Department of Economics and Business Economics

Tim Bollerslev

  1. 2022
  2. Published

    Occupation Density Estimation for Noisy High-Frequency Data. / Zhang, Congshan; Li, Jia; Bollerslev, Tim.

    In: Journal of Econometrics, Vol. 227, No. 1, 03.2022, p. 189-211.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. 2021
  4. Published

    Fixed-k inference for volatility. / Bollerslev, Tim; Li, Jia; Liao, Zhipeng.

    In: Quantitative Economics, Vol. 12, No. 4, 11.2021, p. 1053-1084.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  5. Published

    Generalized Jump Regressions for Local Moments. / Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker.

    In: Journal of Business and Economic Statistics, Vol. 39, No. 4, 2021, p. 1015-1025.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  6. 2020
  7. Published

    Realized Semicovariances. / Bollerslev, Tim; Li, Jia; Patton, Andrew J. et al.

    In: Econometrica, Vol. 88, No. 4, 07.2020, p. 1515-1551.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  8. Published

    Good Volatility, Bad Volatility, and the Cross Section of Stock Returns. / Bollerslev, Tim; Li, Sophia Zhengzi; Zhao, Bingzhi.

    In: Journal of Financial and Quantitative Analysis, Vol. 55, No. 3, 05.2020, p. 751-781.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  9. Published

    Multivariate Leverage Effects and Realized Semicovariance GARCH Models. / Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier.

    In: Journal of Econometrics, Vol. 217, No. 2, 2020, p. 411-430.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  10. 2019
  11. Published

    High-Dimensional Multivariate Realized Volatility Estimation. / Bollerslev, Tim; Meddahi, Nour; Nyawa, Serge.

    In: Journal of Econometrics, Vol. 212, No. 1, 2019, p. 116-136.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  12. 2018
  13. Published

    Introduction. / Andersen, Torben Gustav (Editor); Bollerslev, Tim (Editor).

    Volatility. ed. / Torben G. Andersen; Tim Bollerslev. Vol. I-II Edward Elgar Publishing, 2018. p. xiii - xliv.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  14. Published

    Risk Everywhere: Modeling and Managing Volatility. / Bollerslev, Tim; Hood, Benjamin; Huss, John et al.

    In: The Review of Financial Studies, Vol. 31, No. 7, 2018, p. 2729-2773.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  15. Published

    Volatility. / Andersen, Torben Gustav (Editor); Bollerslev, Tim (Editor).

    Edward Elgar Publishing, 2018. 1760 p.

    Research output: Book/anthology/dissertation/reportBookResearchpeer-review

  16. Published

    Volume, Volatility, and Public News Announcements. / Bollerslev, Tim; Li, Jia; Xue, Yuan.

    In: The Review of Economic Studies, Vol. 85, No. 4, 2018, p. 2005-2041.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  17. 2016
  18. Published

    Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. / Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.

    Research output: Working paper/Preprint Working paperResearch

  19. Published

    Daily House Price Indices : Construction, Modeling, and Longer-run Predictions. / Bollerslev, Tim; Patton, Andrew J.; Wang, Wenjing.

    In: Journal of Applied Econometrics, Vol. 31, No. 6, 2016, p. 1005–1025.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  20. Published

    Exploiting the errors : A simple approach for improved volatility forecasting. / Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier.

    In: Journal of Econometrics, Vol. 192, No. 1, 2016, p. 1-18.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  21. Published

    Roughing up beta : Continuous versus discontinuous betas and the cross section of expected stock returns. / Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor.

    In: Journal of Financial Economics, Vol. 120, No. 3, 2016, p. 464–490.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  22. 2015
  23. Published

    Stock return and cash flow predictability : The role of volatility risk. / Bollerslev, Tim; Xu, Lai; Zhou, Hao.

    In: Journal of Econometrics, Vol. 187, No. 2, 2015, p. 458–471.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  24. Published

    Tail Risk Premia and Return Predictability. / Bollerslev, Tim; Todorov, Viktor; Xu, Lai.

    In: Journal of Financial Econometrics, Vol. 118, No. 1, 2015, p. 113–134.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  25. 2014
  26. Published

    Roughing up Beta : Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns. / Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper/Preprint Working paperResearch

  27. Published

    Tail Risk Premia and Return Predictability. / Bollerslev, Tim; Todorov, Viktor; Xu, Lai.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper/Preprint Working paperResearch

  28. Published

    Stock return predictability and variance risk premia : Statistical inference and international evidence. / Bollerslev, Tim; Marrone, James; Xu, Lai et al.

