Edit Profile Bollerslev, Tim Compute Distance To: Compute Author ID: bollerslev.tim Published as: Bollerslev, T.; Bollerslev, Tim Documents Indexed: 42 Publications since 1986, including 1 Book all top 5 Co-Authors 3 single-authored 10 Andersen, Torben G. 5 Zhou, Hao 4 Diebold, Francis X. 4 Todorov, Viktor 3 Labys, Paul 3 Meddahi, Nour 3 Mikkelsen, Hans Ole 3 Patton, Andrew J. 3 Quaedvlieg, Rogier 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 Gibson, Michael L. 1 Haldrup, Niels 1 Huang, Xin 1 Kretschmer, Uta 1 Kroner, Kenneth F. 1 Law, Tzuo Hann 1 Li, Jia 1 Li, Sophia Zhengzi 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 all top 5 Serials 25 Journal of Econometrics 4 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 Review of Finance 1 Journal of Time Series Econometrics 1 Advanced Texts in Econometrics Fields 38 Statistics (62-XX) 29 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 37 Publications have been cited 3,207 times in 2,212 Documents Cited by ▼ Year ▼ Generalized autoregressive conditional heteroscedasticity. Zbl 0616.62119Bollerslev, Tim 1,354 1986 ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F. 297 1992 Modeling and forecasting realized volatility. Zbl 1142.91712Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul 266 2003 The distribution of realized exchange rate volatility. Zbl 1015.62107Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul 219 2001 Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole 212 1996 Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Zbl 0850.62884Bollerslev, Tim; Wooldridge, Jeffrey M. 173 1992 Modelling the persistence of conditional variances. Zbl 0619.62105Engle, Robert F.; Bollerslev, Tim 139 1986 Modeling and pricing long memory in stock market volatility. Zbl 0960.62560Bollerslev, Tim; Mikkelsen, Hans Ole 104 1996 Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Zbl 1020.62096Bollerslev, Tim; Zhou, Hao 56 2002 Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Zbl 1152.91720Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour 39 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 29 2007 Common persistence in conditional variances. Zbl 0782.62102Bollerslev, Tim; Engle, Robert F. 29 1993 Realized volatility forecasting and market microstructure noise. Zbl 1441.62585Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour 28 2011 Prediction in dynamic models with time-dependent conditional variances. Zbl 0850.62902Baillie, Richard T.; Bollerslev, Tim 26 1992 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 Jumps and betas: a new framework for disentangling and estimating systematic risks. Zbl 1400.62240Todorov, Viktor; Bollerslev, Tim 20 2010 Realized beta: persistence and predictability. Zbl 1190.91145Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger 18 2006 Volatility in equilibrium: asymmetries and dynamic dependencies. Zbl 1250.91105Bollerslev, Tim; Sizova, Natalia; Tauchen, George 16 2012 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 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 14 2009 Jump tails, extreme dependencies, and the distribution of stock returns. Zbl 1443.62334Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi 13 2013 Estimation of jump tails. Zbl 1241.91136Bollerslev, Tim; Todorov, Viktor 11 2011 Volatility puzzles: a simple framework for gauging return-volatility regressions. Zbl 1337.62346Bollerslev, Tim; Zhou, Hao 11 2006 Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data. Zbl 0966.62078Bollerslev, Tim; Wright, Jonathan H. 11 2000 Exploiting the errors: a simple approach for improved volatility forecasting. Zbl 1419.62294Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier 10 2016 Glossary to ARCH (GARCH). Zbl 05984103Bollerslev, Tim 10 2010 Financial econometrics: Past developments and future challenges. Zbl 0961.62092Bollerslev, Tim 9 2001 Long-term equity anticipation securities and stock market volatility dynamics. Zbl 0933.62125Bollerslev, Tim; Mikkelsen, Hans Ole 9 1999 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 Stock return and cash flow predictability: the role of volatility risk. Zbl 1337.91136Bollerslev, Tim; Xu, Lai; Zhou, Hao 3 2015 Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. Zbl 1452.62746Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier 2 2018 Time-varying jump tails. Zbl 1312.91093Bollerslev, Tim; Todorov, Viktor 2 2014 Volatility and time series econometrics. Essays in honor of Robert F. Engle. Zbl 1223.91004Bollerslev, Tim (ed.); Russell, Jeffrey R. (ed.); Watson, Mark W. (ed.) 2 2010 Towards a unified framework for high and low frequency return volatility modeling. Zbl 0951.91018Andersen, T. G.; Bollerslev, T. 2 1998 ARCH and GARCH models. Zbl 1208.91159Andersen, Torben; Bollerslev, Tim 1 2010 Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. Zbl 