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

  • Duke University - Finance

    • Email
    • Tel: 919-660-1846
    • Fax: 919-684-8974
SCHOLARLY PAPERS

60

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48,995

SSRN CITATIONS
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Top 84

in Total Papers Citations

3,801

CROSSREF CITATIONS

3,062

Scholarly Papers (60)

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1.

Expected Stock Returns and Variance Risk Premia

Downloads 3,859 ( 4,707)
Citation 406

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 3,491 (5,511)
Citation 55

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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 368 (135,275)
Citation 406

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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 3,820 (4,794)
Citation 63

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(G)ARCH, Volatility models

3.

Risk Everywhere: Modeling and Managing Volatility

Downloads 3,549 ( 5,458)
Citation 58

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,546 (5,356)
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
Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3 (1,049,344)
Citation 38
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high-frequency data, Market and volatility risk, realized utility, realized volatility, risk modeling and forecasting, risk targeting, volatility trading

4.

Volatility Forecasting

Downloads 3,101 ( 6,819)
Citation 7

Volatility Forecasting

Number of pages: 114 Posted: 28 Feb 2005
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 2,543 (9,116)

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Volatility Forecasting

NBER Working Paper No. w11188
Number of pages: 113 Posted: 20 May 2005 Last Revised: 29 Jul 2022
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 558 (82,325)
Citation 3

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5.

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

Downloads 2,918 ( 7,498)
Citation 98

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, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 2,537 (9,144)
Citation 5

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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, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 381 (130,056)
Citation 110

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

6.

Modeling and Forecasting Realized Volatility

Downloads 2,546 ( 9,255)
Citation 303

Modeling and Forecasting Realized Volatility

Number of pages: 47 Posted: 02 May 2001
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 2,287 (10,785)
Citation 193

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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: 26 Oct 2022
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 259 (196,185)
Citation 121

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7.

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 Man Numeric
Downloads 2,254 (11,274)
Citation 13

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

8.

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Downloads 1,940 (14,304)
Citation 104

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Number of pages: 41 Posted: 21 Jan 2005
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,692 (17,412)
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 Last Revised: 01 Oct 2022
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 248 (204,921)
Citation 20

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9.

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

Downloads 1,566 (19,903)
Citation 141

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 1,049 (35,356)
Citation 6

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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 517 (90,577)
Citation 142

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

10.

Financial Risk Measurement for Financial Risk Management

Downloads 1,391 (23,859)
Citation 38

Financial Risk Measurement for Financial Risk Management

PIER Working Paper No. 11-037
Number of pages: 130 Posted: 07 Nov 2011
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,270 (26,798)
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 Last Revised: 01 Jun 2023
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 121 (383,309)
Citation 12

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11.

Realized Beta: Persistence and Predictability

Number of pages: 63 Posted: 07 May 2004
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Jin (Ginger) Wu
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 1,363 (24,553)
Citation 33

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

12.

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

Downloads 1,213 (29,179)
Citation 32

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

Number of pages: 41 Posted: 06 Nov 2003
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 829 (49,150)
Citation 35

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

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

Number of pages: 42 Posted: 01 Dec 2003
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 384 (128,885)
Citation 39

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

13.

Tails, Fears and Risk Premia

Downloads 1,068 (34,984)
Citation 259

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 - Kellogg School of Management
Downloads 678 (64,294)
Citation 65

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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 - Kellogg School of Management
Downloads 390 (126,561)
Citation 15

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

14.

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

Downloads 999 (38,466)
Citation 84

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

Number of pages: 51 Posted: 30 Jun 2004
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
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 878 (45,378)
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 Stock, Bond and Foreign Exchange Markets

NBER Working Paper No. w11312
Number of pages: 56 Posted: 09 Jun 2005 Last Revised: 30 Nov 2022
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
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 121 (383,309)
Citation 12

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15.

The Distribution of Realized Exchange Rate Volatility

Number of pages: 32 Posted: 02 May 2001
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 888 (45,333)
Citation 286

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

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 - Kellogg School of Management
Downloads 869 (46,688)
Citation 49

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

17.

Parametric and Nonparametric Volatility Measurement

Downloads 855 (47,798)
Citation 141

Parametric and Nonparametric Volatility Measurement

Number of pages: 69 Posted: 31 Jul 2002
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 755 (55,720)
Citation 2

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Parametric and Nonparametric Volatility Measurement

NBER Working Paper No. t0279
Number of pages: 68 Posted: 18 Aug 2002 Last Revised: 08 Apr 2023
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 100 (440,527)
Citation 33

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18.

Leverage and Volatility Feedback Effects in High-Frequency Data

Downloads 772 (54,873)
Citation 34

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 772 (54,103)
Citation 34

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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.

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

Downloads 750 (57,029)
Citation 405

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

Number of pages: 38 Posted: 17 May 2002
Clara Vega, Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
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 626 (71,171)
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: 26 Jun 2022
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
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 124 (376,158)
Citation 52

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20.

