert F.; Bollerslev, Tim
144
1986
all top 5

Cited by 3,295 Authors

43 McAleer, Michael
24 Bollerslev, Tim
22 Chen, Cathy W. S.
21 Zakoïan, Jean-Michel
18 Gerlach, Richard H.
18 Linton, Oliver Bruce
18 Todorov, Viktor
17 Francq, Christian
17 Tauchen, George E.
15 Li, Wai Keung
15 Ling, Shiqing
15 Mykland, Per Aslak
15 Thavaneswaran, Aerambamoorthy
14 Hafner, Christian Matthias
14 Horváth, Lajos
14 So, Mike K. P.
13 Shephard, Neil
12 Fokianos, Konstantinos
11 Asai, Manabu
11 Koopman, Siem Jan
11 Li, Guodong
11 Patton, Andrew J.
11 Rombouts, Jeroen V. K.
11 Shin, Dongwan
10 Andersen, Torben G.
10 Appadoo, S. S.
10 Barndorff-Nielsen, Ole Eiler
10 Caporin, Massimiliano
10 Doukhan, Paul
10 Guégan, Dominique
10 Lee, Oesook
10 Meddahi, Nour
10 Mikosch, Thomas
10 Podolskij, Mark
9 Berkes, István
9 Chang, Chialin
9 Gencay, Ramazan
9 Gonçalves, Esmeralda
9 Härdle, Wolfgang Karl
9 Lee, Sangyeol
9 Li, Jia
9 Mancino, Maria Elvira
9 Mendes Lopes, Nazaré
9 Ortega, Juan-Pablo
9 Rachev, Svetlozar T.
9 Renault, Eric
9 Sentana, Enrique
9 Wang, Yazhen
9 Xiu, Dacheng
9 Zaffaroni, Paolo
9 Zhu, Ke
9 Zumbach, Gilles O.
8 Aït-Sahalia, Yacine
8 Baillie, Richard T.
8 Chan, Felix T. S.
8 Jacod, Jean
8 Liu, Zhi
8 Martin, Gael M.
8 Otranto, Edoardo
8 Ould-Saïd, Elias
8 Peiris, M. Shelton
8 Renò, Roberto
8 Siu, Tak Kuen
8 Sriboonchitta, Songsak
7 Aue, Alexander
7 Blasques, Francisco
7 Christensen, Kim
7 Corsi, Fulvio
7 Dellaportas, Petros
7 Diongue, Abdou Kâ
7 Herwartz, Helmut
7 Hörmann, Siegfried
7 Iglesias, Emma M.
7 Karanasos, Menelaos
7 Kim, Donggyu
7 Laurent, Sébastien-Yves
7 Li, Dong
7 Liu, Jichun
7 Lu, Zudi
7 Lunde, Asger
7 Medeiros, Marcelo C.
7 Mittnik, Stefan
7 Oomen, Roel C. A.
7 Park, Joon Y.
7 Ruiz, Esther
7 Schmid, Wolfgang
7 Teräsvirta, Timo
7 Vetter, Mathias
7 Werker, Bas J. M.
6 Altun, Emrah
6 Capobianco, Enrico
6 Conrad, Christian
6 Czado, Claudia
6 Davis, Richard A.
6 Elliott, Robert James
6 Golosnoy, Vasyl
6 Gonçalves, Sílvia
6 Gourieroux, Christian
6 Hill, Jonathan B.
6 Hwang, Eunju
...and 3,195 more Authors
all top 5

