Tim Bollerslev

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	전체	2020년 이후
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Torben G. AndersenProfessor of Finance, Kellogg School, Northwestern Universitynorthwestern.edu의 이메일 확인됨
Francis DieboldProfessor of Economics, University of Pennsylvaniasas.upenn.edu의 이메일 확인됨
Richard BaillieA J Pasant Professor of Economics & Financemsu.edu의 이메일 확인됨
Hao ZhouTsinghua PBC School of Finance & SUSTech Business Schoolpbcsf.tsinghua.edu.cn의 이메일 확인됨
Robert EngleNew York Universitystern.nyu.edu의 이메일 확인됨
George TauchenProfessor of Economicsduke.edu의 이메일 확인됨
Andrew PattonZelter Family Professor of Economics and Finance, Duke Universityduke.edu의 이메일 확인됨
Ray Yeutien ChouResearch Fellow, Institute of Economics, Academia Sinicaecon.sinica.edu.tw의 이메일 확인됨
Rogier QuaedvliegABN Amronl.abnamro.com의 이메일 확인됨
Jeffrey M. WooldridgeUniversity Distinguished Professor of Economics, Michigan State Universitymsu.edu의 이메일 확인됨
Clara VegaFederal Reserve Board of Governorsfrb.gov의 이메일 확인됨
Sophia Zhengzi LiAssociate Professor of Finance, Rutgers Universitybusiness.rutgers.edu의 이메일 확인됨
James MarroneRAND Corporationrand.org의 이메일 확인됨
Lasse Heje PedersenCopenhagen Business School, NYU, AQR, and CEPRcbs.dk의 이메일 확인됨
Eric GhyselsBernstein Distinguished Professor of Economics and Professor of Finance, UNC Chapel Hillunc.edu의 이메일 확인됨
Tzuo Hann LawBoston Collegebc.edu의 이메일 확인됨
Benjamin HoodAQR Capital Management and Adjunct Lecturer of Finance, University of Minnesotaumn.edu의 이메일 확인됨
Lin PengBaruch Collegebaruch.cuny.edu의 이메일 확인됨
Wei XiongProfessor of Economics, Princeton Universityprinceton.edu의 이메일 확인됨
Frank M. Song（宋敏）武汉大学/香港大学whu.edu.cn의 이메일 확인됨

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Tim Bollerslev

Duke University

duke.edu의 이메일 확인됨 - 홈페이지

Financial Econometrics Asset Pricing Time Series Econometrics


제목 서지정보순 정렬 연도순 정렬 제목순 정렬	인용 인용	연도
Generalized autoregressive conditional heteroskedasticity T Bollerslev Journal of econometrics 31 (3), 307-327, 1986	37245	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	7330	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	5607	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	5037	1988
Modeling and forecasting realized volatility TG Andersen, T Bollerslev, FX Diebold, P Labys Econometrica 71 (2), 579-625, 2003	4985	2003
Answering the skeptics: Yes, standard volatility models do provide accurate forecasts TG Andersen, T Bollerslev International economic review, 885-905, 1998	4687	1998
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances T Bollerslev, JM Wooldridge Econometric reviews 11 (2), 143-172, 1992	4657	1992
A conditionally heteroskedastic time series model for speculative prices and rates of return T Bollerslev The review of economics and statistics, 542-547, 1987	4145	1987
Modelling the persistence of conditional variances RF Engle, T Bollerslev Econometric reviews 5 (1), 1-50, 1986	3799	1986
ARCH models T Bollerslev, RF Engle, DB Nelson Handbook of econometrics 4, 2959-3038, 1994	3536*	1994
Fractionally integrated generalized autoregressive conditional heteroskedasticity RT Baillie, T Bollerslev, HO Mikkelsen Journal of econometrics 74 (1), 3-30, 1996	3467	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	3323	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	3233	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	2206	2007
Expected stock returns and variance risk premia T Bollerslev, G Tauchen, H Zhou The Review of Financial Studies 22 (11), 4463-4492, 2009	1995	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	1838	2003
Intraday periodicity and volatility persistence in financial markets TG Andersen, T Bollerslev Journal of empirical finance 4 (2-3), 115-158, 1997	1822	1997
Modeling and pricing long memory in stock market volatility T Bollerslev, HO Mikkelsen Journal of econometrics 73 (1), 151-184, 1996	1794	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	1696	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	1507	2007

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