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User profiles for author:"Tim Bollerslev"

Tim Bollerslev

Duke University
Verified email at duke.edu
Cited by 46197

Generalized autoregressive conditional heteroskedasticity

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T Bollerslev - Journal of econometrics, 1986 - Elsevier
Abstract A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic)
process introduced in Engle (1982) to allow for past conditional variances in the current
conditional variance equation is proposed. Stationarity conditions and autocorrelation ...
Cited by 11616 - Related articles - Library Search - All 40 versions

ARCH modeling in finance: A review of the theory and empirical evidence

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T Bollerslev, RY Chou… - Journal of econometrics, 1992 - Elsevier
Abstract Although volatility clustering has a long history as a salient empirical regularity
characterizing high-frequency speculative prices, it was not until recently that applied
researchers in finance have recognized the importance of explicitly modeling time-varying ...
Cited by 3799 - Related articles - All 29 versions

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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T Bollerslev… - Econometric reviews, 1992 - Taylor & Francis
We study the properties of the quasi-maximum likelihood estimator (QMLE) and related test
statistics in dynamic models that jointly parameterize conditional means and conditional
covariances, when a normal log-likelihood os maximized but the assumption of normality ...
Cited by 2424 - Related articles - Library Search - All 17 versions

A capital asset pricing model with time-varying covariances

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T Bollerslev, RF Engle… - The Journal of Political Economy, 1988 - JSTOR
The capital asset pricing model provides a theoretical structure for the pricing of assets with
uncertain returns. The premium to induce risk-averse investors to bear risk is proportional to
the nondiversifiable risk, which is measured by the covariance of the asset return with the ...
Cited by 1908 - Related articles - Get it from MIT Libraries - Library Search - All 11 versions

Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model

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T Bollerslev - The Review of Economics and Statistics, 1990 - JSTOR
A multivariate time series model with time varying conditional variances and covariances,
but constant conditional correlations is proposed. In a multivariate regression framework, the
model is readily interpreted as an extension of the Seemingly Unrelated Regression (SUR ...
Cited by 1887 - Related articles - Get it from MIT Libraries - All 11 versions

A conditionally heteroskedastic time series model for speculative prices and rates of return

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T Bollerslev - The review of economics and statistics, 1987 - JSTOR
The distribution of speculative price changes and rates of return data tend to be uncorrelated
over time but characterized by volatile and tranquil periods. A simple time series model
designed to capture this dependence is presented. The model is an extension of the ...
Cited by 1687 - Related articles - Get it from MIT Libraries - Library Search - All 20 versions

Modeling and forecasting realized volatility

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TG Andersen, T Bollerslev, FX Diebold… - Econometrica, 2003 - Wiley Online Library
We provide a framework for integration of high–frequency intraday data into the
measurement, modeling, and forecasting of daily and lower frequency return volatilities and
return distributions. Building on the theory of continuous–time arbitrage–free price ...
Cited by 1504 - Related articles - Library Search - BL Direct - All 67 versions

Modelling the persistence of conditional variances

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RF Engle… - Econometric reviews, 1986 - Taylor & Francis
This paper will discuss the current research in building models of conditional variances
using the Autoregressive Conditional Heteroskedastic (ARCH) and Generalized ARCH
(GARCH) formulations. The discussion will be motivated by a simple asset pricing theory ...
Cited by 1450 - Related articles - All 7 versions

Answering the skeptics: Yes, standard volatility models do provide accurate forecasts

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TG Andersen… - International Economic Review, 1998 - JSTOR
A voluminous literature has emerged for modeling the temporal dependencies in financial
market volatility using ARCH and stochastic volatility models. While most of these studies
have documented highly significant in-sample parameter estimates and pronounced ...
Cited by 1370 - Related articles - Get it from MIT Libraries - BL Direct - All 14 versions

The distribution of exchange rate volatility

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T Andersen, T Bollerslev, FX Diebold… - 1999 - nber.org
Using high-frequency data on Deutschemark and Yen returns against the dollar, we
construct model-free estimates of daily exchange rate volatility and correlation, covering an
entire decade. In addition to being model-free, our estimates are also approximately free ...
Cited by 1298 - Related articles - Library Search - BL Direct - All 54 versions

Fractionally integrated generalized autoregressive conditional heteroskedasticity