1452.62746Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier 2 2018 Exploiting the errors: a simple approach for improved volatility forecasting. Zbl 1419.62294Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier 10 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 2 2014 Jump tails, extreme dependencies, and the distribution of stock returns. Zbl 1443.62334Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi 13 2013 Volatility in equilibrium: asymmetries and dynamic dependencies. Zbl 1250.91105Bollerslev, Tim; Sizova, Natalia; Tauchen, George 16 2012 Realized volatility forecasting and market microstructure noise. Zbl 1441.62585Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour 28 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 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 Estimation of jump tails. Zbl 1241.91136Bollerslev, Tim; Todorov, Viktor 11 2011 Jumps and betas: a new framework for disentangling and estimating systematic risks. Zbl 1400.62240Todorov, Viktor; Bollerslev, Tim 20 2010 Glossary to ARCH (GARCH). Zbl 05984103Bollerslev, Tim 10 2010 Volatility and time series econometrics. Essays in honor of Robert F. Engle. Zbl 1223.91004Bollerslev, Tim (ed.); Russell, Jeffrey R. (ed.); Watson, Mark W. (ed.) 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 14 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 29 2007 Realized beta: persistence and predictability. Zbl 1190.91145Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger 18 2006 Volatility puzzles: a simple framework for gauging return-volatility regressions. Zbl 1337.62346Bollerslev, Tim; Zhou, Hao 11 2006 Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Zbl 1152.91720Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour 39 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 266 2003 Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Zbl 1020.62096Bollerslev, Tim; Zhou, Hao 56 2002 The distribution of realized exchange rate volatility. Zbl 1015.62107Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul 219 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. 11 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. 2 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 212 1996 Modeling and pricing long memory in stock market volatility. Zbl 0960.62560Bollerslev, Tim; Mikkelsen, Hans Ole 104 1996 Common persistence in conditional variances. Zbl 0782.62102Bollerslev, Tim; Engle, Robert F. 29 1993 ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F. 297 1992 Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Zbl 0850.62884Bollerslev, Tim; Wooldridge, Jeffrey M. 173 1992 Prediction in dynamic models with time-dependent conditional variances. Zbl 0850.62902Baillie, Richard T.; Bollerslev, Tim 26 1992 Generalized autoregressive conditional heteroscedasticity. Zbl 0616.62119Bollerslev, Tim 1,354 1986 Modelling the persistence of conditional variances. Zbl 0619.62105Engle, Robert F.; Bollerslev, Tim 139 1986 all cited Publications top 5 cited Publications all top 5 Cited by 3,006 Authors 40 McAleer, Michael 22 Bollerslev, Tim 21 Chen, Cathy W. S. 20 Zakoïan, Jean-Michel 18 Linton, Oliver Bruce 17 Todorov, Viktor 16 Francq, Christian 16 Gerlach, Richard H. 16 Tauchen, George E. 16 Thavaneswaran, Aerambamoorthy 15 Mykland, Per Aslak 14 Hafner, Christian Matthias 14 Horváth, Lajos 14 Ling, Shiqing 13 Li, Wai Keung 13 Shephard, Neil 13 So, Mike K. P. 12 Fokianos, Konstantinos 11 Guégan, Dominique 11 Rachev, Svetlozar T. 10 Appadoo, S. S. 10 Barndorff-Nielsen, Ole Eiler 10 Caporin, Massimiliano 10 Lee, Oesook 10 Meddahi, Nour 10 Mikosch, Thomas 10 Patton, Andrew J. 10 Peiris, M. Shelton 10 Podolskij, Mark 10 Renault, Eric 10 Rombouts, Jeroen V. K. 10 Shin, Dongwan 9 Andersen, Torben G. 9 Berkes, István 9 Chan, Felix T. S. 9 Doukhan, Paul 9 Gencay, Ramazan 9 Gonçalves, Esmeralda 9 Koopman, Siem Jan 9 Mendes Lopes, Nazaré 9 Ortega, Juan-Pablo 9 Sentana, Enrique 9 Wang, Yazhen 9 Xiu, Dacheng 9 Zaffaroni, Paolo 9 Zumbach, Gilles O. 8 Aït-Sahalia, Yacine 8 Baillie, Richard T. 8 Chang, Chialin 8 Corsi, Fulvio 8 Härdle, Wolfgang Karl 8 Li, Guodong 8 Mancino, Maria Elvira 8 Ould-Saïd, Elias 8 Sriboonchitta, Songsak 7 Aue, Alexander 7 Davis, Richard A. 7 Dellaportas, Petros 7 Herwartz, Helmut 7 Hörmann, Siegfried 7 Jacod, Jean 7 Kim, Donggyu 7 Lee, Sangyeol 7 Liu, Jichun 7 Liu, Zhi 7 Lu, Zudi 7 Lunde, Asger 7 Medeiros, Marcelo C. 7 Mittnik, Stefan 7 Otranto, Edoardo 7 Renò, Roberto 7 Ruiz, Esther 7 Siu, Tak Kuen 7 Vetter, Mathias 7 Werker, Bas J. M. 7 Yu, Jun 6 Asai, Manabu 6 Bauwens, Luc C. A. A. 6 Blasques, Francisco 6 Capobianco, Enrico 6 Christensen, Kim 6 Conrad, Christian 6 Elliott, Robert James 6 Golosnoy, Vasyl 6 Gonçalves, Sílvia 6 Gourieroux, Christian 6 Hill, Jonathan B. 6 Hwang, Eunju 6 Iglesias, Emma M. 6 Jirak, Moritz 6 Laurent, Sébastien-Yves 6 Martin, Gael M. 6 Oomen, Roel