NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Tim Bollerslev

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers

May 2012Financial Risk Measurement for Financial Risk Management
with Torben G. Andersen, Peter F. Christoffersen, Francis X. Diebold: w18084
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

Published: Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007. "No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications," Journal of Econometrics, Elsevier, vol. 138(1), pages 125-180, May. citation courtesy of

November 2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
with Torben G. Andersen, Francis X. Diebold: w11775

Published: Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, 04. citation courtesy of

May 2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
with Torben G. Andersen, Francis X. Diebold, Clara Vega: w11312

Published: Andersen, Torben, Tim Bollerslev, Francis Diebold, and Clara Vega. "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets." Journal of International Economics 73 (2007): 251-277.

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

Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Jin Wu. "A Framework For Exploring The Macroeconomic Determinants Of Systematic Risk," American Economic Review, 2005, v95(2,May), 398-404. citation courtesy of

January 2005Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Torben G. Andersen, Peter F. Christoffersen, Francis X. Diebold: w11069

Published: Practical Volatility and Correlation Modeling for Financial Market Risk Management , Torben G. Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold. in The Risks of Financial Institutions, Carey and Stulz. 2006

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

Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Clara Vega. "Micro Effects Of Macro Announcements: Real-Time Price Discovery In Foreign Exchange," American Economic Review, 2003, v93(1,Mar), 38-62. citation courtesy of

March 2001Modeling and Forecasting Realized Volatility
with Torben G. Andersen, Francis X. Diebold, Paul Labys: w8160

Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Paul Labys. "Modeling And Forecasting Realized Volatility," Econometrica, 2003, v71(2,Mar), 579-625. citation courtesy of

October 2000The Distribution of Stock Return Volatility
with Torben G. Andersen, Francis X. Diebold, Heiko Ebens: w7933

Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Heiko Ebens. "The Distribution Of Realized Stock Return Volatility," Journal of Financial Economics, 2001, v61(1,Jul), 43-76.

January 2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
with Torben G. Andersen, Francis X. Diebold, Paul Labys: w7488

Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Paul Labys. "The Distribution Of Realized Exchange Rate Volatility," Journal of the American Statistical Association, 2001, v96(453,Mar), 42-55.

February 1999The Distribution of Exchange Rate Volatility
with Torben Andersen, Francis X. Diebold, Paul Labys: w6961

Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Paul Labys. "The Distribution Of Realized Exchange Rate Volatility," Journal of the American Statistical Association, 2001, v96(453,Mar), 42-55.

July 1998Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment
with Torben G. Anderson, Ashish Das: w6666

Published: "Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns" Journal of Finance, Volume 56: Issue 1 Pages 305 - 327 (2001)

April 1997Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
with Torben G. Andersen: w6023

Published: Torben G. Andersen and Tim Bollerslev. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, 1998, vol. 39, issue 4, pages 885-905

October 1996DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
with Torben G. Andersen: w5783

Published: Torben G. Andersen and Tim Bollerslev. "Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies" Volume 53: Issue 1, pp 219 - 265 (February 1998)

September 1996Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
with Torben G. Andersen: w5752

Published: Torben G. Andersen and Tim Bollerslev. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance. Volume 52, issue 3. (1997) pp. 975-1005 citation courtesy of

June 1992Financial Market Efficiency Tests
with Robert J. Hodrick: w4108

Published: M.H. Pesaran and M.R. Wickens, eds., Handbook of Applied Econometrics, Vol. 1, Macroeconomics, Basil Blackwell, 1996, pp. 415-458.

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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