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RT Baillie, T Bollerslev… - Journal of econometrics, 1996 - Elsevier
The new class of Fractionally Integrated Generalized AutoRegressive Conditionally
Heteroskedastic (FIGARCH) processes is introduced. The conditional variance of the
process implies a slow hyperbolic rate of decay for the influence of lagged squared ...
Cited by 1253 - Related articles - Library Search - All 11 versions

The distribution of realized stock return volatility

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TG Andersen, T Bollerslev, FX Diebold… - Journal of Financial …, 2001 - Elsevier
We examine “realized” daily equity return volatilities and correlations obtained from high-
frequency intraday transaction prices on individual stocks in the Dow Jones Industrial
Average. We find that the unconditional distributions of realized variances and ...
Cited by 1155 - Related articles - Library Search - BL Direct - All 39 versions

The message in daily exchange rates

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RT Baillie… - Journal of Business and Economic …, 2002 - Taylor & Francis
Formal testing procedures confirm the presence of a unit root in the autoregressive
ploynomial of the univariate time series representation of daily exchange-rate data. the first
differences of the logarithms of daily spot rates are approximately uncorrelated through ...
Cited by 809 - Related articles - BL Direct - All 16 versions

Intraday periodicity and volatility persistence in financial markets

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TG Andersen… - Journal of empirical finance, 1997 - Elsevier
The pervasive intraday periodicity in the return volatility in foreign exchange and equity
markets is shown to have a strong impact on the dynamic properties of high frequency
returns. Only by taking account of this strong intraday periodicity is it possible to uncover ...
Cited by 782 - Related articles - All 10 versions

Deutsche mark–dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies

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TG Andersen… - the Journal of Finance, 1998 - Wiley Online Library
This paper provides a detailed characterization of the volatility in the deutsche mark–dollar
foreign exchange market using an annual sample of five-minute returns. The approach
captures the intraday activity patterns, the macroeconomic announcements, and the ...
Cited by 720 - Related articles - BL Direct - All 13 versions

Modeling and pricing long memory in stock market volatility

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T Bollerslev… - Journal of Econometrics, 1996 - Elsevier
A new class of fractionally integrated GARCH and EGARCH models for characterizing
financial market volatility is discussed. Monte Carlo simulations illustrate the reliability of
quasi maximum likelihood estimation methods, standard model selection criteria, and ...
Cited by 692 - Related articles - Library Search - All 11 versions

Micro effects of macro announcements: Real-time price discovery in foreign exchange

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TG Andersen, T Bollerslev, FX Diebold… - 2002 - nber.org
Using a new dataset consisting of six years of real-time exchange rate quotations,
macroeconomic expectations, and macroeconomic realizations (announcements), we
characterize the conditional means of US dollar spot exchange rates versus German Mark ...
Cited by 615 - Related articles - Library Search - BL Direct - All 61 versions

Heterogeneous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns

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TG Andersen… - 1996 - nber.org
Recent empirical evidence suggests that the long-run dependence in financial market
volatility is best characterized by a slowly mean-reverting fractionally integrated process. At
the same time, much shorter-lived volatility dependencies are typically observed with high ...
Cited by 516 - Related articles - Library Search - BL Direct - All 17 versions

Common stochastic trends in a system of exchange rates

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RT Baillie… - Journal of Finance, 1989 - JSTOR
Univariate tests reveal strong evidence for the presence of a unit root in the univariate time-
series representation for seven daily spot and forward exchange rate series. Furthermore, all
seven spot and forward rates appear to be cointegrated; that is, the forward premiums are ...
Cited by 505 - Related articles - Get it from MIT Libraries - All 7 versions

Intra-day and inter-market volatility in foreign exchange rates

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RT Baillie… - The Review of Economic …, 1991 - restud.oxfordjournals.org
Abstract Four foreign exchange spot rate series, recorded on an hourly basis for a six-month
period in 1986 are examined. A seasonal GARCH model is developed to describe the time-
dependent volatility apparent in the percentage nominal return of each currency. Hourly ...
Cited by 387 - Related articles - All 8 versions

Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility

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TG Andersen, T Bollerslev… - The Review of Economics and …, 2007 - MIT Press
Abstract A growing literature documents important gains in asset return volatility forecasting
via use of realized variation measures constructed from high-frequency returns. We progress
by using newly developed bipower variation measures and corresponding nonparametric ...
Cited by 393 - Related articles - Library Search - BL Direct - All 23 versions

