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Bollerslev, Tim

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Author ID: bollerslev.tim Recent zbMATH articles by "Bollerslev, Tim"
Published as: Bollerslev, T.; Bollerslev, Tim
Documents Indexed: 42 Publications since 1986, including 1 Book

Publications by Year

Citations contained in zbMATH

37 Publications have been cited 3,207 times in 2,212 Documents Cited by Year
Generalized autoregressive conditional heteroscedasticity. Zbl 0616.62119
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.
297
1992
Modeling and forecasting realized volatility. Zbl 1142.91712
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
266
2003
The distribution of realized exchange rate volatility. Zbl 1015.62107
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
219
2001
Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085
Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole
212
1996
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Zbl 0850.62884
Bollerslev, Tim; Wooldridge, Jeffrey M.
173
1992
Modelling the persistence of conditional variances. Zbl 0619.62105
Engle, Robert F.; Bollerslev, Tim
139
1986
Modeling and pricing long memory in stock market volatility. Zbl 0960.62560
Bollerslev, Tim; Mikkelsen, Hans Ole
104
1996
Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Zbl 1020.62096
Bollerslev, Tim; Zhou, Hao
56
2002
Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Zbl 1152.91720
Andersen, 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 1418.62371
Andersen, Torben G.; Bollerslev, Tim; Dobrev, Dobrislav
29
2007
Common persistence in conditional variances. Zbl 0782.62102
Bollerslev, Tim; Engle, Robert F.
29
1993
Realized volatility forecasting and market microstructure noise. Zbl 1441.62585
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
28
2011
Prediction in dynamic models with time-dependent conditional variances. Zbl 0850.62902
Baillie, Richard T.; Bollerslev, Tim
26
1992
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
Jumps and betas: a new framework for disentangling and estimating systematic risks. Zbl 1400.62240
Todorov, Viktor; Bollerslev, Tim
20
2010
Realized beta: persistence and predictability. Zbl 1190.91145
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger
18
2006
Volatility in equilibrium: asymmetries and dynamic dependencies. Zbl 1250.91105
Bollerslev, Tim; Sizova, Natalia; Tauchen, George
16
2012
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
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
14
2009
Jump tails, extreme dependencies, and the distribution of stock returns. Zbl 1443.62334
Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi
13
2013
Estimation of jump tails. Zbl 1241.91136
Bollerslev, Tim; Todorov, Viktor
11
2011
Volatility puzzles: a simple framework for gauging return-volatility regressions. Zbl 1337.62346
Bollerslev, Tim; Zhou, Hao
11
2006
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data. Zbl 0966.62078
Bollerslev, Tim; Wright, Jonathan H.
11
2000
Exploiting the errors: a simple approach for improved volatility forecasting. Zbl 1419.62294
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
10
2016
Glossary to ARCH (GARCH). Zbl 05984103
Bollerslev, Tim
10
2010
Financial econometrics: Past developments and future challenges. Zbl 0961.62092
Bollerslev, Tim
9
2001
Long-term equity anticipation securities and stock market volatility dynamics. Zbl 0933.62125
Bollerslev, Tim; Mikkelsen, Hans Ole
9
1999
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
Stock return and cash flow predictability: the role of volatility risk. Zbl 1337.91136
Bollerslev, Tim; Xu, Lai; Zhou, Hao
3
2015
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. Zbl 1452.62746
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
2
2018
Time-varying jump tails. Zbl 1312.91093
Bollerslev, Tim; Todorov, Viktor
2
2014
Volatility and time series econometrics. Essays in honor of Robert F. Engle. Zbl 1223.91004
Bollerslev, 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 0951.91018
Andersen, T. G.; Bollerslev, T.
2
1998
ARCH and GARCH models. Zbl 1208.91159
Andersen, Torben; Bollerslev, Tim
1
2010
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. Zbl 1452.62746
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
2
2018
Exploiting the errors: a simple approach for improved volatility forecasting. Zbl 1419.62294
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
10
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
2
2014
Jump tails, extreme dependencies, and the distribution of stock returns. Zbl 1443.62334
Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi
13
2013
Volatility in equilibrium: asymmetries and dynamic dependencies. Zbl 1250.91105
Bollerslev, Tim; Sizova, Natalia; Tauchen, George
16
2012
Realized volatility forecasting and market microstructure noise. Zbl 1441.62585
Andersen, 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 1441.62258
Bollerslev, Tim; Gibson, Michael; Zhou, Hao
23
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
Estimation of jump tails. Zbl 1241.91136
Bollerslev, Tim; Todorov, Viktor
11
2011
Jumps and betas: a new framework for disentangling and estimating systematic risks. Zbl 1400.62240
Todorov, Viktor; Bollerslev, Tim
20
2010
Glossary to ARCH (GARCH). Zbl 05984103
Bollerslev, Tim
10
2010
Volatility and time series econometrics. Essays in honor of Robert F. Engle. Zbl 1223.91004
Bollerslev, Tim (ed.); Russell, Jeffrey R. (ed.); Watson, Mark W. (ed.)
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
14
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
29
2007
Realized beta: persistence and predictability. Zbl 1190.91145
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger
18
2006
Volatility puzzles: a simple framework for gauging return-volatility regressions. Zbl 1337.62346
Bollerslev, Tim; Zhou, Hao
11
2006
Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Zbl 1152.91720
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
39
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
266
2003
Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Zbl 1020.62096
Bollerslev, Tim; Zhou, Hao
56
2002
The distribution of realized exchange rate volatility. Zbl 1015.62107
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
219
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.
11
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.
2
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
212
1996
Modeling and pricing long memory in stock market volatility. Zbl 0960.62560
Bollerslev, Tim; Mikkelsen, Hans Ole
104
1996
Common persistence in conditional variances. Zbl 0782.62102
Bollerslev, Tim; Engle, Robert F.
29
1993
ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057
Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F.
297
1992
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Zbl 0850.62884
Bollerslev, Tim; Wooldridge, Jeffrey M.
173
1992
Prediction in dynamic models with time-dependent conditional variances. Zbl 0850.62902
Baillie, Richard T.; Bollerslev, Tim
26
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
139
1986
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