Tim Bollerslev

Duke University - Finance

Professor

Durham, NC 27708-0120

United States

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

SCHOLARLY PAPERS

52

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Rank 536

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Top 536

in Total Papers Downloads

40,258

SSRN CITATIONS
Rank 89

SSRN RANKINGS

Top 89

in Total Papers Citations

2,062

CROSSREF CITATIONS

3,111

Scholarly Papers (52)

1.
Downloads 3,458 ( 3,231)
Citation 256

Expected Stock Returns and Variance Risk Premia

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008
Tim Bollerslev, George Tauchen and Hao Zhou
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance
Downloads 3,154 (3,720)
Citation 56

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Equilibrium asset pricing, stochastic volatility, risk neutral expectation, return predictability, option implied volatility, realized volatility, variance risk premium

Expected Stock Returns and Variance Risk Premia

Finance and Economics (FEDS) Discussion Paper No. W 2007-11
Number of pages: 33 Posted: 17 Sep 2009
Tim Bollerslev and Hao Zhou
Duke University - Finance and Tsinghua University - PBC School of Finance
Downloads 304 (108,716)
Citation 236

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Return Predictability, Implied Variance, Realized Variance, Equity Risk Premium, Variance Risk Premium, Time-Varying Risk Aversion

2.

Glossary to ARCH (GARCH)

CREATES Research Paper 2008-49
Number of pages: 46 Posted: 04 Sep 2008
Tim Bollerslev
Duke University - Finance
Downloads 3,048 (4,011)
Citation 40

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(G)ARCH, Volatility models

3.
Downloads 3,009 ( 4,097)
Citation 31

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,006 (4,018)
Citation 13

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Market and volatility risk, high-frequency data, realized volatility, risk modeling and forecasting, volatility trading, risk targeting, realized utility

Risk Everywhere: Modeling and Managing Volatility

CEPR Discussion Paper No. DP12687
Number of pages: 57 Posted: 14 Feb 2018
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3 (717,730)
Citation 11
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high-frequency data, Market and volatility risk, realized utility, realized volatility, risk modeling and forecasting, risk targeting, volatility trading

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 25 Jan 2005 Last Revised: 13 Mar 2009
Tim Bollerslev, Michael S. Gibson and Hao Zhou
Duke University - Finance, Federal Reserve Board and Tsinghua University - PBC School of Finance
Downloads 2,378 (5,981)
Citation 4

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Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

CREATES Research Paper 2007-16
Number of pages: 48 Posted: 23 Jun 2008 Last Revised: 25 Sep 2009
Tim Bollerslev, Michael S. Gibson and Hao Zhou
Duke University - Finance, Federal Reserve Board and Tsinghua University - PBC School of Finance
Downloads 341 (95,648)
Citation 90

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Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability

5.
Downloads 2,629 ( 5,170)
Citation 8

Volatility Forecasting

Number of pages: 114 Posted: 28 Feb 2005
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 2,379 (5,973)
Citation 1

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Volatility Forecasting

NBER Working Paper No. w11188
Number of pages: 113 Posted: 20 May 2005 Last Revised: 29 Jul 2010
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 250 (133,744)
Citation 3

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6.
Downloads 2,270 ( 6,591)
Citation 183

Modeling and Forecasting Realized Volatility

Number of pages: 47 Posted: 02 May 2001
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 2,138 (7,144)
Citation 185

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Continuous-Time Methods, Quadratic Variation, Realized Volatility, Realized Correlation, High-Frequency Data, Exchange Rates, Vector Autoregression, Long Memory, Volatility Forecasting, Correlation Forecasting, Density Forecasting, Risk Management, Value at Risk

Modeling and Forecasting Realized Volatility

NBER Working Paper No. w8160
Number of pages: 47 Posted: 09 Mar 2001 Last Revised: 11 Feb 2002
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 132 (237,568)
Citation 1

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Practical Volatility and Correlation Modeling for Financial Market Risk Management

Number of pages: 41 Posted: 21 Jan 2005
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,613 (11,392)
Citation 2

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Practical Volatility and Correlation Modeling for Financial Market Risk Management

NBER Working Paper No. w11069
Number of pages: 41 Posted: 16 Feb 2005
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 202 (164,444)
Citation 6

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8.

