Tim Bollerslev

Tim Bollerslev joined the Duke Faculty in the Fall, 1998, as the first Juanita and Clifton Kreps Professor of Economics. He also holds an appointment as Professor of Finance at the Fuqua School of Business. He received his Ph.D. from UCSD, and has held positions in the Economics Department and Kellogg Graduate School of Management at Northwestern University, and at the University of Virginia. He is an elected fellow of the Econometric Society, and has been affiliated with the National Bureau of Economic Research as a Faculty Research Associate since 1991.

An internationally known time series econometrician, Prof. Bollerslev is especially well recognized for his expertise in financial econometrics and empirical finance. His ideas for measuring and forecasting financial market volatility are used routinely by economists and finance practitioners throughout the world. In the press release accompanying the 2003 Nobel Prize in Economics, his GARCH (generalized autoregressive conditional heteroskedasticity) model is explicitly cited as "the model most often applied today."

Prof. Bollerslev has written numerous articles for prominent academic journals. His current research involving the use of high-frequency financial data for better measuring and modeling volatility is supported by the National Science Foundation. He routinely lectures at other universities and research institutions around the world. He has served on the editorial boards for numerous academic journals and is presently co-editor for the Journal of Applied Econometrics.

Recent Research
"Realized Volatility"
"High-Frequency Financial Data"
"Macroeconomic Announcement Effects"
"Long-Run Volatility Dependencies"

Office Information
Office hrs:
313 Social Sciences
(919) 660-1846
boller at econ dot duke dot edu
(919) 684-8974
Tuesday 3:00-4:30 pm
Selected Publications
"Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, 1986.
"A Capital Asset Pricing Model with Time Varying Covariances," Journal of Political Economy, 1988.
"Common Persistence in Conditional Variances," Econometrica, 1993.
"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, 2003
"Modeling and Forecasting Realized Volatility," Econometrica, 2003

Course Descriptions
Financial Markets and Investments (Econ 157)
Empirical Methods in Finance (Econ 349)
Time Series Econometrics (Econ 350)

Professor Bollerslev's CV

Duke Economics Department, WWW Resource.
Last modified: Sat Oct 18 16:50:01 EDT 2003