Real-time price discovery in stock, bond and foreign exchange markets

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TG Andersen, T Bollerslev, FX Diebold… - 2005 - nber.org
We characterize the response of US, German and British stock, bond and foreign exchange
markets to real-time US macroeconomic news. Our analysis is based on a unique data set of
high-frequency futures returns for each of the markets. We find that news surprises ...
Cited by 383 - Related articles - Library Search - BL Direct - All 50 versions

Parametric and nonparametric volatility measurement

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TG Andersen, T Bollerslev… - 2002 - nber.org
Volatility has been one of the most active areas of research in empirical finance and time
series econometrics during the past decade. This chapter provides a unified continuous-
time, frictionless, no-arbitrage framework for systematically categorizing the various ...
Cited by 367 - Related articles - Library Search - BL Direct - All 46 versions

Trading patterns and prices in the interbank foreign exchange market

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T Bollerslev… - Journal of Finance, 1993 - JSTOR
The behavior of quote arrivals and bid-ask spreads is examined for continuously recorded
deutsche mark-dollar exchange rate data over time, across locations, and by market
participants. A pattern in the intraday spread and intensity of market activity over time is ...
Cited by 293 - Related articles - Get it from MIT Libraries - BL Direct - All 9 versions

Volatility and correlation forecasting

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TG Andersen, T Bollerslev, PF Christoffersen… - Handbook of economic …, 2006 - Elsevier
Abstract Volatility has been one of the most active and successful areas of research in time
series econometrics and economic forecasting in recent decades. This chapter provides a
selective survey of the most important theoretical developments and empirical insights to ...
Cited by 275 - Related articles - Library Search - All 53 versions

Cointegration, fractional cointegration, and exchange rate dynamics

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RT Baillie… - Journal of Finance, 1994 - JSTOR
Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev
(1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a
group of exchange rates are cointegrated. Further analysis of the deviations from the ...
Cited by 264 - Related articles - Get it from MIT Libraries - Library Search - BL Direct - All 12 versions

Common persistence in conditional variances

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T Bollerslev… - Econometrica: Journal of the Econometric Society, 1993 - JSTOR
Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in
Engle (1982), numerous applications of this modeling strategy have already appeared. A
common finding in many of these studies with high frequency financial or monetary data ...
Cited by 257 - Related articles - Get it from MIT Libraries - BL Direct - All 10 versions

A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

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RT Baillie… - Journal of International Money and Finance, 1990 - Elsevier
Abstract Assuming that daily spot exchange rates follow a martingale process, we derive the
implied time series process for the vector of 30-day forward rate forecast errors from using
weekly data. The conditional second moment matrix of this vector is modelled as a ...
Cited by 243 - Related articles - All 9 versions

The forward premium anomaly is not as bad as you think

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RT Baillie… - Journal of International Money and Finance, 2000 - Elsevier
The forward premium anomaly refers to the widespread empirical finding that the slope
coefficient in the regression of the change in the logarithm of the spot exchange rate on the
forward premium is invariably less than unity, and often negative. This “anomaly” implies ...
Cited by 237 - Related articles - BL Direct - All 14 versions

Periodic autoregressive conditional heteroscedasticity

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T Bollerslev… - Journal of Business & Economic Statistics, 1996 - JSTOR
Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a
new class of models featuring periodicity in conditional heteroscedasticity explicitly
designed to capture the repetitive seasonal time variation in the second-order moments. ...
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Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon

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TG Andersen, T Bollerslev… - Journal of Empirical Finance, 1999 - Elsevier
This paper explores the return volatility predictability inherent in high-frequency speculative
returns. Our analysis focuses on a refinement of the more traditional volatility measures, the
integrated volatility, which links the notion of volatility more directly to the return variance ...
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Estimating stochastic volatility diffusion using conditional moments of integrated volatility

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T Bollerslev… - Journal of Econometrics, 2002 - Elsevier
We exploit the distributional information contained in high-frequency intraday data in
constructing a simple conditional moment estimator for stochastic volatility diffusions. The
estimator is based on the analytical solutions of the first two conditional moments for the ...
Cited by 204 - Related articles - Library Search - BL Direct - All 21 versions