Forecasting and Managing Correlation Risks

Number of pages: 64 Posted: 21 Nov 2022 Last Revised: 01 Sep 2023
Tim Bollerslev, Sophia Zhengzi Li and Yushan Tang
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Nankai Business School, Nankai University
Downloads 718 (60,451)

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Correlation forecasting, high-frequency data, LASSO, risk targeting and control, pairs trading, equity premium prediction

21.

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 712 (61,150)
Citation 6

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Autoregression, spectrum, volatility forecasting,

22.

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 689 (63,797)
Citation 13

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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

23.

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Downloads 663 (67,042)
Citation 42

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Number of pages: 18 Posted: 08 Feb 2005
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Jin (Ginger) Wu
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 588 (77,092)

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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 Last Revised: 05 Jun 2022
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Jin (Ginger) Wu
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 75 (528,438)
Citation 6

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24.

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 661 (67,295)
Citation 28

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

25.

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

Downloads 615 (73,773)
Citation 25

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 615 (72,853)
Citation 25

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

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

Journal of Econometrics, Vol. 131, pp. 123-150, 2006
Posted: 17 Jul 2007
Hao Zhou and Tim Bollerslev
Tsinghua University - PBC School of Finance and Duke University - Finance

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

26.

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Downloads 562 (82,512)
Citation 19

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 230 (220,628)
Citation 11

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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 194 (258,743)
Citation 8

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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 138 (346,386)
Citation 3

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

27.

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 European Central Bank (ECB)
Downloads 547 (85,343)
Citation 2

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

28.

Intraday Market Return Predictability Culled from the Factor Zoo

Downloads 531 (88,775)

Intraday Market Return Predictability Culled from the Factor Zoo

Number of pages: 72 Posted: 14 Mar 2023 Last Revised: 19 Apr 2023
Saketh Aleti, Tim Bollerslev and Mathias Siggaard
Duke University, Department of Economics, Duke University - Finance and Aarhus University
Downloads 519 (90,145)

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High-frequency data, market return predictability, factor zoo, machine learning, market timing, market frictions, slow-moving capital

Intraday Market Return Predictability Culled from the Factor Zoo

Number of pages: 72 Posted: 14 Mar 2023
Saketh Aleti, Tim Bollerslev and Mathias Siggaard
Duke University, Department of Economics, Duke University - Finance and Aarhus University
Downloads 12 (974,361)

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High-frequency data, market return predictability, factor zoo, machine learning, market timing, market frictions, slow-moving capital

29.

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

Downloads 517 (91,547)
Citation 166

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
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 319 (157,991)
Citation 99

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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: 06 Mar 2022
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 198 (254,009)
Citation 66

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30.

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
Tim Bollerslev, Uta Kretschmer, Christian Pigorsch and George Tauchen
Duke University - Finance, University of Bonn, Department of Economics, Ludwig Maximilian University of Munich (LMU) - Department of Statistics and Duke University - Economics Group
Downloads 490 (97,707)
Citation 10

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

31.

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

Downloads 456 (106,491)
Citation 106

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
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega
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 229 (221,610)
Citation 15

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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

FRB International Finance Discussion Paper No. 871
Number of pages: 40 Posted: 05 Dec 2006
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
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 227 (223,516)
Citation 56

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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
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
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

32.

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 European Central Bank (ECB)
Downloads 424 (115,915)
Citation 16

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

33.

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 397 (125,127)

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Investor Attention, information processing, comovements

34.

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 385 (129,558)
Citation 12

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

35.

Granular Betas and Risk Premium Functions

Number of pages: 51 Posted: 29 Oct 2022 Last Revised: 05 May 2023
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and European Central Bank (ECB)
Downloads 371 (135,051)

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Cross section of expected returns, factor models, downside risk

36.

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 360 (139,694)
Citation 41

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

37.

The Distribution of Exchange Rate Volatility

Downloads 314 (161,695)
Citation 131

The Distribution of Exchange Rate Volatility

NYU Working Paper No. FIN-99-059
Number of pages: 30 Posted: 11 Nov 2008
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 184 (271,509)
Citation 12

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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: 09 Jan 2022
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 130 (362,928)

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38.

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
Tim Bollerslev, Jia Li, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University, Duke University - Department of Economics and European Central Bank (ECB)
Downloads 310 (163,815)
Citation 11

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

39.

Estimation of Jump Tails

Downloads 286 (178,408)
Citation 24

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 - Kellogg School of Management
Downloads 183 (272,825)
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 103 (431,351)
Citation 19

Abstract:

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

40.

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
Torben G. Andersen, Tim Bollerslev, Per Skaarup Frederiksen, Morten Ørregaard Nielsen, Margit Sommer and Margit Sommer
Northwestern University - Kellogg School of Management, Duke University - Finance, BlackRock, Inc, Aarhus University - Department of Economics and Business Economics and School of Economics and Management, University of AarhusSchool of Economics and Management
Downloads 267 (191,215)
Citation 21

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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

41.

