Feedback to SSRN

 
  • Selected
  • Entire List

Tim Bollerslev

SSRN Author Rank: 444 by Downloads and 60 by Citations

 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

  SSRN's personal information usage policy
Authors: If anything on this page requires updating or correction, please go to your SSRN User HeadQuarters and make the change.
The RSS feed for this author will notify you of all new papers and revisions as soon as they are added to the SSRN eLibrary.
Popular RSS readers
. Tim Bollerslev's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
31,612
Total
Citations
3,382
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 - PBC School of Finance
Posted:
21 Sep 06
Last Revised:
17 Sep 09
2,922
(2,431)
129

2.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Gibson, Michael S.
Federal Reserve Board
Zhou, Hao
Tsinghua University - PBC School of Finance
Posted:
25 Jan 05
Last Revised:
25 Sep 09
2,524
(3,156)
65

3.   Incl. Electronic Paper
Andersen, Torben G.
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
2,283
(3,730)
13

4.  
Glossary to ARCH (GARCH) | Show Abstract | Download This Paper | Open PDF in Browser |
CREATES Research Paper 2008-49
Number of Pages in PDF File: 46
Bollerslev, Tim
Duke University - Finance
Posted:
04 Sep 08
2,036
(3,932)
12

5.   Incl. Electronic Paper
Andersen, Torben G.
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
2,001
(4,709)
408

6.   Incl. Electronic Paper
Andersen, Torben G.
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
1,704
(6,245)
25

7.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Marrone, James
University of Chicago
Xu, Lai
Duke University - Department of Economics
Zhou, Hao
Tsinghua University - PBC School of Finance
Posted:
04 Mar 11
Last Revised:
08 Aug 12
1,386
(8,826)
11

8.   Incl. Electronic Paper
Andersen, Torben G.
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
1,136
(12,234)
44

9.  
Realized Beta: Persistence and Predictability | Show Abstract | Download This Paper | Open PDF in Browser |
PIER Working Paper No. 04-018
Number of Pages in PDF File: 63
Andersen, Torben G.
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
985
(14,185)
40

10.   Incl. Electronic Paper
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
06 Nov 03
Last Revised:
01 Dec 03
981
(15,300)
125

11.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Todorov, Viktor
Posted:
14 Jun 09
Last Revised:
26 Jan 11
897
(17,516)
36

12.   Incl. Electronic Paper
Andersen, Torben G.
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
806
(20,479)
149

13.   Incl. Electronic Paper
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
31 Jul 02
Last Revised:
18 Aug 02
755
(22,516)
150

14.   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
683
(25,955)
28

15.  
Bollerslev, Tim
Duke University - Finance
Wright, Jonathan H.
Johns Hopkins University - Department of Economics
Posted:
10 Jul 00
671
(26,460)
10

16.  
Andersen, Torben G.
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
667
(25,790)
312

17.   Incl. Electronic Paper
Vega, Clara
Board of Governors of the Federal Reserve System
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
17 May 02
Last Revised:
27 Oct 10
590
(31,700)
219

18.   Incl. Electronic Paper
Andersen, Torben G.
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
580
(32,462)
27

19.  
Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
FEDS Working Paper No. 2001-49, Journal of Econometrics, Vol. 109, pp. 33-65, 2002
Number of Pages in PDF File: 44
Zhou, Hao
Tsinghua University - PBC School of Finance
Bollerslev, Tim
Duke University - Finance
Posted:
13 Dec 01
575
(32,698)
53

20.   Incl. Electronic Paper
Zhou, Hao
Tsinghua University - PBC School of Finance
Bollerslev, Tim
Duke University - Finance
Posted:
18 Sep 03
Last Revised:
17 Jul 07
564
(33,687)
22

21.  
Bollerslev, Tim
Duke University - Finance
Xu, Lai
Duke University - Department of Economics
Zhou, Hao
Tsinghua University - PBC School of Finance
Posted:
18 Nov 12
Last Revised:
20 Nov 12
559
(32,169)
 

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
473
(42,320)
13

23.  
Bollerslev, Tim
Duke University - Finance
Kretschmer, Uta
University of Bonn, Department of Economics
Pigorsch, Christian
Ludwig Maximilian University of Munich - Department of Statistics
Tauchen, George
Duke University - Economics Group
Posted:
24 Aug 05
420
(47,032)
28

24.  
Bollerslev, Tim
Duke University - Finance
Li, Sophia Zhengzi
Michigan State University
Todorov, Viktor
Posted:
06 Dec 14
Last Revised:
24 Apr 16
384
(34,614)
 

25.   Incl. Electronic Paper
Xiong, Wei
Princeton University - Department of Economics
Peng, Lin
Baruch College/CUNY - Zicklin School of Business
Bollerslev, Tim
Duke University - Finance
Posted:
03 Oct 06
Last Revised:
11 Nov 10
348
(61,502)
6

