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Bollerslev, Tim


 SSRN Author Rank: 405 by Downloads
 Professor
 

Duke University - Finance


 Durham, NC 27708-0120
 United States
 919-660-1846 (Phone)
 919-684-8974 (Fax)
 email address
 

Duke University - Department of Economics


 213 Social Sciences Building
 Box 90097
 Durham, NC 27708-0204
 United States
 

National Bureau of Economic Research (NBER)


 1050 Massachusetts Avenue
 Cambridge, MA 02138
 United States

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. Bollerslev, Tim's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
28,277
Total
Citations
3,519
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Tauchen, George
Duke University - Economics Group
Zhou, Hao
Tsinghua University
Posted:
21 Sep 06
Last Revised:
17 Sep 09
2,798
(2,022)
142

2.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Gibson, Michael S.
Federal Reserve Board
Zhou, Hao
Tsinghua University
Posted:
25 Jan 05
Last Revised:
25 Sep 09
2,461
(2,560)
71

3.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
28 Feb 05
Last Revised:
29 Jul 10
2,109
(3,305)
13

4.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Labys, Paul
Charles River Associates (CRA) - Utah Office
Posted:
09 Mar 01
Last Revised:
10 Dec 08
1,915
(3,913)
411

5.  
Glossary to ARCH (GARCH) | Show Abstract | Download |
CREATES Research Paper 2008-49
Working Paper Series
Bollerslev, Tim
Duke University - Finance
Posted:
04 Sep 08
1,868
(4,079)
11

6.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
21 Jan 05
Last Revised:
13 Mar 05
1,662
(5,019)
28

7.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Marrone, James
Government of the United States of America - Division of Research and Statistics
Xu, Lai
Duke University - Department of Economics
Zhou, Hao
Tsinghua University
Posted:
04 Mar 11
Last Revised:
08 Aug 12
1,291
(7,721)
13

8.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
07 Nov 11
Last Revised:
19 May 12
981
(12,039)
46

9.  
Realized Beta: Persistence and Predictability | Show Abstract | Download |
PIER Working Paper No. 04-018
Working Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Wu, Jin (Ginger)
University of Georgia - Department of Banking and Finance
Posted:
07 May 04
948
(12,699)
41

10.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
06 Nov 03
Last Revised:
01 Dec 03
937
(12,912)
128

11.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Todorov, Viktor
Northwestern University
Posted:
14 Jun 09
Last Revised:
26 Jan 11
839
(15,295)
42

12.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Vega, Clara
Board of Governors of the Federal Reserve System
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
30 Jun 04
Last Revised:
17 Jul 09
781
(17,022)
155

13.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
31 Jul 02
Last Revised:
18 Aug 02
742
(18,286)
150

14.  
Bollerslev, Tim
Duke University - Finance
Wright, Jonathan H.
Johns Hopkins University - Department of Economics
Posted:
10 Jul 00
667
(21,364)
10

15.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Litvinova, Julia
Brattle Group
Tauchen, George
Duke University - Economics Group
Posted:
18 Aug 05
Last Revised:
29 Jul 10
665
(21,447)
30

16.  
The Distribution of Realized Exchange Rate Volatility | Show Abstract | Download |
PIER Working Paper No. 01-003
Working Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Labys, Paul
Charles River Associates (CRA) - Utah Office
Posted:
02 May 01
657
(21,835)
318

17.  
Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility | Show Abstract | Download |
FEDS Working Paper No. 2001-49, Journal of Econometrics, Vol. 109, pp. 33-65, 2002
Accepted Paper Series
Zhou, Hao
Tsinghua University
Bollerslev, Tim
Duke University - Finance
Posted:
13 Dec 01
575
(26,234)
55

18.   Incl. Electronic Paper
Vega, Clara
Board of Governors of the Federal Reserve System
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
17 May 02
Last Revised:
27 Oct 10
569
(26,610)
228

19.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Wu, Jin (Ginger)
University of Georgia - Department of Banking and Finance
Posted:
08 Feb 05
Last Revised:
15 Mar 05
566
(26,804)
26

20.   Incl. Electronic Paper
Zhou, Hao
Tsinghua University
Bollerslev, Tim
Duke University - Finance
Posted:
18 Sep 03
Last Revised:
17 Jul 07
556
(27,469)
25

21.  
Bollerslev, Tim
Duke University - Finance
Xu, Lai
Duke University - Department of Economics
Zhou, Hao
Tsinghua University
Posted:
18 Nov 12
Last Revised:
20 Nov 12
525
(29,665)
 

22.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Sizova, Natalia
Rice University
Tauchen, George
Duke University - Economics Group
Posted:
22 Feb 09
Last Revised:
07 Oct 10
459
(35,410)
13

23.  
Bollerslev, Tim
Duke University - Finance
Kretschmer, Uta
University of Bonn, Department of Economics
Pigorsch, Christian
Ludwig-Maximilians-Universität München - Department of Statistics
Tauchen, George
Duke University - Economics Group
Posted:
24 Aug 05
415
(40,119)
31