The Distribution of Stock Return Volatility

NBER Working Paper No. w7933
Number of pages: 41 Posted: 30 Sep 2000 Last Revised: 05 Sep 2022
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Heiko Ebens
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 263 (194,185)
Citation 123

Abstract:

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42.

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
Tim Bollerslev, Uta Kretschmer, Christian Pigorsch and George Tauchen
Duke University - Finance, University of Bonn, Department of Economics, Ludwig Maximilian University of Munich (LMU) - Department of Statistics and Duke University - Economics Group
Downloads 249 (204,974)
Citation 21

Abstract:

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

43.

News and Asset Pricing: A High-Frequency Anatomy of the SDF

Number of pages: 55 Posted: 22 Sep 2022 Last Revised: 31 Jan 2023
Saketh Aleti and Tim Bollerslev
Duke University, Department of Economics and Duke University - Finance
Downloads 248 (205,738)

Abstract:

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SDF, high-frequency factors, jumps, news, risk premiums

44.

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 244 (208,984)
Citation 5

Abstract:

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

45.

Realized Semi(Co)Variation: Signs that All Volatilities are Not Created Equal

Economic Research Initiatives at Duke (ERID) Working Paper No. 306
Number of pages: 42 Posted: 23 Jun 2021 Last Revised: 15 Oct 2021
Tim Bollerslev
Duke University - Finance
Downloads 229 (222,346)
Citation 8

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Downside risk; high-frequency data; realized variation; semi(co)variation; semibeta; partial variation; jumps and co-jumps; volatility forecasting; return predictability; cross-sectional return variation.

46.

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, Boston College and Duke University - Economics Group
Downloads 209 (242,161)
Citation 51

Abstract:

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risk, diversification

47.

Financial Market Efficiency Tests

NBER Working Paper No. w4108
Number of pages: 73 Posted: 23 Apr 2004 Last Revised: 24 Sep 2022
Tim Bollerslev and Robert J. Hodrick
Duke University - Finance and Columbia University - Columbia Business School, Finance
Downloads 208 (243,248)

Abstract:

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48.

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: 18 Dec 2022
Torben G. Andersen and Tim Bollerslev
Northwestern University - Kellogg School of Management and Duke University - Finance
Downloads 197 (255,598)
Citation 11

Abstract:

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49.

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

Downloads 187 (267,939)
Citation 40

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: 19 Jun 2022
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 152 (320,319)
Citation 7

Abstract:

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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
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 35 (753,017)
Citation 2

Abstract:

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

50.

The Jump Leverage Risk Premium

Number of pages: 47 Posted: 13 Jun 2022 Last Revised: 19 Aug 2022
Tim Bollerslev
Duke University - Finance
Downloads 174 (285,393)

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Jumps, options, tail risk, leverage effect, risk premiums, VIX index.

51.

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 European Central Bank (ECB)
Downloads 163 (301,619)
Citation 6

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

52.

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: 26 Oct 2022
Torben G. Andersen and Tim Bollerslev
Northwestern University - Kellogg School of Management and Duke University - Finance
Downloads 121 (381,698)
Citation 1

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53.

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: 21 Sep 2022
Torben G. Andersen and Tim Bollerslev
Northwestern University - Kellogg School of Management and Duke University - Finance
Downloads 108 (414,379)
Citation 22

Abstract:

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54.

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: 19 Sep 2022
Torben G. Andersen, Tim Bollerslev and Ashish Das
Northwestern University - Kellogg School of Management, Duke University - Finance and affiliation not provided to SSRN
Downloads 107 (417,174)

Abstract:

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55.

Optimal Nonparametric Range-Based Volatility Estimation

Number of pages: 26 Posted: 13 Jun 2022
Tim Bollerslev, Jia Li and Qiyuan Li
Duke University - Finance, Singapore Management University and Singapore Management University - School of Economics
Downloads 105 (425,648)

Abstract:

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Spot volatility, nonparametric estimation, range-based estimation, high-frequency data, decision theory.

56.

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: 04 Dec 2022
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 95 (452,584)
Citation 4

Abstract:

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57.

Optimal Inference for Spot Regressions

Number of pages: 40 Posted: 31 May 2023
Tim Bollerslev, Jia Li and Yuexuan Ren
Duke University - Finance, Singapore Management University and Singapore Management University
Downloads 48 (650,186)

Abstract:

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Beta, high-frequency data, optimal estimation, leveraged ETFs, event study.

58.

Equity Clusters through the Lens of Realized Semicorrelations

Number of pages: 13 Posted: 18 Nov 2021
Tim Bollerslev
Duke University - Finance
Downloads 44 (673,590)

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Clustering; Stock returns; High-frequency data; Semicorrelations; COVID-19

59.

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

Abstract:

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60.

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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