26.   Incl. Electronic Paper
Andersen, Torben G.
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
321
(67,545)
143

27.   Incl. Electronic Paper
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
16 Feb 06
Last Revised:
05 Sep 10
305
(71,518)
228

28.  
A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Econometrics, Vol. 160, Issue 1, pp. 176-189, January 2011, CREATES Research Paper 2007-14
Number of Pages in PDF File: 31
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Huang, Xin
Board of Governors of the Federal Reserve System
Posted:
23 Jun 08
Last Revised:
07 Jan 12
271
(78,488)
12

29.  
Todorov, Viktor
Duke University
Bollerslev, Tim
Duke University - Finance
Posted:
23 Jun 08
265
(76,732)
7

30.   Incl. Electronic Paper
Andersen, Torben G.
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
216
(102,975)
303

31.  
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Frederiksen, Per Skaarup
BlackRock, Inc
Nielsen, Morten Ørregaard
Queen's University - Department of Economics
Sommer, Margit
School of Economics and Management
Posted:
23 Jun 08
Last Revised:
02 Dec 08
211
(103,912)
17

32.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Todorov, Viktor
Posted:
14 Apr 10
Last Revised:
10 Jun 11
210
(105,834)
7

33.  
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 6
Number of Pages in PDF File: 49
Bollerslev, Tim
Duke University - Finance
Kretschmer, Uta
University of Bonn, Department of Economics
Pigorsch, Christian
Ludwig Maximilian University of Munich - Department of Statistics
Tauchen, George
Duke University - Economics Group
Posted:
23 Jun 08
159
(133,843)
26

34.  
Risk, Jumps, and Diversification | Show Abstract | Download This Paper | Open PDF in Browser |
CREATES Research Paper 2007-19
Number of Pages in PDF File: 48
Bollerslev, Tim
Duke University - Finance
Law, Tzuo Hann
affiliation not provided to SSRN
Tauchen, George
Duke University - Economics Group
Posted:
23 Jun 08
154
(138,229)
26

35.  
The Distribution of Stock Return Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
NBER Working Paper No. w7933
Number of Pages in PDF File: 41
Andersen, Torben G.
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
142
(143,731)
303

36.  
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 166
Number of Pages in PDF File: 49
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
137
(140,541)
1

37.  
Financial Market Efficiency Tests | Show Abstract | Download This Paper | Open PDF in Browser |
NBER Working Paper No. w4108
Number of Pages in PDF File: 73
Bollerslev, Tim
Duke University - Finance
Hodrick, Robert J.
Columbia Business School - Finance and Economics
Posted:
23 Apr 04
113
(178,417)
9

38.   Incl. Electronic Paper
Andersen, Torben G.
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
Last Revised:
24 Mar 16
110
(183,132)
41

39.  
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Posted:
14 Jul 00
103
(186,832)
15

40.  
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Posted:
17 Jul 00
65
(251,769)
147

41.  
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Das, Ashish
affiliation not provided to SSRN
Posted:
29 Jun 00
58
(266,801)
1

42.  
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Dobrev, Dobrislav
Board of Governors of the Federal Reserve System
Posted:
21 Mar 07
56
(273,548)
36

43.  
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Posted:
20 Nov 96
55
(273,548)
107

44.  
Analytical Evaluation of Volatility Forecasts | Show Abstract | Add to Cart |
International Economic Review Vol. 45, No. 4, pp. 1079-1110, November 2004
Number of Pages in PDF File: 32
Andersen, Torben G.
Bollerslev, Tim
Duke University - Finance
Meddahi, Nour
University of Montreal - Department of Economics
Posted:
27 Oct 04
33
(337,849)
38

45.  
Bollerslev, Tim
Duke University - Finance
Patton, Andrew J.
Duke University - Department of Economics
Quaedvlieg, Rogier
Maastricht University - Department of Finance
Posted:
06 Apr 16
0
(217,661)
 

46.  
Bollerslev, Tim
Duke University - Finance
Hood, Benjamin
AQR Capital Management, LLC
Huss, John
AQR Capital Management, LLC
Pedersen, Lasse Heje
AQR Capital Management, LLC
Posted:
28 Jan 16
0
(18,799)
 

47.  
Bollerslev, Tim
Duke University - Finance
Li, Sophia Zhengzi
Michigan State University
Zhao, Bingzhi
Duke University
Posted:
17 Feb 15
Last Revised:
26 Apr 16
0
(106,283)
 

48.  
Bollerslev, Tim
Duke University - Finance
Domowitz, Ian
ITG, Inc.
Wang, Jainxin
affiliation not provided to SSRN
Posted:
03 Nov 00
 

49.  
Bollerslev, Tim
Duke University - Finance
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
10 Sep 99
 


Records 1 - 49 of 49 matches
[ 1 ]

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 1.860 seconds