    In: Journal of Financial and Quantitative Analysis, Vol. 49, No. 3, 01.01.2014, p. 633-661.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  29. Published

    Time-varying jump tails. / Bollerslev, Tim; Todorov, Viktor.

    In: Journal of Econometrics, Vol. 183, No. 2, 01.01.2014, p. 168-180.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  30. 2013
  31. Published

    Jump tails, extreme dependencies, and the distribution of stock returns. / Bollerslev, Tim; Todorov, V.; Li, S.Z.

    In: Journal of Econometrics, Vol. 172, No. 2, 01.02.2013, p. 307-324.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  32. Published

    Financial Risk Measurement for Financial Risk Management. / Andersen, Torben Gustav; Bollerslev, Tim; Christoffersen, Peter et al.

    Handbook of the Economics of Finance. ed. / George M. Constantinides; Milton Harris; Rene M. Stulz. Vol. 2, Part B Elsevier, 2013. p. 127–1220.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  33. 2012
  34. Published

    Stock Return and Cash Flow Predictability: The Role of Volatility Risk. / Bollerslev, Tim; Xu, Lai; Zhou, Hao.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paper/Preprint Working paperResearch

  35. Published

    Volatility in equilibrium : Asymmetries and dynamic dependencies. / Bollerslev, Tim; Sizova, Natalia; Tauchen, George.

    In: Review of Finance (Print), Vol. 16, No. 1, 01.01.2012, p. 31-80.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  36. 2011
  37. Published

    Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. / Bollerslev, T.; Gibson, Michael; Zhou, Hao.

    In: Journal of Econometrics, Vol. 160, No. 1, 2011, p. 235-245.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  38. Published

    Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction. / Bollerslev, Tim; Christensen, Bent Jesper; Haldrup, Niels et al.

    In: Journal of Time Series Econometrics, Vol. 3, No. 1, Article 1, 2011.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  39. Published

    Realized volatility forecasting and market microstructure noise. / Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour.

    In: Journal of Econometrics, Vol. 160, No. 1, 2011, p. 220-234.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  40. 2010
  41. Published

    Estimation of Jump Tails. / Bollerslev, Tim; Todorov, Victor.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paper/Preprint Working paperResearch

  42. Published

    Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns. / Bollerslev, Tim; Todorov, Viktor.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paper/Preprint Working paperResearch

  43. 2009
  44. Published

    Tails, Fears and Risk Premia. / Bollerslev, Tim; Todorov, Victor.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.

    Research output: Working paper/Preprint Working paperResearch

  45. Published

    Volatility in Equilibrium : Asymmetries and Dynamic Dependencies. / Bollerslev, Tim; Sizova, Natalia; Tauchen, George.

    Aarhus : Aarhus Universitetsforlag, 2009.

    Research output: Working paper/Preprint Working paperResearch

  46. 2008
  47. Published

    Expected Stock Returns and Variance Risk Premia. / Bollerslev, Tim; Tauchen, George; Zhou, Hao.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paper/Preprint Working paperResearch

  48. Published

    Glossary to ARCH (GARCH). / Bollerslev, Tim.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paper/Preprint Working paperResearch

  49. 2007
  50. Published

    A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects. / Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian et al.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paper/Preprint Working paperResearch

  51. Published

    A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures. / Andersen, Torben G.; Bollerslev, Tim; Huang, Xin.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paper/Preprint Working paperResearch

  52. Published

    Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. / Andersen, Torben G.; Bollerslev, Tim; Frederiksen, Per Houmann et al.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paper/Preprint Working paperResearch

  53. Published

    Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities. / Bollerslev, Tim; Gibson, Michael; Zhou, Hao.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paper/Preprint Working paperResearch

  54. Published

    Expected Stock Returns and Variance Risk Premia. / Bollerslev, Tim; Zhou, Hao.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paper/Preprint Working paperResearch

  55. Published

    Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks. / Todorov, Viktor; Bollerslev, Tim.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paper/Preprint Working paperResearch

  56. Published

    Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. / Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. et al.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paper/Preprint Working paperResearch

  57. Published

    Risk, Jumps, and Diversification. / Bollerslev, Tim; Law, Tzuo Hann; Tauchen, George.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paper/Preprint Working paperResearch

  58. Published

    Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. / Bollerslev, Tim; Andersen, Torben G.; Diebold, Francis X.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paper/Preprint Working paperResearch