Exchange rate returns standardized by realized volatility are (nearly) Gaussian

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TG Andersen, T Bollerslev, FX Diebold… - 2000 - nber.org
It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian
distribution tails are typically reduced but not eliminated when returns are standardized by
volatilities estimated from popular models such as GARCH. We consider two major dollar ...
Cited by 204 - Related articles - Library Search - BL Direct - All 38 versions

Prediction in dynamic models with time-dependent conditional variances

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RT Baillie… - Journal of Econometrics, 1992 - Elsevier
Abstract This paper considers forecasting the conditional mean and variance from a single-
equation dynamic model with autocorrelated disturbances following an ARMA process, and
innovations with time-dependent conditional heteroskedasticity as represented by a linear ...
Cited by 199 - Related articles - All 12 versions

[CITATION] Great realisations

T Andersen, T Bollerslev… - RISK-LONDON- …, 2000 - RISK MAGAZINE LIMITED
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Bid—ask spreads and volatility in the foreign exchange market: An empirical analysis

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T Bollerslev… - Journal of International Economics, 1994 - Elsevier
Abstract Consistent with the implications from a simple asymmetric information model for the
bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the
foreign exchange market is positively related to the underlying exchange rate uncertainty. ...
Cited by 200 - Related articles - All 9 versions

The long memory of the forward premium

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RT Baillie… - Journal of International Money and Finance, 1994 - Elsevier
Abstract The estimation of ARFIMA models by approximate maximum likelihood estimation
methods, reveals the forward premia for the currencies of Canada, Germany and the UK vis-
à-vis the US dollar, to be well described by a fractionally integrated process. These ...
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Correcting the Errors: Volatility Forecast Evaluation Using High‐Frequency Data and Realized Volatilities

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TG Andersen, T Bollerslev… - Econometrica, 2005 - Wiley Online Library
We develop general model-free adjustment procedures for the calculation of unbiased
volatility loss functions based on practically feasible realized volatility benchmarks. The
procedures, which exploit recent nonparametric asymptotic distributional results, are both ...
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Expected stock returns and variance risk premia

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T Bollerslev, G Tauchen… - Review of Financial …, 2009 - Soc Financial Studies
Abstract Motivated by the implications from a stylized self-contained general equilibrium
model incorporating the effects of time-varying economic uncertainty, we show that the
difference between implied and realized variation, or the variance risk premium, is able to ...
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ANALYTICAL EVALUATION OF VOLATILITY FORECASTS*

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TG Andersen, T Bollerslev… - International Economic …, 2004 - Wiley Online Library
Estimation and forecasting for realistic continuous-time stochastic volatility models is
hampered by the lack of closed-form expressions for the likelihood. In response, Andersen,
Bollerslev, Diebold, and Labys (Econometrica, 71 (2003), 579–625) advocate forecasting ...
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

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T Bollerslev, M Gibson… - Journal of Econometrics, 2011 - Elsevier
This paper proposes a method for constructing a volatility risk premium, or investor risk
aversion, index. The method is intuitive and simple to implement, relying on the sample
moments of the recently popularized model-free realized and option-implied volatility ...
Cited by 157 - Related articles - Library Search - All 34 versions

Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market

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T Bollerslev, J Cai… - Journal of empirical finance, 2000 - Elsevier
In this paper, we provide a detailed characterization of the return volatility in US Treasury
bond futures contracts using a sample of 5-min returns from 1994 to 1997. We find that
public information in the form of regularly scheduled macroeconomic announcements is ...
Cited by 154 - Related articles - All 17 versions

Parametric and nonparametric volatility measurement

TG Andersen, T Bollerslev, FX Diebold - in LP Hansen and Y. Ait- …, 2004 - Citeseer
Abstract the problems and opportunities facing the financial services industry in its search for
competitive excellence. The Center's research focuses on the issues related to managing
risk at the firm level as well as ways to improve productivity and performance. The Center ...
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Equity trading volume and volatility: latent information arrivals and common long-run dependencies

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T Bollerslev… - Journal of Business & Economic Statistics, 1999 - JSTOR
This article examines the behavior of equity trading volume and volatility for the individual
firms composing the Standard & Poor's 100 composite index. Using multivariate spectral
methods, we find that fractionally integrated processes best describe the long-run ...
Cited by 125 - Related articles - Get it from MIT Libraries - BL Direct - All 12 versions