C. A. 6 Pan, Jiazhu 6 Paolella, Marc S. 6 Park, Joon Y. 6 Preminger, Arie 6 Schmid, Wolfgang 6 Sornette, Didier 6 Tjøstheim, Dag B. ...and 2,906 more Authors all top 5 Cited in 225 Serials 359 Journal of Econometrics 147 Quantitative Finance 117 Computational Statistics and Data Analysis 86 Econometric Theory 81 Economics Letters 69 Journal of Time Series Analysis 54 Mathematics and Computers in Simulation 53 Journal of Economic Dynamics & Control 50 Econometric Reviews 48 Statistics & Probability Letters 38 European Journal of Operational Research 36 Journal of Statistical Computation and Simulation 36 Journal of Applied Statistics 35 Journal of Statistical Planning and Inference 35 Communications in Statistics. Theory and Methods 35 Stochastic Processes and their Applications 35 International Journal of Theoretical and Applied Finance 33 The Annals of Statistics 30 Communications in Statistics. Simulation and Computation 28 Physica A 22 The Econometrics Journal 21 Asia-Pacific Financial Markets 20 Computational Statistics 20 Statistical Papers 17 Journal of Multivariate Analysis 17 Insurance Mathematics & Economics 17 Annals of Operations Research 15 Bernoulli 14 Scandinavian Journal of Statistics 13 Statistics 13 The Annals of Applied Probability 13 Applied Stochastic Models in Business and Industry 13 Statistical Methods and Applications 13 Journal of the Korean Statistical Society 12 Mathematical and Computer Modelling 12 Electronic Journal of Statistics 11 Journal of the American Statistical Association 11 Journal of Computational and Applied Mathematics 11 Annals of Finance 11 Journal of Time Series Econometrics 10 Applied Mathematical Finance 10 Thai Journal of Mathematics 10 AStA. Advances in Statistical Analysis 9 Chaos, Solitons and Fractals 9 Extremes 9 Review of Derivatives Research 8 Journal of Applied Probability 8 Applied Mathematics Letters 8 Test 8 Journal of Forecasting 7 The Canadian Journal of Statistics 7 Annals of the Institute of Statistical Mathematics 7 Computational Economics 7 Journal of Systems Science and Complexity 7 North American Actuarial Journal 7 Computational Management Science 7 Statistics and Computing 6 Lithuanian Mathematical Journal 6 Applied Mathematics and Computation 6 Open Economies Review 6 Journal of Nonparametric Statistics 6 Finance and Stochastics 6 Mathematical Finance 6 Statistical Inference for Stochastic Processes 5 International Journal of Systems Science 5 Fuzzy Sets and Systems 5 International Statistical Review 5 Australian & New Zealand Journal of Statistics 5 Discrete Dynamics in Nature and Society 5 Journal of Statistical Mechanics: Theory and Experiment 5 Bayesian Analysis 4 Advances in Applied Probability 4 Mathematical Biosciences 4 Journal of Economic Theory 4 Statistical Science 4 Computers & Operations Research 4 Abstract and Applied Analysis 4 CEJOR. Central European Journal of Operations Research 4 Probability in the Engineering and Informational Sciences 4 Methodology and Computing in Applied Probability 4 Brazilian Journal of Probability and Statistics 4 International Journal of Modern Physics C 4 Decisions in Economics and Finance 4 Statistical Modelling 4 Statistical Methodology 4 Journal of Statistical Theory and Practice 4 Science China. Mathematics 4 Journal of Probability and Statistics 3 Computers & Mathematics with Applications 3 Metrika 3 Information Sciences 3 Physica D 3 Acta Mathematicae Applicatae Sinica. English Series 3 Probability Theory and Related Fields 3 Sequential Analysis 3 Science in China. Series A 3 Automation and Remote Control 3 Mathematical Problems in Engineering 3 Studies in Nonlinear Dynamics and Econometrics 3 Journal of the Royal Statistical Society. Series B. Statistical Methodology ...and 125 more Serials all top 5 Cited in 35 Fields 1,740 Statistics (62-XX) 1,102 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 385 Probability theory and stochastic processes (60-XX) 223 Numerical analysis (65-XX) 33 Operations research, mathematical programming (90-XX) 28 Computer science (68-XX) 17 Systems theory; control (93-XX) 14 Dynamical systems and ergodic theory (37-XX) 13 Biology and other natural sciences (92-XX) 11 Harmonic analysis on Euclidean spaces (42-XX) 11 Statistical mechanics, structure of matter (82-XX) 8 Geophysics (86-XX) 8 Information and communication theory, circuits (94-XX) 7 Partial differential equations (35-XX) 5 General and overarching topics; collections (00-XX) 5 History and biography (01-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Integral equations (45-XX) 3 Operator theory (47-XX) 3 Quantum theory (81-XX) 2 Combinatorics (05-XX) 2 Special functions (33-XX) 2 Approximations and expansions (41-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 Global analysis, analysis on manifolds (58-XX) 1 Astronomy and astrophysics (85-XX) Citations by Year