Tim Bollerslev
Duke University
H-index: 86
North America-United States
Top articles of Tim Bollerslev
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Optimal inference for spot regressions | American Economic Review | Tim Bollerslev Jia Li Yuexuan Ren | 2024/3/1 |
Optimal nonparametric range-based volatility estimation | Journal of Econometrics | Tim Bollerslev Jia Li Qiyuan Li | 2024/1/1 |
The story of GARCH: A personal odyssey | Journal of Econometrics | Tim Bollerslev | 2023/3/1 |
Online Appendix “Optimal Inference for Spot Regressions” | Tim Bollerslev Jia Li Yuexuan Ren | 2023/7/4 | |
Online Supplement to:“Optimal Inference for Spot Regressions” | Tim Bollerslev Jia Li Yuexuan Ren | 2023/5/26 | |
Online Supplemental Appendix to Optimal Nonparametric Range-Based Volatility Estimation | Tim Bollerslev Jia Li Qiyuan Li | 2023/4/20 | |
Intraday market return predictability culled from the factor zoo | Available at SSRN 4388560 | Saketh Aleti Tim Bollerslev Mathias Siggaard | 2023/3/14 |
The jump leverage risk premium | Journal of Financial Economics | Tim Bollerslev Viktor Todorov | 2023/12/1 |
Reprint of: Generalized Autoregressive Conditional Heteroskedasticity | Journal of Econometrics | Tim Bollerslev | 2023/3/1 |
Forecasting and Managing Correlation Risks | Available at SSRN 4281900 | Tim Bollerslev Sophia Zhengzi Li Yushan Tang | 2023/9/1 |
Realized semi (co) variation: Signs that all volatilities are not created equal | Journal of Financial Econometrics | Tim Bollerslev | 2022/3/1 |
Occupation density estimation for noisy high-frequency data | Journal of econometrics | Congshan Zhang Jia Li Tim Bollerslev | 2022/3/1 |
From zero to hero: Realized partial (co) variances | Journal of Econometrics | Tim Bollerslev Marcelo C Medeiros Andrew J Patton Rogier Quaedvlieg | 2022/12/1 |
Equity clusters through the lens of realized semicorrelations | Economics Letters | Tim Bollerslev Andrew J Patton Haozhe Zhang | 2022/2/1 |
Granular betas and risk premium functions | Available at SSRN 4258489 | Tim Bollerslev Andrew J Patton Rogier Quaedvlieg | 2022/10/26 |
Fixed-k Nonparametric Inference for Spot Regressions | Tim Bollerslev Jia Li Yuexuan Ren | 2022/1/23 | |
News and Asset Pricing: A High-Frequency Anatomy of the SDF | Available at SSRN 4206481 | Saketh Aleti Tim Bollerslev | 2022/8/31 |
Realized semibetas: Disentangling “good” and “bad” downside risks | Journal of Financial Economics | Tim Bollerslev Andrew J Patton Rogier Quaedvlieg | 2022/4/1 |
Generalized jump regressions for local moments | Journal of Business & Economic Statistics | Tim Bollerslev Jia Li Leonardo Salim Saker Chaves | 2021/10/2 |
Fixed‐k inference for volatility | Quantitative Economics | Tim Bollerslev Jia Li Zhipeng Liao | 2021/11 |
Co-Authors