Cited in 246 Serials

372 Journal of Econometrics
162 Quantitative Finance
114 Computational Statistics and Data Analysis
92 Econometric Reviews
90 Econometric Theory
83 Economics Letters
69 Journal of Time Series Analysis
55 Journal of Economic Dynamics & Control
52 Physica A
52 Mathematics and Computers in Simulation
49 Statistics & Probability Letters
49 Communications in Statistics. Theory and Methods
45 Journal of Applied Statistics
42 Communications in Statistics. Simulation and Computation
39 European Journal of Operational Research
37 Journal of Statistical Computation and Simulation
37 International Journal of Theoretical and Applied Finance
36 The Annals of Statistics
35 Journal of Statistical Planning and Inference
35 Stochastic Processes and their Applications
26 Annals of Operations Research
25 Statistical Papers
22 The Econometrics Journal
21 Computational Statistics
21 Asia-Pacific Financial Markets
19 Journal of Multivariate Analysis
17 Statistical Methods and Applications
16 Insurance Mathematics & Economics
16 Bernoulli
15 Journal of the Korean Statistical Society
14 Scandinavian Journal of Statistics
14 Chaos, Solitons and Fractals
14 Statistics
14 The Annals of Applied Probability
14 Applied Mathematical Finance
14 Electronic Journal of Statistics
13 Applied Stochastic Models in Business and Industry
13 Journal of Time Series Econometrics
12 Journal of Computational and Applied Mathematics
12 Annals of Finance
11 Journal of the American Statistical Association
11 Mathematical and Computer Modelling
11 Decisions in Economics and Finance
10 Thai Journal of Mathematics
10 AStA. Advances in Statistical Analysis
9 Journal of Nonparametric Statistics
9 Extremes
9 North American Actuarial Journal
9 Review of Derivatives Research
8 Annals of the Institute of Statistical Mathematics
8 Journal of Applied Probability
8 Test
8 Discrete Dynamics in Nature and Society
8 Journal of Systems Science and Complexity
8 Computational Management Science
8 Journal of Forecasting
8 Statistics and Computing
7 The Canadian Journal of Statistics
7 Applied Mathematics and Computation
7 Applied Mathematics Letters
7 Computational Economics
7 CEJOR. Central European Journal of Operations Research
6 Lithuanian Mathematical Journal
6 Open Economies Review
6 Finance and Stochastics
6 Mathematical Finance
6 Statistical Inference for Stochastic Processes
6 Brazilian Journal of Probability and Statistics
5 International Journal of Systems Science
5 Fuzzy Sets and Systems
5 International Statistical Review
5 Australian & New Zealand Journal of Statistics
5 Statistical Modelling
5 Journal of Probability and Statistics
5 Bayesian Analysis
4 Advances in Applied Probability
4 Mathematical Biosciences
4 Information Sciences
4 Physica D
4 Sequential Analysis
4 Statistical Science
4 Computers & Operations Research
4 Statistica Sinica
4 Mathematical Problems in Engineering
4 Probability in the Engineering and Informational Sciences
4 Methodology and Computing in Applied Probability
4 International Journal of Modern Physics C
4 Scandinavian Actuarial Journal
4 Statistical Methodology
4 Journal of Statistical Theory and Practice
4 Afrika Statistika
4 Science China. Mathematics
3 Computers & Mathematics with Applications
3 Metrika
3 Journal of Economic Theory
3 Statistica
3 Acta Mathematicae Applicatae Sinica. English Series
3 Probability Theory and Related Fields
3 International Journal of Approximate Reasoning
3 Science in China. Series A
...and 146 more Serials
all top 5

Cited in 36 Fields

1,927 Statistics (62-XX)
1,197 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
418 Probability theory and stochastic processes (60-XX)
233 Numerical analysis (65-XX)
38 Operations research, mathematical programming (90-XX)
31 Computer science (68-XX)
31 Statistical mechanics, structure of matter (82-XX)
19 Systems theory; control (93-XX)
16 Dynamical systems and ergodic theory (37-XX)
14 Biology and other natural sciences (92-XX)
12 Harmonic analysis on Euclidean spaces (42-XX)
8 Partial differential equations (35-XX)
8 Geophysics (86-XX)
8 Information and communication theory, circuits (94-XX)
5 General and overarching topics; collections (00-XX)
5 History and biography (01-XX)
4 Integral equations (45-XX)
4 Quantum theory (81-XX)
3 Linear and multilinear algebra; matrix theory (15-XX)
2 Combinatorics (05-XX)
2 Special functions (33-XX)
2 Approximations and expansions (41-XX)
2 Operator theory (47-XX)
2 Relativity and gravitational theory (83-XX)
1 Mathematical logic and foundations (03-XX)
1 Number theory (11-XX)
1 Measure and integration (28-XX)
1 Difference and functional equations (39-XX)
1 Integral transforms, operational calculus (44-XX)
1 Functional analysis (46-XX)
1 Calculus of variations and optimal control; optimization (49-XX)
1 Convex and discrete geometry (52-XX)
1 Differential geometry (53-XX)
1 Fluid mechanics (76-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Astronomy and astrophysics (85-XX)

Citations by Year