Good Volatility, Bad Volatility and the Cross-Section of Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 77 Posted: 17 Feb 2015 Last Revised: 12 Dec 2018
Tim Bollerslev, Sophia Zhengzi Li and Bingzhi Zhao
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Duke University, Department of Economics
Downloads 1,578 (11,980)
Citation 7

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Cross-sectional return variation; return predictability; high-frequency-data; semi-variance; jump variation

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Number of pages: 55 Posted: 04 Mar 2011 Last Revised: 08 Aug 2012
Tim Bollerslev, James V Marrone, Lai Xu and Hao Zhou
Duke University - Finance, University of Chicago, Independent and Tsinghua University - PBC School of Finance
Downloads 998 (23,728)
Citation 5

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Variance risk premium, return predictability, over-lapping return regressions, international stock market returns, global variance risk

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Number of pages: 55 Posted: 17 Mar 2012 Last Revised: 08 Aug 2012
Tim Bollerslev, James V Marrone, Lai Xu and Hao Zhou
Duke University - Finance, University of Chicago, Duke University and Tsinghua University - PBC School of Finance
Downloads 482 (63,426)
Citation 58

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variance risk premium, return predictability, over-lapping return regressions, international stock market returns, global variance risk

10.
Downloads 1,312 ( 16,036)
Citation 31

Financial Risk Measurement for Financial Risk Management

PIER Working Paper No. 11-037
Number of pages: 130 Posted: 07 Nov 2011
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,220 (17,550)
Citation 1

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Market risk, volatility, GARCH

Financial Risk Measurement for Financial Risk Management

NBER Working Paper No. w18084
Number of pages: 130 Posted: 19 May 2012
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 92 (307,479)
Citation 4

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11.

Realized Beta: Persistence and Predictability

Number of pages: 63 Posted: 07 May 2004
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and University of Georgia - Department of Banking and Finance
Downloads 1,189 (18,613)
Citation 43

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quadratic variation and covariation, realized volatility, asset pricing, CAPM, equity betas, long memory, nonlinear fractional cointegration, continuous-time methods

Downloads 751 (35,464)
Citation 32

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Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, high-frequency data, volatility forecasting, HAR-RV model

Downloads 356 (91,072)
Citation 43

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Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, high-frequency data, volatility forecasting, HAR-RV model

13.
Downloads 978 ( 24,863)
Citation 183

Tails, Fears and Risk Premia

Journal of Finance, Forthcoming, Economic Research Initiatives at Duke (ERID) Working Paper Paper No. 34
Number of pages: 49 Posted: 14 Apr 2010 Last Revised: 26 Jan 2011
Tim Bollerslev and Viktor Todorov
Duke University - Finance and Northwestern University
Downloads 643 (43,768)
Citation 34

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rare events, jumps, high-frequency data, options, fears, extreme value

Tails, Fears and Risk Premia

CREATES Research Paper No. 2009-26
Number of pages: 46 Posted: 14 Jun 2009
Tim Bollerslev and Viktor Todorov
Duke University - Finance and Northwestern University
Downloads 335 (97,565)
Citation 12

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rare events, jumps, high-frequency data, options, fears, extreme value theory, equity risk premium, variance risk premium

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

Number of pages: 51 Posted: 30 Jun 2004
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 830 (30,937)
Citation 12

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

NBER Working Paper No. w11312
Number of pages: 56 Posted: 09 Jun 2005 Last Revised: 17 Jul 2009
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 63 (384,072)
Citation 6

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15.
Downloads 798 ( 33,144)
Citation 134

Parametric and Nonparametric Volatility Measurement

Number of pages: 69 Posted: 31 Jul 2002
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 737 (36,393)
Citation 3

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Parametric and Nonparametric Volatility Measurement

NBER Working Paper No. t0279
Number of pages: 68 Posted: 18 Aug 2002
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 61 (390,421)
Citation 31

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16.

