Tim Bollerslev Profile Continued
Recent Research
Selected Publications
"Parametric and Nonparametric Volatility Measurement" (with T.G. Andersen and F.X. Diebold), Handbook of Financial Econometrics, forthcoming, 2004
"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange" (with T.G. Andersen, F.X. Diebold and C. Vega), American Economic Review, 2003
"Modeling and Forecasting Realized Volatility" (with T.G. Andersen, F.X. Diebold and P. Labys), Econometrica, 2003
"Estimating Stochastic Volatility Diffusions Using Conditional Moments of Integrated Volatility" (with H. Zhou), Journal of Econometrics, 2002
"Volatility Forecasting, High-Frequency Data, and Frequency Domain Inference" (with J.H. Wright), Review of Economics and Statistics, 2001
"The Distribution of Realized Stock Return Volatility" (with T.G. Andersen, F.X. Diebold and H. Ebens), Journal of Financial Economics, 2001
"The Distribution of Realized Exchange Rate Volatility" (with T.G. Andersen, F.X. Diebold and P. Labys), Journal of the American Statistical Association, 2001
"Variance-Ratio Statistics and High-Frequency Data: Testing for Changes in Intraday Volatility Patterns" (with T.G. Andersen and A. Das), Journal of Finance, 2001
"The Forward Premium Anomaly is Not as Bad as You Think" (with R.T. Baillie), Journal of International Money and Finance, 2000
"Semiparametric Estimation of Long-Memory Volatility Dependencies: The Role of High-Frequency Data" (with J.H. Wright), Journal of Econometrics, 2000
"Heterogeneous Information Arrivals and Return Volatility Dynamics," Journal of Finance, 1997.
"Long-Term Equity AnticiPation Securities and Stock Market Volatility Dynamics" (w/ H. O. Mikkelsen), Journal of Econometrics, 1999.
"Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts" (w/ T. G. Andersen), International Economic Review, 1998.
"DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer-Run Dependencies" (w/ T. G. Andersen), Journal of Finance, 1998.
"Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns" (w/ T. G. Andersen), Journal of Finance, 1997.
"Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity" (w/ R. T. Baillie and H. O. Mikkelsen), Journal of Econometrics, 1996.
"Modeling and Pricing Long-Memory in Stock Market Volatility" (w/ H. O. Mikkelsen), Journal of Econometrics, 1996.
"Financial Market Efficiency Tests" (w/ R. J. Hodrick), Handbook of Applied Econometrics, 1995.
"Cointegration, Fractional Cointegration, and Exchange Rate Dynamics" (w/ R. T. Baillie), Journal of Finance, 1994.
"ARCH Models" (w/ R. F. Engle and D. B. Nelson), Handbook of Econometrics, 1994.
"Common Persistence in Conditional Variances" (w/ R. F. Engle), Econometrica, 1993.
"Trading Patterns and Prices in the Interbank Foreign Exchange Market" (w/ I. Domowitz), Journal of Finance, 1993.
"Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances" (w/ J. M. Wooldridge), Econometric Reviews, 1992.
"Prediction in Dynamic Models with Time Dependent Conditional Variances," (w/ R. T. Baillie), Journal of Econometrics, 1992.
"ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence" (w. R. Y. Chou and K. F. Kroner), Journal of Econometrics, 1992.
"Intra Day and Inter Market Volatility in Foreign Exchange Rates" (w/ R. T. Baillie), Review of Economic Studies, 1991.
"Modelling the Coherence in Short Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," Review of Economics and Statistics, 1990.
"Common Stochastic Trends in a System of Exchange Rates" (w/ R. T. Baillie), Journal of Finance, 1989.
"A Capital Asset Pricing Model with Time Varying Covariances" (w/ R. F. Engle and J. M. Wooldridge), Journal of Political Economy, 1988.
"A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," Review of Economics and Statistics, 1987.
"Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, 1986.