Long-term equity anticipation securities and stock market volatility dynamics

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T Bollerslev… - Journal of Econometrics, 1999 - Elsevier
Recent empirical findings suggest that the long-run dependence in US stock market volatility
is best described by a slowly mean-reverting fractionally integrated process. The present
study complements this existing time-series-based evidence by comparing the risk- ...
Cited by 127 - Related articles - Library Search - All 18 versions

Volatility puzzles: a simple framework for gauging return-volatility regressions

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T Bollerslev… - Journal of Econometrics, 2006 - Elsevier
This paper provides a simple theoretical framework for assessing the empirical linkages
between returns and realized and implied volatilities. First, we show that whereas the
volatility feedback effect as measured by the sign of the correlation between ...
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Leverage and volatility feedback effects in high-frequency data

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T Bollerslev, J Litvinova… - Journal of Financial …, 2006 - Oxford Univ Press
Abstract We examine the relationship between volatility and past and future returns using
high-frequency aggregate equity index data. Consistent with a prolonged “leverage” effect,
we find the correlations between absolute high-frequency returns and current and past ...
Cited by 104 - Related articles - BL Direct - All 13 versions

[PDF] Practical volatility and correlation modeling for financial market risk management

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TG Andersen, T Bollerslev, P Christoffersen… - 2007 - nber.org
It is now widely agreed that financial asset return volatilities and correlations (henceforth
“volatilities”) are time varying, with persistent dynamics. This is true across assets, asset
classes, time periods, and countries. Moreover, asset return volatilities are central to ...
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Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data

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T Bollerslev… - Journal of Econometrics, 2000 - Elsevier
Recent empirical studies have argued that the temporal dependencies in financial market
volatility are best characterized by long memory, or fractionally integrated, time series
models. Meanwhile, little is known about the properties of the semiparametric inference ...
Cited by 99 - Related articles - All 20 versions

No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise: Theory and testable distributional …

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TG Andersen, T Bollerslev… - Journal of Econometrics, 2007 - Elsevier
We develop a sequential procedure to test the adequacy of jump-diffusion models for return
distributions. We rely on intraday data and nonparametric volatility measures, along with a
new jump detection technique and appropriate conditional moment tests, for assessing ...
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Answering the critics: Yes, ARCH models do provide good volatility forecasts

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TG Andersen… - 1997 - nber.org
Volatility permeates modern financial theories and decision making processes. As such,
accurate measures and good forecasts of future volatility are critical for the implementation
and evaluation of asset pricing theories. In response to this, a voluminous literature has ...
Cited by 93 - Related articles - Library Search - BL Direct - All 10 versions

A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects

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T Bollerslev, U Kretschmer, C Pigorsch… - Journal of …, 2009 - Elsevier
We develop an empirically highly accurate discrete-time daily stochastic volatility model that
explicitly distinguishes between the jump and continuous-time components of price
movements using nonparametric realized variation and Bipower variation measures ...
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Realized beta: Persistence and predictability

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TG Andersen, T Bollerslev, FX Diebold… - 2005 - emeraldinsight.com
Abstract: A large literature over several decades reveals both extensive concern with the
question of time-varying betas and an emerging consensus that betas are in fact time-
varying, leading to the prominence of the conditional CAPM. Set against that background, ...
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Intraday and interday volatility in the Japanese stock market

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TG Andersen, T Bollerslev… - Journal of International Financial …, 2000 - Elsevier
This paper characterizes the volatility in the Japanese stock market based on a 4-year
sample of 5-min Nikkei 225 returns from 1994 through 1997. The intradaily volatility exhibits
a doubly U-shaped pattern associated with the opening and closing of the separate ...
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[CITATION] Modelling the persistence of conditional variances

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T Bollerslev… - Econometric Reviews, 1986
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Financial market efficiency tests

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T Bollerslev… - 1992 - nber.org
This paper provides a selective survey of the voluminous literature on tests for market
efficiency. The ideas discussed include standard autocorrelation tests, multi-period
regression tests and volatility tests. The formulation and estimation of models for time- ...
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Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH‐NIG model