Roughing up Beta: Continuous versus Discontinuous Betas and the Cross Section of Expected Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 65 Posted: 06 Dec 2014 Last Revised: 24 Apr 2016
Tim Bollerslev, Sophia Zhengzi Li and Viktor Todorov
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Northwestern University
Downloads 782 (34,055)
Citation 25

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Market price risks; jump betas; high-frequency data; cross-sectional return variation

17.

The Distribution of Realized Exchange Rate Volatility

Number of pages: 32 Posted: 02 May 2001
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 770 (34,773)
Citation 79

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Realized Volatility, Integrated Volatility, Quadratic Variation, Long-Memory, High-Frequency Data, Risk Management, Forecasting

Leverage and Volatility Feedback Effects in High-Frequency Data

Number of pages: 34 Posted: 18 Aug 2005
Tim Bollerslev, Julia Litvinova and George Tauchen
Duke University - Finance, Brattle Group and Duke University - Economics Group
Downloads 726 (37,144)
Citation 26

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Volatility asymmetry, leverage effect, volatility feedback effect

Leverage and Volatility Feedback Effects in High-Frequency Data

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 353-384, 2006
Posted: 29 Feb 2008
Tim Bollerslev, Julia Litvinova and George Tauchen
Duke University - Finance, Brattle Group and Duke University - Economics Group

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high-frequency data, leverage effect, stochastic volatility models, temporal aggregation, volatility asymmetry, volatility feedback effect

19.

High Frequency Data, Frequency Domain Inference and Volatility Forecasting

IFDS Working Paper No. 649
Number of pages: 27 Posted: 10 Jul 2000
Tim Bollerslev and Jonathan H. Wright
Duke University - Finance and Johns Hopkins University - Department of Economics
Downloads 691 (40,303)
Citation 2

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Autoregression, spectrum, volatility forecasting,

20.

Stock Return and Cash Flow Predictability: The Role of Volatility Risk

Number of pages: 60 Posted: 18 Nov 2012 Last Revised: 20 Nov 2012
Tim Bollerslev, Lai Xu and Hao Zhou
Duke University - Finance, Independent and Tsinghua University - PBC School of Finance
Downloads 646 (44,095)
Citation 11

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Return and dividend growth predictability, variance risk premium, expected variation, long-run risk, equilibrium pricing, stochastic volatility and uncertainty, reduced form VAR, structural factor GARCH

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Number of pages: 38 Posted: 17 May 2002
Board of Governors of the Federal Reserve System, Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 586 (49,504)
Citation 2

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Exchange Rates, Macroeconomic News Announcements, Jumps, Market Microstructure, High-Frequency Data, Expectations Data, Anticipations Data, Order Flow, Asset Return Volatility, Forecasting

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

NBER Working Paper No. w8959
Number of pages: 38 Posted: 24 May 2002 Last Revised: 27 Oct 2010
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 60 (393,725)
Citation 47

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A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Number of pages: 18 Posted: 08 Feb 2005
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and University of Georgia - Department of Banking and Finance
Downloads 568 (51,502)

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Realized volatility, realized beta, conditional CAPM, business cycle

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

NBER Working Paper No. w11134
Number of pages: 18 Posted: 15 Mar 2005
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and University of Georgia - Department of Banking and Finance
Downloads 54 (414,823)
Citation 4

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23.

Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility

FEDS Working Paper No. 2001-49, Journal of Econometrics, Vol. 109, pp. 33-65, 2002
Number of pages: 44 Posted: 13 Dec 2001
Hao Zhou and Tim Bollerslev
Tsinghua University - PBC School of Finance and Duke University - Finance
Downloads 611 (47,445)
Citation 25

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Stochastic volatility diffusions, integrated volatility, quadratic variation, realized volatility, high-frequency data, foreign exchange rates, GMM Estimation

24.

Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regression

Number of pages: 34 Posted: 18 Sep 2003
Hao Zhou and Tim Bollerslev
Tsinghua University - PBC School of Finance and Duke University - Finance
Downloads 584 (50,377)
Citation 24

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Leverage Asymmetry, Volatility Feedback,Implied Volatility Forecast, Realized Volatility, Stochastic Volatility Model, Instrument Variable

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Economic Research Initiatives at Duke (ERID) Working Paper No. 35
Number of pages: 52 Posted: 14 Apr 2010 Last Revised: 06 May 2010
Tim Bollerslev, Natalia Sizova and George Tauchen
Duke University - Finance, Bing Ads Marketplace, Microsoft and Duke University - Economics Group
Downloads 206 (161,457)
Citation 9

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Equilibrium asset pricing, stochastic volatility, leverage effect, volatility feedback, option implied volatility, realized volatility, variance risk premium

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Number of pages: 51 Posted: 22 Feb 2009
Tim Bollerslev, Natalia Sizova and George Tauchen
Duke University - Finance, Bing Ads Marketplace, Microsoft and Duke University - Economics Group
Downloads 177 (185,613)
Citation 11

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Equilibrium asset pricing, stochastic volatility, leverage effect, volatility feed-back, option implied volatility, realized volatility, variance risk premium

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Economic Research Initiatives at Duke (ERID) Working Paper No. 73
Number of pages: 47 Posted: 07 Oct 2010
Tim Bollerslev, George Tauchen and Natalia Sizova
Duke University - Finance, Duke University - Economics Group and Bing Ads Marketplace, Microsoft
Downloads 126 (246,185)
Citation 2

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Equilibrium asset pricing, stochastic volatility, leverage effect, volatility feedback, option implied volatility, realized volatility, variance risk premium

26.

A Discrete-Time Model for Daily S&P 500 Returns and Realized Variations: Jumps and Leverage Effects

Number of pages: 43 Posted: 24 Aug 2005
Duke University - Finance, University of Bonn, Department of Economics, Ludwig Maximilian University of Munich (LMU) - Department of Statistics and Duke University - Economics Group
Downloads 460 (67,869)
Citation 9

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Stochastic volatility, Realized volatility, Bipower variation, Jumps, Leverage effect, Return distributions, Simultaneous equation model

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

FRB International Finance Discussion Paper No. 871
Number of pages: 40 Posted: 05 Dec 2006
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 203 (163,751)
Citation 38

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

CREATES Research Paper No. 2007-20
Number of pages: 38 Posted: 23 Jun 2008
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 194 (170,881)
Citation 14

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Journal of International Economics, Vol. 73, No. 2, 2007, FRB International Finance Discussion Paper No. 871
Posted: 03 Jun 2008
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

CREATES Research Paper No. 2007-18
Number of pages: 50 Posted: 23 Jun 2008
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 292 (113,519)
Citation 87

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Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, highfrequency data, volatility forecasting, macroeconomic news, HAR-RV model, HAR-RV-CJ model

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

NBER Working Paper No. w11775
Number of pages: 49 Posted: 16 Feb 2006 Last Revised: 05 Sep 2010
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 103 (285,291)
Citation 13

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29.
Downloads 389 ( 82,807)
Citation 12

Investor Attention and Time-Varying Comovements

Number of pages: 39 Posted: 03 Oct 2006
Wei Xiong, Lin Peng and Tim Bollerslev
Princeton University - Department of Economics, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Duke University - Finance
Downloads 367 (87,949)

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Investor Attention, information processing, comovements

Investor Attention and Time-Varying Comovements

European Financial Management, Vol. 13, No. 3, pp. 394-422, June 2007
Number of pages: 29 Posted: 24 May 2007
Lin Peng, Wei Xiong and Tim Bollerslev
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Princeton University - Department of Economics and Duke University - Finance
Downloads 22 (573,080)
Citation 2
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30.

Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions

Number of pages: 38 Posted: 06 Apr 2016
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 380 (85,367)
Citation 9

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Common risks, realized covariances, forecasting, asset allocation, portfolio construction

31.

Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks

CREATES Research Paper No. 2007-15
Number of pages: 37 Posted: 23 Jun 2008
Viktor Todorov and Tim Bollerslev
Independent and Duke University - Finance
Downloads 328 (100,598)
Citation 23

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Factor models, systematic risk, common jumps, high-frequency data, realized variation

32.

