NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Tim Bollerslev

Working Papers and Chapters

March 2007No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications
with Torben G. Andersen, Dobrislav Dobrev: w12963
January 2007Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Torben G. Andersen, Peter Christoffersen, Francis X. Diebold
in The Risks of Financial Institutions, Mark Carey and René M. Stulz, editors
November 2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
with Torben G. Andersen, Francis X. Diebold: w11775
May 2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
with Torben G. Andersen, Francis X. Diebold, Clara Vega: w11312
March 2005Volatility Forecasting
with Torben G. Andersen, Peter F. Christoffersen, Francis X. Diebold: w11188
February 2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
with Torben G. Andersen, Francis X. Diebold, Jin (Ginger) Wu: w11134
January 2005Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Torben G. Andersen, Peter F. Christoffersen, Francis X. Diebold: w11069
August 2002Parametric and Nonparametric Volatility Measurement
with Torben G. Andersen, Francis X. Diebold: t0279
May 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
with Torben G. Andersen, Francis X. Diebold, Clara Vega: w8959
March 2001Modeling and Forecasting Realized Volatility
with Torben G. Andersen, Francis X. Diebold, Paul Labys: w8160
October 2000The Distribution of Stock Return Volatility
with Torben G. Andersen, Francis X. Diebold, Heiko Ebens: w7933
January 2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
with Torben G. Andersen, Francis X. Diebold, Paul Labys: w7488
February 1999The Distribution of Exchange Rate Volatility
with Torben Andersen, Francis X. Diebold, Paul Labys: w6961
July 1998Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment
with Torben G. Anderson, Ashish Das: w6666
April 1997Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
with Torben G. Andersen: w6023
October 1996DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
with Torben G. Andersen: w5783
September 1996Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
with Torben G. Andersen: w5752
June 1992Financial Market Efficiency Tests
with Robert J. Hodrick: w4108

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