Edit Profile (opens in new tab) Bollerslev, Tim Compute Distance To: Compute Author ID: bollerslev.tim Published as: Bollerslev, Tim; Bollerslev, T. Documents Indexed: 44 Publications since 1986 2 Contributions as Editor Co-Authors: 38 Co-Authors with 43 Joint Publications 711 Co-Co-Authors all top 5 Co-Authors 3 single-authored 10 Andersen, Torben G. 5 Patton, Andrew J. 5 Zhou, Hao 4 Diebold, Francis X. 4 Li, Jia 4 Quaedvlieg, Rogier 4 Todorov, Viktor 3 Labys, Paul 3 Meddahi, Nour 3 Mikkelsen, Hans Ole 3 Tauchen, George E. 2 Baillie, Richard T. 2 Engle, Robert Fry 1 Chou, Ray Yeutien 1 Christensen, Bent Jesper 1 Dobrev, Dobrislav 1 Domowitz, Ian 1 Haldrup, Niels 1 Huang, Xin 1 Kretschmer, Uta 1 Kroner, Kenneth F. 1 Law, Tzuo Hann 1 Li, Sophia Zhengzi 1 Liao, Zhipeng 1 Lunde, Asger 1 Nyawa, Serge 1 Pigorsch, Christian 1 Russell, Jeffrey R. 1 Sizova, Natalia 1 Wang, Jianxin 1 Watson, Mark W. 1 Wooldridge, Jeffrey M. 1 Wright, Jonathan H. 1 Wu, Ginger 1 Xu, Lai 1 Xue, Yuan 1 Zhang, Congshan 1 Zhang, Haozhe all top 5 Serials 26 Journal of Econometrics 5 Econometrica 2 Econometric Reviews 1 Journal of the American Statistical Association 1 The Review of Economic Studies 1 Statistica Neerlandica 1 Journal of Economic Dynamics & Control 1 Economics Letters 1 Review of Finance 1 Quantitative Economics 1 Journal of Time Series Econometrics 1 Advanced Texts in Econometrics Fields 42 Statistics (62-XX) 32 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Probability theory and stochastic processes (60-XX) 2 General and overarching topics; collections (00-XX) 1 History and biography (01-XX) Publications by Year all cited Publications top 5 cited Publications 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 0616.62119Bollerslev, Tim 1,505 1986 ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F. 301 1992 Modeling and forecasting realized volatility. Zbl 1142.91712Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul 298 2003 The distribution of realized exchange rate volatility. Zbl 1015.62107Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul 248 2001 Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole 234 1996 Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Zbl 0850.62884Bollerslev, Tim; Wooldridge, Jeffrey M. 184 1992 Modelling the persistence of conditional variances. Zbl 0619.62105Engle, Robert F.; Bollerslev, Tim 144 1986 Modeling and pricing long memory in stock market volatility. Zbl 0960.62560Bollerslev, Tim; Mikkelsen, Hans Ole 114 1996 Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Zbl 1020.62096Bollerslev, Tim; Zhou, Hao 62 2002 Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Zbl 1152.91720Andersen, 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 1418.62371Andersen, Torben G.; Bollerslev, Tim; Dobrev, Dobrislav 33 2007 Common persistence in conditional variances. Zbl 0782.62102Bollerslev, Tim; Engle, Robert F. 30 1993 Realized volatility forecasting and market microstructure noise. Zbl 1441.62585Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour 29 2011 Prediction in dynamic models with time-dependent conditional variances. Zbl 0850.62902Baillie, Richard T.; Bollerslev, Tim 27 1992 Jumps and betas: a new framework for disentangling and estimating systematic risks. Zbl 1400.62240Todorov, Viktor; Bollerslev, Tim 24 2010 Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. Zbl 1441.62258Bollerslev, Tim; Gibson, Michael; Zhou, Hao 23 2011 Risk, jumps, and diversification. Zbl 1418.62374Bollerslev, Tim; Law, Tzuo Hann; Tauchen, George 21 2008 Exploiting the errors: a simple approach for improved volatility forecasting. Zbl 1419.62294Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier 21 2016 Realized beta: persistence and predictability. Zbl 1190.91145Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger 19 2006 Volatility in equilibrium: asymmetries and dynamic dependencies. Zbl 1250.91105Bollerslev, Tim; Sizova, Natalia; Tauchen, George 18 2012 Estimation of jump tails. Zbl 1241.91136Bollerslev, Tim; Todorov, Viktor 16 2011 A discrete-time model for daily S&P500 returns and realized variations: jumps and leverage effects. Zbl 1429.62461Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; Tauchen, George 15 2009 Jump tails, extreme dependencies, and the distribution of stock returns. Zbl 1443.62334Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi 14 2013 A reduced form framework for modeling volatility of speculative prices based on realized variation measures. Zbl 1441.62584Andersen, Torben G.; Bollerslev, Tim; Huang, Xin 14 2011 Volatility puzzles: a simple framework for gauging return-volatility regressions. Zbl 1337.62346Bollerslev, Tim; Zhou, Hao 12 2006 Glossary to ARCH (GARCH). Zbl 05984103Bollerslev, Tim 12 2010 Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data. Zbl 0966.62078Bollerslev, Tim; Wright, Jonathan H. 12 2000 Long-term equity anticipation securities and stock market volatility dynamics. Zbl 0933.62125Bollerslev, Tim; Mikkelsen, Hans Ole 9 1999 Financial econometrics: Past developments and future challenges. Zbl 0961.62092Bollerslev, Tim 9 2001 The distribution of realized exchange rate volatility. Zbl 1126.91354Andersen, 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 0901.90043Bollerslev, Tim; Domowitz, Ian; Wang, Jianxin 6 1997 Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. Zbl 1452.62746Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier 5 2018 Towards a unified framework for high and low frequency return volatility modeling. Zbl 0951.91018Andersen, T. G.; Bollerslev, T. 3 1998 Stock return and cash flow predictability: the role of volatility risk. Zbl 1337.91136Bollerslev, Tim; Xu, Lai; Zhou, Hao 3 2015 Time-varying jump tails. Zbl 1312.91093Bollerslev, 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 1467.62172Bollerslev, Tim; Li, Jia; Patton, Andrew J.; Quaedvlieg, Rogier 2 2020 ARCH and GARCH models. Zbl 1208.91159Andersen, Torben; Bollerslev, Tim 1 2010 Volume, volatility, and public news announcements. Zbl 1405.91727Bollerslev, Tim; Li, Jia; Xue, Yuan 1 2018 Realized semicovariances. Zbl 1467.62172Bollerslev, Tim; Li, Jia; Patton, Andrew J.; Quaedvlieg, Rogier 2 2020 Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. Zbl 1452.62746Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier 5 2018 Volume, volatility, and public news announcements. Zbl 1405.91727Bollerslev, Tim; Li, Jia; Xue, Yuan 1 2018 Exploiting the errors: a simple approach for improved volatility forecasting. Zbl 1419.62294Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier 21 2016 Stock return and cash flow predictability: the role of volatility risk. Zbl 1337.91136Bollerslev, Tim; Xu, Lai; Zhou, Hao 3 2015 Time-varying jump tails. Zbl 1312.91093Bollerslev, Tim; Todorov, Viktor 3 2014 Jump tails, extreme dependencies, and the distribution of stock returns. Zbl 1443.62334Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi 14 2013 Volatility in equilibrium: asymmetries and dynamic dependencies. Zbl 1250.91105Bollerslev, Tim; Sizova, Natalia; Tauchen, George 18 2012 Realized volatility forecasting and market microstructure noise. Zbl 1441.62585Andersen, 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 1441.62258Bollerslev, Tim; Gibson, Michael; Zhou, Hao 23 2011 Estimation of jump tails. Zbl 1241.91136Bollerslev, Tim; Todorov, Viktor 16 2011 A reduced form framework for modeling volatility of speculative prices based on realized variation measures. Zbl 1441.62584Andersen, Torben G.; Bollerslev, Tim; Huang, Xin 14 2011 Jumps and betas: a new framework for disentangling and estimating systematic risks. Zbl 1400.62240Todorov, Viktor; Bollerslev, Tim 24 2010 Glossary to ARCH (GARCH). Zbl 05984103Bollerslev, 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 1208.91159Andersen, Torben; Bollerslev, Tim 1 2010 A discrete-time model for daily S&P500 returns and realized variations: jumps and leverage effects. Zbl 1429.62461Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; Tauchen, George 15 2009 Risk, jumps, and diversification. Zbl 1418.62374Bollerslev, 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 1418.62371Andersen, Torben G.; Bollerslev, Tim; Dobrev, Dobrislav 33 2007 Realized beta: persistence and predictability. Zbl 1190.91145Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger 19 2006 Volatility puzzles: a simple framework for gauging return-volatility regressions. Zbl 1337.62346Bollerslev, Tim; Zhou, Hao 12 2006 Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Zbl 1152.91720Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour 40 2005 The distribution of realized exchange rate volatility. Zbl 1126.91354Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul 8 2005 Modeling and forecasting realized volatility. Zbl 1142.91712Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul 298 2003 Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Zbl 1020.62096Bollerslev, Tim; Zhou, Hao 62 2002 The distribution of realized exchange rate volatility. Zbl 1015.62107Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul 248 2001 Financial econometrics: Past developments and future challenges. Zbl 0961.62092Bollerslev, Tim 9 2001 Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data. Zbl 0966.62078Bollerslev, Tim; Wright, Jonathan H. 12 2000 Long-term equity anticipation securities and stock market volatility dynamics. Zbl 0933.62125Bollerslev, Tim; Mikkelsen, Hans Ole 9 1999 Towards a unified framework for high and low frequency return volatility modeling. Zbl 0951.91018Andersen, T. G.; Bollerslev, T. 3 1998 Order flow and the bid-ask spread: an empirical probability model of screen-based trading. Zbl 0901.90043Bollerslev, Tim; Domowitz, Ian; Wang, Jianxin 6 1997 Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole 234 1996 Modeling and pricing long memory in stock market volatility. Zbl 0960.62560Bollerslev, Tim; Mikkelsen, Hans Ole 114 1996 Common persistence in conditional variances. Zbl 0782.62102Bollerslev, Tim; Engle, Robert F. 30 1993 ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F. 301 1992 Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Zbl 0850.62884Bollerslev, Tim; Wooldridge, Jeffrey M. 184 1992 Prediction in dynamic models with time-dependent conditional variances. Zbl 0850.62902Baillie, Richard T.; Bollerslev, Tim 27 1992 Generalized autoregressive conditional heteroscedasticity. Zbl 0616.62119Bollerslev, Tim 1,505 1986 Modelling the persistence of conditional variances. Zbl 0619.62105Engle, Robert F.; Bollerslev, Tim 144 1986 all cited Publications top 5 cited Publications 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