Tim Bollerslev

Получаване на мой собствен потребителски профил

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	Всички	От 2019
Позовавания	125902	29383
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Публичен достъп

Преглед на всички

18 статии

1 статия

налични

неналични

Въз основа на изисквания при финансирането

Съавтори

Torben G. AndersenProfessor of Finance, Kellogg School, Northwestern UniversityПотвърден имейл адрес: northwestern.edu
Francis DieboldProfessor of Economics, University of PennsylvaniaПотвърден имейл адрес: sas.upenn.edu
Robert EngleNew York UniversityПотвърден имейл адрес: stern.nyu.edu
Hao ZhouTsinghua PBC School of Finance & SUSTech Business SchoolПотвърден имейл адрес: pbcsf.tsinghua.edu.cn
George TauchenProfessor of EconomicsПотвърден имейл адрес: duke.edu
Andrew PattonZelter Family Professor of Economics and Finance, Duke UniversityПотвърден имейл адрес: duke.edu
Rogier QuaedvliegEuropean Central BankПотвърден имейл адрес: ecb.europa.eu
Ray Yeutien ChouResearch Fellow, Institute of Economics, Academia SinicaПотвърден имейл адрес: econ.sinica.edu.tw
Jeffrey M. WooldridgeUniversity Distinguished Professor of Economics, Michigan State UniversityПотвърден имейл адрес: msu.edu
Clara VegaFederal Reserve Board of GovernorsПотвърден имейл адрес: frb.gov
Sophia Zhengzi LiAssistant Professor of Finance, Rutgers UniversityПотвърден имейл адрес: business.rutgers.edu
James MarroneRAND CorporationПотвърден имейл адрес: rand.org
Lasse Heje PedersenCopenhagen Business School, NYU, AQR, and CEPRПотвърден имейл адрес: cbs.dk
Eric GhyselsBernstein Distinguished Professor of Economics and Professor of Finance, UNC Chapel HillПотвърден имейл адрес: unc.edu
Tzuo Hann LawBoston CollegeПотвърден имейл адрес: bc.edu
Frank M. Song（宋敏）武汉大学/香港大学Потвърден имейл адрес: whu.edu.cn
Lin PengBaruch CollegeПотвърден имейл адрес: baruch.cuny.edu
Wei XiongProfessor of Economics, Princeton UniversityПотвърден имейл адрес: princeton.edu
Jeffrey RussellUniversity of Chicago, Booth School of BusinessПотвърден имейл адрес: chicagobooth.edu
Benjamin HoodAQR Capital Management and Adjunct Lecturer of Finance, University of MinnesotaПотвърден имейл адрес: umn.edu

Следене

Tim Bollerslev

Duke University

Потвърден имейл адрес: duke.edu - Начална страница

Financial Econometrics Asset Pricing Time Series Econometrics


Заглавие Сортиране по цитати Сортиране по година Сортиране по заглавие	Позовавания Позовавания	Година
Generalized autoregressive conditional heteroskedasticity T Bollerslev Journal of econometrics 31 (3), 307-327, 1986	35510	1986
ARCH modeling in finance: A review of the theory and empirical evidence T Bollerslev, RY Chou, KF Kroner Journal of econometrics 52 (1-2), 5-59, 1992	7156	1992
Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model T Bollerslev The review of economics and statistics, 498-505, 1990	5425	1990
A capital asset pricing model with time-varying covariances T Bollerslev, RF Engle, JM Wooldridge Journal of political Economy 96 (1), 116-131, 1988	4861	1988
Modeling and forecasting realized volatility TG Andersen, T Bollerslev, FX Diebold, P Labys Econometrica 71 (2), 579-625, 2003	4768	2003
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances T Bollerslev, JM Wooldridge Econometric reviews 11 (2), 143-172, 1992	4589	1992
Answering the skeptics: Yes, standard volatility models do provide accurate forecasts TG Andersen, T Bollerslev International economic review, 885-905, 1998	4499	1998
A conditionally heteroskedastic time series model for speculative prices and rates of return T Bollerslev The review of economics and statistics, 542-547, 1987	4024	1987
Modelling the persistence of conditional variances RF Engle, T Bollerslev Econometric reviews 5 (1), 1-50, 1986	3668	1986
ARCH models T Bollerslev, RF Engle, DB Nelson Handbook of econometrics 4, 2959-3038, 1994	3407*	1994
Fractionally integrated generalized autoregressive conditional heteroskedasticity RT Baillie, T Bollerslev, HO Mikkelsen Journal of econometrics 74 (1), 3-30, 1996	3352	1996
The distribution of realized stock return volatility TG Andersen, T Bollerslev, FX Diebold, H Ebens Journal of financial economics 61 (1), 43-76, 2001	3217	2001
The distribution of realized exchange rate volatility TG Andersen, T Bollerslev, FX Diebold, P Labys Journal of the American statistical association 96 (453), 42-55, 2001	3139	2001
Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility TG Andersen, T Bollerslev, FX Diebold The review of economics and statistics 89 (4), 701-720, 2007	2113	2007
Expected stock returns and variance risk premia T Bollerslev, G Tauchen, H Zhou The Review of Financial Studies 22 (11), 4463-4492, 2009	1896	2009
Micro effects of macro announcements: Real-time price discovery in foreign exchange TG Andersen, T Bollerslev, FX Diebold, C Vega American Economic Review 93 (1), 2003	1784	2003
Intraday periodicity and volatility persistence in financial markets TG Andersen, T Bollerslev Journal of empirical finance 4 (2-3), 115-158, 1997	1770	1997
Modeling and pricing long memory in stock market volatility T Bollerslev, HO Mikkelsen Journal of econometrics 73 (1), 151-184, 1996	1739	1996
Deutsche mark–dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies TG Andersen, T Bollerslev the Journal of Finance 53 (1), 219-265, 1998	1660	1998
Real-time price discovery in global stock, bond and foreign exchange markets TG Andersen, T Bollerslev, FX Diebold, C Vega Journal of international Economics 73 (2), 251-277, 2007	1462	2007

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