Tim Bollerslev
Title
Cited by
Cited by
Year
Generalized autoregressive conditional heteroskedasticity
T Bollerslev
Journal of econometrics 31 (3), 307-327, 1986
274031986
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
61791992
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
43401990
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
T Bollerslev, JM Wooldridge
Econometric reviews 11 (2), 143-172, 1992
40091992
A capital asset pricing model with time-varying covariances
T Bollerslev, RF Engle, JM Wooldridge
Journal of political Economy 96 (1), 116-131, 1988
39951988
Modeling and forecasting realized volatility
TG Andersen, T Bollerslev, FX Diebold, P Labys
Econometrica 71 (2), 579-625, 2003
36522003
Answering the skeptics: Yes, standard volatility models do provide accurate forecasts
TG Andersen, T Bollerslev
International economic review, 885-905, 1998
34051998
A conditionally heteroskedastic time series model for speculative prices and rates of return
T Bollerslev
The review of economics and statistics, 542-547, 1987
33121987
Modelling the persistence of conditional variances
RF Engle, T Bollerslev
Econometric reviews 5 (1), 1-50, 1986
29541986
ARCH models
T Bollerslev, RF Engle, DB Nelson
Handbook of econometrics 4, 2959-3038, 1994
2882*1994
Fractionally integrated generalized autoregressive conditional heteroskedasticity
RT Baillie, T Bollerslev, HO Mikkelsen
Journal of econometrics 74 (1), 3-30, 1996
28211996
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
25472001
The distribution of realized stock return volatility
TG Andersen, T Bollerslev, FX Diebold, H Ebens
Journal of financial economics 61 (1), 43-76, 2001
24452001
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
1473*2007
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
14682003
Intraday periodicity and volatility persistence in financial markets
TG Andersen, T Bollerslev
Journal of empirical finance 4 (2-3), 115-158, 1997
14471997
Modeling and pricing long memory in stock market volatility
T Bollerslev, HO Mikkelsen
Journal of econometrics 73 (1), 151-184, 1996
14381996
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
13771998
The message in daily exchange rates: a conditional-variance tale
RT Baillie, T Bollerslev
Journal of Business & Economic Statistics 20 (1), 60-68, 2002
12952002
Expected stock returns and variance risk premia
T Bollerslev, G Tauchen, H Zhou
The Review of Financial Studies 22 (11), 4463-4492, 2009
12292009
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