Tim Bollerslev

2022

Occupation Density Estimation for Noisy High-Frequency Data

Zhang, C., Li, J. & Bollerslev, T., Mar 2022, In: Journal of Econometrics. 227, 1, p. 189-211 23 p.

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2021

Fixed-k inference for volatility

Bollerslev, T., Li, J. & Liao, Z., Nov 2021, In: Quantitative Economics. 12, 4, p. 1053-1084 32 p.

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Open Access

9 Citations (Scopus)

Generalized Jump Regressions for Local Moments

Bollerslev, T., Li, J. & Chaves, L. S. S., 2021, In: Journal of Business and Economic Statistics. 39, 4, p. 1015-1025 11 p.

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2020

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

Bollerslev, T., Li, S. Z. & Zhao, B., May 2020, In: Journal of Financial and Quantitative Analysis. 55, 3, p. 751-781 31 p.

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79 Citations (Scopus)

178 Downloads (Pure)

Multivariate Leverage Effects and Realized Semicovariance GARCH Models

Bollerslev, T., Patton, A. J. & Quaedvlieg, R., Aug 2020, In: Journal of Econometrics. 217, 2, p. 411-430 20 p.

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22 Citations (Scopus)

Realized Semicovariances

Bollerslev, T., Li, J., Patton, A. J. & Quaedvlieg, R., Jul 2020, In: Econometrica. 88, 4, p. 1515-1551 37 p.

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32 Citations (Scopus)

2019

High-Dimensional Multivariate Realized Volatility Estimation

Bollerslev, T., Meddahi, N. & Nyawa, S., Sept 2019, In: Journal of Econometrics. 212, 1, p. 116-136 21 p.

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26 Citations (Scopus)

2018

Introduction

Andersen, T. G. (Editor) & Bollerslev, T. (Editor), 2018, Volatility. Andersen, T. G. & Bollerslev, T. (eds.). Edward Elgar Publishing, Vol. I-II. p. xiii - xliv

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Risk Everywhere: Modeling and Managing Volatility

Bollerslev, T., Hood, B., Huss, J. & Pedersen, L. H., 1 Jul 2018, In: The Review of Financial Studies. 31, 7, p. 2729-2773 45 p.

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223 Citations (Scopus)

195 Downloads (Pure)

Volatility

Andersen, T. G. (Editor) & Bollerslev, T. (Editor), 2018, Edward Elgar Publishing. 1760 p.

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Volume, Volatility, and Public News Announcements

Bollerslev, T., Li, J. & Xue, Y., 2018, In: The Review of Economic Studies. 85, 4, p. 2005-2041 37 p.

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54 Citations (Scopus)

2016

Daily House Price Indices: Construction, Modeling, and Longer-run Predictions

Bollerslev, T., Patton, A. J. & Wang, W., 1 Sept 2016, In: Journal of Applied Econometrics. 31, 6, p. 1005–1025 21 p.

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Exploiting the errors: A simple approach for improved volatility forecasting

Bollerslev, T., Patton, A. J. & Quaedvlieg, R., 1 May 2016, In: Journal of Econometrics. 192, 1, p. 1-18 18 p.

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279 Citations (Scopus)

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

Bollerslev, T., Patton, A. J. & Quaedvlieg, R., 6 Apr 2016, Aarhus: Institut for Økonomi, Aarhus Universitet, 38 p. (CREATES Research Paper; No. 2016-10).

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Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns

Bollerslev, T., Li, S. Z. & Todorov, V., 1 Jun 2016, In: Journal of Financial Economics. 120, 3, p. 464–490 27 p.

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79 Citations (Scopus)

2015

Stock return and cash flow predictability: The role of volatility risk

Bollerslev, T., Xu, L. & Zhou, H., 2015, In: Journal of Econometrics. 187, 2, p. 458–471 14 p.

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23 Citations (Scopus)

Tail Risk Premia and Return Predictability

Bollerslev, T., Todorov, V. & Xu, L., 2015, In: Journal of Financial Econometrics. 118, 1, p. 113–134 22 p.

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203 Citations (Scopus)

2014

Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns

Bollerslev, T., Li, S. Z. & Todorov, V., 9 Dec 2014, Aarhus: Institut for Økonomi, Aarhus Universitet, 57 p. (CREATES Research Paper; No. 2014-48).

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955 Downloads (Pure)

Stock return predictability and variance risk premia: Statistical inference and international evidence

Bollerslev, T., Marrone, J., Xu, L. & Zhou, H., 1 Jan 2014, In: Journal of Financial and Quantitative Analysis. 49, 3, p. 633-661 29 p.