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L Forsberg… - Journal of Applied Econometrics, 2002 - Wiley Online Library
Forsberg, L. and Bollerslev, T.(2002), Bridging the gap between the distribution of realized
(ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. Journal of
Applied Econometrics, 17: 535–548. doi: 10.1002/jae. 685
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Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns

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TG Andersen, T Bollerslev… - The Journal of Finance, 2001 - Wiley Online Library
Variance-ratio tests are routinely employed to assess the variation in return volatility over
time and across markets. However, such tests are not statistically robust and can be
seriously misleading within a high-frequency context. We develop improved inference ...
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Measuring and modeling systematic risk in factor pricing models using high-frequency data

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T Bollerslev… - Journal of Empirical Finance, 2003 - Elsevier
This paper demonstrates how high-frequency data may be used in more effectively
measuring and modeling the systematic risk (s) in factor pricing models. Based on a 7-year
sample of continuously recorded US equity transactions, we find that simple and easy-to- ...
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Financial econometrics: Past developments and future challenges

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T Bollerslev - Journal of econometrics, 2001 - Elsevier
The field of financial econometrics has had a glamorous run during the life span of the
Journal of Econometrics. This note provides a selective summary of the most important
developments in the field over the past two decades, notably ARCH and GMM, along with ...
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Risk, jumps, and diversification

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T Bollerslev, TH Law… - Journal of Econometrics, 2008 - Elsevier
We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns
and an equiweighted index constructed from the same stocks. Using a new test for common
jumps that explicitly utilizes the cross-covariance structure in the returns to identify non- ...
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Glossary to arch (garch)

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T Bollerslev - CREATES Research Paper, 2008 - papers.ssrn.com
Abstract: The literature on modeling and forecasting time-varying volatility is ripe with
acronyms and abbreviations used to describe the many different parametric models that
have been put forth since the original linear ARCH model introduced in the seminal Nobel ...
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Realized volatility forecasting and market microstructure noise

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TG Andersen, T Bollerslev… - Journal of Econometrics, 2011 - Elsevier
We extend the analytical results for reduced form realized volatility based forecasting in ABM
(2004) to allow for market microstructure frictions in the observed high-frequency returns.
Our results build on the eigenfunction representation of the general stochastic volatility ...
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[CITATION] Handbook of econometrics

T Bollerslev, RF Engle, D Nelson, RF Engle… - Handbook of econometrics, 1994
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A framework for exploring the macroeconomic determinants of systematic risk

[PDF] from mecon.gov.ar
TG Andersen, T Bollerslev, FX Diebold… - 2005 - nber.org
We selectively survey, unify and extend the literature on realized volatility of financial asset
returns. Rather than focusing exclusively on characterizing the properties of realized
volatility, we progress by examining economically interesting functions of realized volatility ...
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Tails, fears, and risk premia

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T Bollerslev… - The Journal of Finance, 2011 - Wiley Online Library
We show that the compensation for rare events accounts for a large fraction of the average
equity and variance risk premia. Exploiting the special structure of the jump tails and the
pricing thereof, we identify and estimate a new Investor Fears index. The index reveals ...
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High-frequency data, frequency domain inference, and volatility forecasting

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T Bollerslev… - Review of Economics and Statistics, 2001 - MIT Press
Although it is clear that the volatility of asset returns is serially correlated, there is no general
agreement as to the most appropriate parametric model for characterizing this temporal
dependence. In this paper, we propose a simple way of modeling financial market ...
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Reply

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RF Engle… - Econometric Reviews, 1986 - Taylor & Francis
82 ENGLE AND BOLLERSLEV would depend only on past residuals, not on the full
information set. The form of such dependence hinges on the process of this unobservable
cause. Possibly if it has a unit root, the variance process would also be integrated. Hendry ...
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[CITATION] Price volatility, spread variability, and the role of alternative market mechanisms

T Bollerslev… - Review of Futures Markets, 1991
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Continuous‐time models, realized volatilities, and testable distributional implications for daily stock returns

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TG Andersen, T Bollerslev… - Journal of Applied …, 2010 - Wiley Online Library
Andersen, TG, Bollerslev, T., Frederiksen, P. and Ørregaard Nielsen, M.(2010), Continuous-
time models, realized volatilities, and testable distributional implications for daily stock
returns. Journal of Applied Econometrics, 25: 233–261. doi: 10.1002/jae. 1105
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Order flow and the bid-ask spread: An empirical probability model of screen-based trading

