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.
"High-Frequency Financial Data"
"Macroeconomic Announcement Effects"
"Long-Run Volatility Dependencies"