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171 Citations (Scopus)

Tail Risk Premia and Return Predictability

Bollerslev, T., Todorov, V. & Xu, L., 9 Dec 2014, Aarhus: Institut for Økonomi, Aarhus Universitet, 51 p. (CREATES Research Paper; No. 2014-49).

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979 Downloads (Pure)

Time-varying jump tails

Bollerslev, T. & Todorov, V., 1 Jan 2014, In: Journal of Econometrics. 183, 2, p. 168-180 13 p.

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44 Citations (Scopus)

2013

Financial Risk Measurement for Financial Risk Management

Andersen, T. G., Bollerslev, T., Christoffersen, P. & Diebold, F. X., 2013, Handbook of the Economics of Finance. Constantinides, G. M., Harris, M. & Stulz, R. M. (eds.). Elsevier, Vol. 2, Part B. p. 127–1220

Research output: Contribution to book/anthology/report/proceeding › Book chapter › Research › peer-review

56 Citations (Scopus)

Jump tails, extreme dependencies, and the distribution of stock returns

Bollerslev, T., Todorov, V. & Li, S. Z., 1 Feb 2013, In: Journal of Econometrics. 172, 2, p. 307-324 18 p.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

89 Citations (Scopus)

2012

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

Bollerslev, T., Xu, L. & Zhou, H., 19 Nov 2012, Aarhus: Institut for Økonomi, Aarhus Universitet, 60 p. (CREATES Research Paper; No. 2012-51).

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594 Downloads (Pure)

Volatility in equilibrium: Asymmetries and dynamic dependencies

Bollerslev, T., Sizova, N. & Tauchen, G., 1 Jan 2012, In: Review of Finance (Print). 16, 1, p. 31-80 50 p.

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70 Citations (Scopus)

2011

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

Bollerslev, T., Gibson, M. & Zhou, H., 2011, In: Journal of Econometrics. 160, 1, p. 235-245 11 p.

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246 Citations (Scopus)

Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction

Bollerslev, T., Christensen, B. J., Haldrup, N. & Lunde, A., 2011, In: Journal of Time Series Econometrics. 3, 1, Article 1

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Realized volatility forecasting and market microstructure noise

Andersen, T. G., Bollerslev, T. & Meddahi, N., 2011, In: Journal of Econometrics. 160, 1, p. 220-234

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128 Citations (Scopus)

2010

Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

Andersen, T. G., Bollerslev, T., Frederiksen, P. & Nielsen, M. Ø., Mar 2010, In: Journal of Applied Econometrics. 25, 2, p. 233-261 29 p.

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127 Citations (Scopus)

Estimation of Jump Tails

Bollerslev, T. & Todorov, V., 2010, Aarhus: Institut for Økonomi, Aarhus Universitet, 47 p.

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217 Downloads (Pure)

Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns

Bollerslev, T. & Todorov, V., 2010, Aarhus: Institut for Økonomi, Aarhus Universitet, 34 p.

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479 Downloads (Pure)

2009

Tails, Fears and Risk Premia

Bollerslev, T. & Todorov, V., 2009, Aarhus: Institut for Økonomi, Aarhus Universitet, 44 p.

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Open Access

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642 Downloads (Pure)

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Bollerslev, T., Sizova, N. & Tauchen, G., 2009, Aarhus: Aarhus Universitetsforlag, 49 p.

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Open Access

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329 Downloads (Pure)

2008

Expected Stock Returns and Variance Risk Premia

Bollerslev, T., Tauchen, G. & Zhou, H., 2008, Aarhus: Institut for Økonomi, Aarhus Universitet, 41 p.

Research output: Working paper/Preprint › Working paper › Research

Glossary to ARCH (GARCH)

Bollerslev, T., 2008, Aarhus: Institut for Økonomi, Aarhus Universitet, 44 p.

Research output: Working paper/Preprint › Working paper › Research

2007

585 Citations (Scopus)

Risk, Jumps, and Diversification

Bollerslev, T., Law, T. H. & Tauchen, G., 2007, Aarhus: Institut for Økonomi, Aarhus Universitet, 46 p.

Research output: Working paper/Preprint › Working paper › Research

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

Bollerslev, T., Andersen, T. G. & Diebold, F. X., 2007, Aarhus: Institut for Økonomi, Aarhus Universitet, 49 p.

Research output: Working paper/Preprint › Working paper › Research

1052 Citations (Scopus)

Tim Bollerslev

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