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T Bollerslev, I Domowitz… - Journal of Economic Dynamics and …, 1997 - Elsevier
A probabilistic framework for the analysis of screen-based trading activity is presented.
Probability functions are derived for the stationary distributions of the best bid and offer,
conditional on the order flows. By identifying the unobservable order and acceptance ...
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[CITATION] ARCH models, RF Engle, D

T Bollerslev - McFadden, Editors Handbook of Econometrics, 1994
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Volatility in equilibrium: Asymmetries and dynamic dependencies

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T Bollerslev, N Sizova… - Review of Finance, 2012 - rpproxy.iii.com
Abstract Stock market volatility clusters in time, appears fractionally integrated, carries a risk
premium, and exhibits asymmetric leverage effects. At the same time, the volatility risk
premium, defined by the difference between the risk-neutral and objective expectations of ...
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[BOOK] Expected stock returns and variance risk premia

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T Bollerslev, H Zhou… - 2007 - nber.org
Abstract We find that the difference between implied and realized variation, or the variance
risk premium, is able to explain more than fifteen percent of the ex-post time series variation
in quarterly excess returns on the market portfolio over the 1990 to 2005 sample period, ...
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Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange

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RT Baillie, T Bollerslev… - Journal of International Money and …, 1993 - Elsevier
Abstract This paper examines some of the characteristics of the foreign exchange market in
the 1920s floating period. Nominal returns appear to exhibit properties consistent with asset
prices on modern more well-organized financial markets; ie they appear to be well ...
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[PDF] A semiparametric framework for modelling and forecasting jumps and volatility in speculative prices

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TG Andersen, T Bollerslev… - Manuscript, Duke …, 2006 - legacy.samsi.info
Page 1. Introduction Jump Intensity and Jump Size Overnight Return Variance A
Semiparametric Framework for Modelling and Forecasting Jumps and Volatility in
Speculative Prices Torben G. Andersen1 Tim Bollerslev2 Xin Huang2 ...
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[CITATION] Some effects of restricting the electronic order book in an automated trade execution system

T Bollerslev… - The Double Auction Market: Institutions, Theories, and …, 1992
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Jumps and betas: A new framework for disentangling and estimating systematic risks

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V Todorov… - Journal of Econometrics, 2010 - Elsevier
We provide a new theoretical framework for disentangling and estimating the sensitivity
towards systematic diffusive and jump risks in the context of factor models. Our estimates of
the sensitivities towards systematic risks, or betas, are based on the notion of increasingly ...
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Investor Attention and Time‐varying Comovements

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L Peng, W Xiong… - European Financial …, 2007 - Wiley Online Library
This paper analyses the effect of an increase in market-wide uncertainty on information flow and
asset price comovements. We use the daily realised volatility of the 30-year treasury bond futures
to assess macroeconomic shocks that affect market-wide uncertainty. We use the ratio of ...
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(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation

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TG Andersen, T Bollerslev, FX Diebold… - New York University, …, 1999 - ideas.repec.org
We review and synthesize our recent work on realized volatility in financial markets. This
includes (1) constructing and interpreting realized volatilities for a variety of asset returns ("
understanding"),(2) determining underlying sampling frequencies high enough to produce ...
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[CITATION] ARCH modeling in finance

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T Bollerslev, RY Chou… - Journal of Econometrics, 1992
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DM-dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies

TG Andersen… - 1996 - nber.org
This paper characterizes the volatility in the DM-dollar foreign exchange market using an
annual sample of five-minute returns. Our modeling approach explicitly captures the
pronounced intraday activity patterns, the strong macroeconomic announcement effects, ...
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Estimation of jump tails

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T Bollerslev… - Econometrica, 2011 - Wiley Online Library
We propose a new and flexible nonparametric framework for estimating the jump tails of Itô
semimartingale processes. The approach is based on a relatively simple-to-implement set of
estimating equations associated with the compensator for the jump measure, or its ...
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A NOTE ON THE RELATION BETWEEN CONSUMER'S EXPENDITURE AND INCOME IN THE UNITED KINGDOM*