A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures

Journal of Econometrics, Vol. 160, Issue 1, pp. 176-189, January 2011, CREATES Research Paper 2007-14
Number of pages: 31 Posted: 23 Jun 2008 Last Revised: 07 Jan 2012
Torben G. Andersen, Tim Bollerslev and Xin Huang
Northwestern University - Kellogg School of Management, Duke University - Finance and Board of Governors of the Federal Reserve System
Downloads 320 (103,412)
Citation 6

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Stochastic Volatility, Realized Variation, Bipower Variation, Jumps, Hazard Rates, Overnight Volatility

33.
Downloads 257 (130,576)
Citation 127

The Distribution of Exchange Rate Volatility

NYU Working Paper No. FIN-99-059
Number of pages: 30 Posted: 11 Nov 2008
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 156 (207,143)
Citation 7

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Financial Market Volatility, High-Frequency Data, Realized Volatility, Quadratic Variation, Exchange Rates, Long-Memory

The Distribution of Exchange Rate Volatility

NBER Working Paper No. w6961
Number of pages: 49 Posted: 23 Jun 1999 Last Revised: 12 Oct 2010
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 101 (289,124)

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34.
Downloads 237 (141,608)
Citation 15

Estimation of Jump Tails

Economic Research Initiatives at Duke (ERID) Working Paper No. 38
Number of pages: 48 Posted: 14 Apr 2010 Last Revised: 10 Jun 2011
Tim Bollerslev and Viktor Todorov
Duke University - Finance and Northwestern University
Downloads 154 (209,469)
Citation 6

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Extreme events, jumps, high-frequency data, jump tails, non-parametric estimation, stochastic volatility

Estimation of Jump Tails

CREATES Research Paper No. 2010-16
Number of pages: 49 Posted: 02 May 2010
Tim Bollerslev and Viktor Todorov
Duke University - Finance and Independent
Downloads 83 (328,241)
Citation 9

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Extreme events, jumps, high-frequency data, jump tails, non-parametric estimation, stochastic volatility

35.

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

CREATES Research Paper No. 2007-21
Number of pages: 74 Posted: 23 Jun 2008 Last Revised: 02 Dec 2008
Northwestern University - Kellogg School of Management, Duke University - Finance, BlackRock, Inc, Queen's University - Department of Economics and School of Economics and Management, University of Aarhus
Downloads 234 (143,348)
Citation 14

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Return distributions, continuous-time models, mixture-of-distributions hypothesis, financial-time sampling, high-frequency data, volatility signature plots, realized volatilities, jumps, leverage and volatility feedback effects

36.

The Distribution of Stock Return Volatility

NBER Working Paper No. w7933
Number of pages: 41 Posted: 30 Sep 2000 Last Revised: 19 Oct 2010
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 210 (158,845)
Citation 42

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37.

Realized Semicovariances

Economic Research Initiatives at Duke (ERID) Working Paper No. 252
Number of pages: 50 Posted: 08 Sep 2017 Last Revised: 31 Jan 2020
Duke University - Finance, Duke University, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 205 (163,235)
Citation 3

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High-frequency data; realized variances; semicovariances; co-jumps; volatility forecasting

38.

A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects

Economic Research Initiatives at Duke (ERID) Working Paper No. 6
Number of pages: 49 Posted: 23 Jun 2008
Duke University - Finance, University of Bonn, Department of Economics, Ludwig Maximilian University of Munich (LMU) - Department of Statistics and Duke University - Economics Group
Downloads 202 (164,671)
Citation 20

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Realized volatility, Bipower variation, Jumps, Leverage effect, Simultaneous equation model

39.

Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions

Economic Research Initiatives at Duke (ERID) Working Paper No. 166
Number of pages: 49 Posted: 15 Jun 2013 Last Revised: 16 Nov 2013
Tim Bollerslev, Andrew J. Patton and Wang Wenjing
Duke University - Finance, Duke University - Department of Economics and Duke University
Downloads 195 (170,268)
Citation 3

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real estate, price indices, repeat sales index, high frequency data

40.

Risk, Jumps, and Diversification

CREATES Research Paper 2007-19
Number of pages: 48 Posted: 23 Jun 2008
Tim Bollerslev, Tzuo Hann Law and George Tauchen
Duke University - Finance, affiliation not provided to SSRN and Duke University - Economics Group
Downloads 180 (182,901)
Citation 45

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risk, diversification

41.

Realized Semibetas: Signs of Things to Come

Economic Research Initiatives at Duke (ERID) Working Paper Forthcoming
Number of pages: 70 Posted: 16 Mar 2020
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 156 (206,832)

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Cross-sectional return variation; downside risk; semicovariances; semibetas

42.

Financial Market Efficiency Tests

NBER Working Paper No. w4108
Number of pages: 73 Posted: 23 Apr 2004
Tim Bollerslev and Robert J. Hodrick
Duke University - Finance and Columbia Business School - Finance and Economics
Downloads 146 (218,470)

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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

NBER Working Paper No. w7488
Number of pages: 23 Posted: 10 Mar 2000 Last Revised: 10 Apr 2001
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 103 (285,291)
Citation 2

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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

Multinational Finance Journal, Vol. 4, No. 3/4, p. 159-179, 2000
Number of pages: 21 Posted: 08 Jul 2015
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 24 (559,386)
Citation 1

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high-frequency data; integrated volatility; realized volatility; risk management

44.

Answering the Critics: Yes, Arch Models Do Provide Good Volatility Forecasts

NBER Working Paper No. w6023
Number of pages: 37 Posted: 14 Jul 2000 Last Revised: 21 Apr 2008
Torben G. Andersen and Tim Bollerslev
Downloads 119 (256,111)

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45.

Multivariate Leverage Effects and Realized Semicovariance GARCH Models

Number of pages: 49 Posted: 17 Apr 2018
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 106 (277,895)
Citation 4

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High-Frequency Data, Realized Volatility, Realized Correlation, Semivariance, Asymmetric Dependence

46.

Dm-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

NBER Working Paper No. w5783
Number of pages: 69 Posted: 17 Jul 2000 Last Revised: 25 Mar 2008
Torben G. Andersen and Tim Bollerslev
Downloads 93 (303,033)
Citation 11

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47.

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns

NBER Working Paper No. w5752
Number of pages: 44 Posted: 20 Nov 1996 Last Revised: 04 Oct 2010
Torben G. Andersen and Tim Bollerslev
Downloads 76 (342,535)
Citation 9

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48.

Testing for Market Microstructure Effects in Intraday Volatility: a Reassessment of the Tokyo FX Experiment

NBER Working Paper No. w6666
Number of pages: 28 Posted: 29 Jun 2000 Last Revised: 10 Oct 2010
Torben G. Andersen, Tim Bollerslev and Ashish Das
Northwestern University - Kellogg School of Management, Duke University - Finance and affiliation not provided to SSRN
Downloads 74 (347,802)

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49.

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

NBER Working Paper No. w12963
Number of pages: 65 Posted: 21 Mar 2007 Last Revised: 12 Jul 2007
Torben G. Andersen, Tim Bollerslev and Dobrislav Dobrev
Northwestern University - Kellogg School of Management, Duke University - Finance and Board of Governors of the Federal Reserve System
Downloads 69 (361,455)

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50.

Analytical Evaluation of Volatility Forecasts

Number of pages: 32 Posted: 27 Oct 2004
Torben G. Andersen, Tim Bollerslev and Nour Meddahi
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Montreal - Department of Economics
Downloads 33 (493,476)
Citation 2
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51.

Order Flow and the Bid-Ask Spread: An Empirical Probability Model of Screen-Based Trading

Posted: 03 Nov 2000
Tim Bollerslev, Ian Domowitz and Jainxin Wang
Duke University - Finance, ITG, Inc. and affiliation not provided to SSRN

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52.

Periodic Autoregressive Conditional Heteroskedasticity

Posted: 10 Sep 1999
Tim Bollerslev and Eric Ghysels
Duke University - Finance and University of North Carolina Kenan-Flagler Business School

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