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

49

DOWNLOADS
Rank 447

SSRN RANKINGS

Top 447

in Total Papers Downloads

34,111

CITATIONS
Rank 60

SSRN RANKINGS

Top 60

in Total Papers Citations

3,408

Scholarly Papers (49)

1.
Downloads 3,006 ( 2,709)
Citation 128

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 2,733 (3,141)
Citation 128

Abstract:

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 273 (90,468)
Citation 128

Abstract:

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

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 2,281 (4,266)
Citation 65

Abstract:

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 290 (84,566)
Citation 65

Abstract:

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

3.
Downloads 2,375 ( 4,069)
Citation 13

Volatility Forecasting

PIER Working Paper No. 05-011; CFS Working Paper No. 2005/08
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 2,194 (4,563)
Citation 13

Abstract:

Volatility Forecasting

NBER Working Paper No. w11188
Number of pages: 113 Posted: 20 May 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 181 (136,857)
Citation 13

Abstract:

4.
Downloads 2,090 ( 5,077)
Citation 408

Modeling and Forecasting Realized Volatility

PIER Working Paper No. 01-002
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 1,979 (5,431)
Citation 408

Abstract:

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
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 111 (205,336)
Citation 408

Abstract:

5.

Glossary to ARCH (GARCH)

CREATES Research Paper 2008-49
Number of pages: 46 Posted: 04 Sep 2008
Tim Bollerslev
Duke University - Finance
Downloads 2,036 (3,938)
Citation 13

Abstract:

(G)ARCH, Volatility models

Practical Volatility and Correlation Modeling for Financial Market Risk Management

PIER Working Paper No. 05-007, CFS Working Paper 2005/02
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 1,566 (8,159)
Citation 26

Abstract:

None

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 170 (144,824)
Citation 26

Abstract:

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 974 (17,302)
Citation 11

Abstract:

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 436 (52,331)
Citation 11

Abstract:

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

8.
Downloads 1,197 ( 12,866)
Citation 46

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 1,120 (13,979)
Citation 46

Abstract:

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 77 (262,290)
Citation 46

Abstract:

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

PIER Working Paper No. 03-025
Number of pages: 41 Posted: 06 Nov 2003
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 671 (29,796)
Citation 125

Abstract:

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

CFS Working Paper No. 2003/35
Number of pages: 42 Posted: 01 Dec 2003
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 332 (72,575)
Citation 125

Abstract:

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

10.

Realized Beta: Persistence and Predictability

PIER Working Paper No. 04-018
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 985 (15,561)
Citation 39

Abstract:

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

11.
Downloads 914 ( 19,444)
Citation 39

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 612 (33,752)
Citation 39

Abstract:

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 302 (80,703)
Citation 39

Abstract:

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

PIER Working Paper No. 04-028; Simon School Working Paper No. FR 04-13
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 783 (23,953)
Citation 150

Abstract:

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
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 53 (320,847)
Citation 150

Abstract:

13.
Downloads 768 ( 25,036)
Citation 153

Parametric and Nonparametric Volatility Measurement

PIER Working Paper No. 02-019
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 718 (27,106)
Citation 153

Abstract:

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 50 (329,991)
Citation 153

Abstract:

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 696 (28,302)
Citation 30

Abstract:

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

Abstract:

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

15.

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 671 (29,751)
Citation 10

Abstract:

Autoregression, spectrum, volatility forecasting,

16.

The Distribution of Realized Exchange Rate Volatility

PIER Working Paper No. 01-003
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 667 (27,925)
Citation 314

Abstract:

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

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

PIER Working Paper No. 02-011
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 555 (38,447)
Citation 215

Abstract:

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
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 53 (320,847)
Citation 215

Abstract:

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

PIER Working Paper No. 05-009; CFS Working Paper No. 2005/04
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 552 (38,741)
Citation 26

Abstract:

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 47 (339,333)
Citation 26

Abstract:

19.

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 575 (36,385)
Citation 52

Abstract:

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

20.