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T Bollerslev… - Oxford Bulletin of Economics and …, 1985 - Wiley Online Library
Bollerslev, T. and Hylleberg, S.(1985), A NOTE ON THE RELATION BETWEEN
CONSUMER'S EXPENDITURE AND INCOME IN THE UNITED KINGDOM. Oxford Bulletin of
Economics and Statistics, 47: 153–170. doi: 10.1111/j. 1468-0084.1985. mp47002004. x
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[PDF] On the interdependence of international asset markets

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RT Baillie… - Global Portfolio Diversification, 1995 - econ.duke.edu
Conventional wisdom, as affirmed by accounts in the media, is that global financial markets
are becoming more integrated. The development of similar financial instruments in different
major markets and the apparent increasing interdependence of the world macroeconomy ...
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Evaluating interval forecasts

PF Christoffersen, A Bera, J Berkowitz… - International Economic …, 1997 - Citeseer
Abstract This paper is intended to address the deficiency by clearly defining what is meant
by a" good" interval forecast, and describing how to test if a given interval forecast deserves
the label" good". One of the motivations of Engle's (1982) classic paper was to form ...
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Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment

TG Anderson, T Bollerslev… - 1998 - nber.org
This paper develops mew robust inference procedures for analyzing the intraday return
volatility patterns that constitute a focal point of much market microstructure theory. Our
empirical analysis is motivated by the recent lifting of trading restrictions in the interbank ...
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[CITATION] Integrated ARCH and cointegration in variance

T Bollerslev - Unpublished manuscript (Northwestern University, …, 1988
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures

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TG Andersen, T Bollerslev… - Journal of Econometrics, 2011 - Elsevier
Building on realized variance and bipower variation measures constructed from high-
frequency financial prices, we propose a simple reduced form framework for effectively
incorporating intraday data into the modeling of daily return volatility. We decompose the ...
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[CITATION] Ch apter 49 arch models

T Bollerslev, RF Engle, DB Nelson, F Engle… - Handbook of econometrics, 1994
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[PDF] Comment

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TG Andersen, T Bollerslev, PH Frederiksen… - Journal of Business and …, 2006 - ASA
The article by Hansen and Lunde (henceforth HL) provides an excellent introduction to,
overview of, and synthesis of the recent literature on estimating financial return variability
from high-frequency data in the presence of market microstructure noise in the observed ...
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures

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T Andersen, T Bollerslev… - 2008 - papers.ssrn.com
Abstract: Building on realized variance and bi-power variation measures constructed from
high-frequency financial prices, we propose a simple reduced form framework for effectively
incorporating intraday data into the modeling of daily return volatility. We decompose the ...
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[CITATION] Parametric and Nonparametric Volatility Measurement. LP Hansen and Y. Ait-Sahalia (eds.), Handbook of Financial Econometrics

T Andersen, T Bollerslev… - 2002 - Amsterdam: North-Holland, …
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[CITATION] Risk, jumps

T Bollerslev, TH Law… - 2007 - and diversification. Working paper, …
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[CITATION] Intraday Periodicity and Volatility Persistence in

TG Andersen… - 1997
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Leverage and volatility feedback effects in high-frequency data

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T Bollerslev, J Litvinova… - 2005 - papers.ssrn.com
Abstract: We examine the relationship between volatility and past and future returns in high-
frequency equity market data. Consistent with a prolonged leverage effect, we find the
correlations between absolute high-frequency returns and current and past high- ...
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[CITATION] Deutsche Mark-Dollar Volatility: Intraday

TG Andersen… - 1998
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[CITATION] Dan Nelson Remembered

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T Bollerslev… - 1995 - dukespace.lib.duke.edu
After a long battle with cancer, Dan Nelson passed away on May 4, 1995, at the age of 36.
With his untimely death, time series econometrics and asset pricing finance have lost a great
scholar, and many of us have lost a great friend and colleague. Dan will be sorely missed. ...
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Intra-day and inter-market volatility in foreign exchange rates

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R Baillie… - Review of Economic Studies, 1989 - en.scientificcommons.org
Abstract Four foreign exchange spot rate series, recorded on an hourly basis for a six-month
period in 1986, are examined. A seasonal GARCH model is developed to describe the time-
dependent volatility apparent in the percentage nominal return of each currency. Hourly ...
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[CITATION] «Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Approach»

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B Tim - Review of Economics and Statistics, 1990
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