24.   Incl. Electronic Paper
Peng, Lin
Baruch College/CUNY - Zicklin School of Business
Xiong, Wei
Princeton University - Department of Economics
Bollerslev, Tim
Duke University - Finance
Posted:
03 Oct 06
Last Revised:
11 Nov 10
339
(51,324)
7

25.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Vega, Clara
Board of Governors of the Federal Reserve System
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
05 Dec 06
Last Revised:
18 Aug 08
298
(59,774)
151

26.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
16 Feb 06
Last Revised:
05 Sep 10
288
(62,067)
235

27.  
A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures | Show Abstract | Download |
Journal of Econometrics, Vol. 160, Issue 1, pp. 176-189, January 2011, CREATES Research Paper 2007-14
Accepted Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Huang, Xin
University of Oklahoma
Posted:
23 Jun 08
Last Revised:
07 Jan 12
257
(70,315)
13

28.  
Todorov, Viktor
Duke University
Bollerslev, Tim
Duke University - Finance
Posted:
23 Jun 08
251
(72,144)
9

29.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Frederiksen, Per Skaarup
BlackRock, Inc
Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics
Sommer, Margit
School of Economics and Management
Posted:
23 Jun 08
Last Revised:
02 Dec 08
209
(87,366)
20

30.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Todorov, Viktor
Northwestern University
Posted:
14 Apr 10
Last Revised:
10 Jun 11
202
(90,329)
7

31.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Labys, Paul
Charles River Associates (CRA) - Utah Office
Posted:
23 Jun 99
Last Revised:
12 Oct 10
199
(91,701)
311

32.  
Bollerslev, Tim
Duke University - Finance
Li, Sophia Zhengzi
Department of Finance, Broad College of Business, Michigan State University
Todorov, Viktor
Northwestern University
Posted:
06 Dec 14
150
(120,196)
 

33.  
Risk, Jumps, and Diversification | Show Abstract | Download |
CREATES Research Paper 2007-19
Working Paper Series
Bollerslev, Tim
Duke University - Finance
Law, Tzuo Hann
affiliation not provided to SSRN
Tauchen, George
Duke University - Economics Group
Posted:
23 Jun 08
145
(122,347)
28

34.  
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects | Show Abstract | Download |
Economic Research Initiatives at Duke (ERID) Working Paper No. 6
Working Paper Series
Bollerslev, Tim
Duke University - Finance
Kretschmer, Uta
University of Bonn, Department of Economics
Pigorsch, Christian
Ludwig-Maximilians-Universität München - Department of Statistics
Tauchen, George
Duke University - Economics Group
Posted:
23 Jun 08
144
(123,123)
29

35.  
The Distribution of Stock Return Volatility | Show Abstract | Download |
NBER Working Paper No. w7933
Working Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Ebens, Heiko
Johns Hopkins University - Department of Economics
Posted:
30 Sep 00
136
(129,208)
315

36.  
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions | Show Abstract | Download |
Economic Research Initiatives at Duke (ERID) Working Paper No. 166
Accepted Paper Series
Bollerslev, Tim
Duke University - Finance
Patton, Andrew J.
Duke University - Department of Economics
Wenjing, Wang
Duke University
Posted:
15 Jun 13
Last Revised:
16 Nov 13
120
(142,609)
1

37.  
Financial Market Efficiency Tests | Show Abstract | Download |
NBER Working Paper No. w4108
Working Paper Series
Bollerslev, Tim
Duke University - Finance
Hodrick, Robert J.
Columbia Business School - Finance and Economics
Posted:
23 Apr 04
108
(154,186)
10

38.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Posted:
14 Jul 00
101
(161,704)
17

39.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Labys, Paul
Charles River Associates (CRA) - Utah Office
Posted:
10 Mar 00
84
(182,518)
41

40.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Posted:
17 Jul 00
62
(217,062)
151

41.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Das, Ashish
affiliation not provided to SSRN
Posted:
29 Jun 00
58
(224,513)
1

42.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Posted:
20 Nov 96
55
(230,350)
110

43.  
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Dobrev, Dobrislav
Board of Governors of the Federal Reserve System (FRB)
Posted:
21 Mar 07
52
(236,458)
38

44.  
Analytical Evaluation of Volatility Forecasts | Show Abstract | Download |
International Economic Review Vol. 45, No. 4, pp. 1079-1110, November 2004
Accepted Paper Series
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Meddahi, Nour
University of Montreal - Department of Economics
Posted:
27 Oct 04
33
(282,697)
38

45.  
Bollerslev, Tim
Duke University - Finance
Domowitz, Ian
ITG, Inc.
Wang, Jainxin
affiliation not provided to SSRN
Posted:
03 Nov 00
 

46.  
Bollerslev, Tim
Duke University - Finance
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
10 Sep 99
 


Records 1 - 46 of 46 matches
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