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

FEDS Working Paper No. 2003-40
Number of pages: 34 Posted: 18 Sep 2003
Hao Zhou and Tim Bollerslev
Tsinghua University - PBC School of Finance and Duke University - Finance
Downloads 571 (37,553)
Citation 22

Abstract:

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

21.

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 559 (35,155)

Abstract:

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

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, Rice University and Duke University - Economics Group
Downloads 196 (126,856)
Citation 13

Abstract:

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, Rice University and Duke University - Economics Group
Downloads 172 (143,297)
Citation 13

Abstract:

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 Rice University
Downloads 121 (192,421)
Citation 13

Abstract:

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

23.

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 - Department of Statistics and Duke University - Economics Group
Downloads 420 (50,854)
Citation 28

Abstract:

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

24.

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, Michigan State University and Northwestern University
Downloads 384 (31,908)

Abstract:

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

25.
Downloads 356 ( 67,369)
Citation 8

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, Baruch College/CUNY - Zicklin School of Business and Duke University - Finance
Downloads 334 (72,038)
Citation 8

Abstract:

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
Baruch College/CUNY - Zicklin School of Business, Princeton University - Department of Economics and Duke University - Finance
Downloads 22 (444,782)
Citation 8

Abstract:

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 189 (131,333)
Citation 145

Abstract:

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 158 (154,501)
Citation 145

Abstract:

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

Abstract:

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 267 (92,706)
Citation 120

Abstract:

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
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 65 (289,169)
Citation 226

Abstract:

28.

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 271 (86,038)
Citation 12

Abstract:

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

29.

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 265 (82,784)
Citation 7

Abstract:

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

30.
Downloads 225 (111,225)
Citation 305

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 136 (175,358)
Citation 304

Abstract:

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
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 89 (239,566)
Citation 305

Abstract:

31.
Downloads 217 (115,300)
Citation 6

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 140 (171,298)
Citation 6

Abstract:

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 77 (262,290)
Citation 6

Abstract:

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

32.

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 211 (113,717)
Citation 17

Abstract:

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

33.

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 - Department of Statistics and Duke University - Economics Group
Downloads 159 (144,051)
Citation 26

Abstract:

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

34.

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 154 (151,042)
Citation 29

Abstract:

risk, diversification

35.

The Distribution of Stock Return Volatility

NBER Working Paper No. w7933
Number of pages: 41 Posted: 30 Sep 2000
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 142 (150,252)
Citation 303

Abstract:

36.

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 137 (142,545)
Citation 1

Abstract:

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

37.

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 113 (191,663)
Citation 9

Abstract:

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

NBER Working Paper No. w7488
Number of pages: 23 Posted: 10 Mar 2000
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 93 (232,751)
Citation 41

Abstract:

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 20 (456,300)
Citation 41

Abstract:

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

39.

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

NBER Working Paper No. w6023
Number of pages: 37 Posted: 14 Jul 2000
Torben G. Andersen and Tim Bollerslev
Downloads 103 (201,728)
Citation 16

Abstract:

40.

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
Torben G. Andersen and Tim Bollerslev
Downloads 65 (263,955)
Citation 146

Abstract:

41.

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
Torben G. Andersen, Tim Bollerslev and Ashish Das
Northwestern University - Kellogg School of Management, Duke University - Finance and affiliation not provided to SSRN
Downloads 58 (281,137)
Citation 1

Abstract:

42.
Downloads 56 (297,583)
Citation 36

Abstract:

43.
Downloads 55 (290,380)
Citation 110

Abstract:

44.

Analytical Evaluation of Volatility Forecasts

International Economic Review Vol. 45, No. 4, pp. 1079-1110, November 2004
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 (380,781)
Citation 38

Abstract:

45.

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 0 (121,320)

Abstract:

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

46.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 0 (6,274)

Abstract:

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

47.

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

Number of pages: 49 Posted: 17 Feb 2015 Last Revised: 27 Jan 2017
Tim Bollerslev, Sophia Zhengzi Li and Bingzhi Zhao
Duke University - Finance, Michigan State University and Duke University, Department of Economics
Downloads 0 (50,854)

Abstract:

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

48.

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:

49.

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

Abstract: