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T

Tim Bollerslev

duke university

76H指数
173论文数
7.5W被引数
收录论文 31
发表时间
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Optimal Candlestick-Based Spot Volatility Estimation: New Tricks and Feasible Inference Procedures基于K线图的现货波动率最优估计：新方法与可行的推断程序
errJournal of Financial Econometrics
IF2.2
err2026-01-01
err0
PREAI
errBollerslev, Tim; Li, Jia; Li, Qiyuan; Li, Yifan
err分享
err收藏
Optimal Inference for Spot Regressionst
errAMERICAN ECONOMIC REVIEW
IF11.6
err2024-03-01
err0
errOAAI
errBollerslev, Tim; Li, Jia; Ren, Yuexuan
err分享
err收藏
From zero to hero: Realized partial (co)variances
errJOURNAL OF ECONOMETRICS
IF4
err2022-12-01
err8
errOAAI
errBollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; Quaedvlieg, Rogier
err分享
err收藏
Multivariate leverage effects and realized semicovariance GARCH models
errJOURNAL OF ECONOMETRICS
IF4
err2020-08-01
err21
errOAAI
errBollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
err分享
err收藏
High-dimensional multivariate realized volatility estimation
errJOURNAL OF ECONOMETRICS
IF4
err2019-09-01
err18
errOAAI
errBollerslev, Tim; Meddahi, Nour; Nyawa, Serge
err分享
err收藏
Risk Everywhere: Modeling and Managing Volatility无处不在的风险: 建模和管理波动性
errREVIEW OF FINANCIAL STUDIES
IF5.4
err2018-05-22
err207
errOAAI
errBollerslev, Tim; Hood, Benjamin; Huss, John; Pedersen, Lasse Heje
err分享
err收藏
Exploiting the errors: A simple approach for improved volatility forecasting
errJOURNAL OF ECONOMETRICS
IF4
err2016-05-01
err275
errOAAI
errBollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
err分享
err收藏
Risk and return: Long-run relations, fractional cointegration, and return predictability
errJOURNAL OF FINANCIAL ECONOMICS
IF12
err2013-05-01
err91
PREAI
errBollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; Tauchen, George
err分享
err收藏
Jump tails, extreme dependencies, and the distribution of stock returns
errJOURNAL OF ECONOMETRICS
IF4
err2013-02-01
err99
errOAAI
errBollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi
err分享
err收藏
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
errREVIEW OF FINANCE
IF8.4
err2011-03-23
err71
errOAAI
errBollerslev, Tim; Sizova, Natalia; Tauchen, George
err分享
err收藏
Realized volatility forecasting and market microstructure noise已实现波动率预测与市场微观结构噪声
errJOURNAL OF ECONOMETRICS
IF4
err2011-01-01
err143
PREAI
errAndersen, Torben G.; Bollerslev, Tim; Meddahi, Nour
err分享
err收藏
Jumps and betas: A new framework for disentangling and estimating systematic risks
errJOURNAL OF ECONOMETRICS
IF4
err2010-08-01
err103
PREAI
errTodorov, Viktor; Bollerslev, Tim
err分享
err收藏
A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects
errJOURNAL OF ECONOMETRICS
IF4
err2009-06-01
err128
PREAI
errBollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; Tauchen, George
err分享
err收藏
Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility
errREVIEW OF ECONOMICS AND STATISTICS
IF6.8
err2007-11-01
err1.1K
errOAAI
errAndersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.
err分享
err收藏
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
errJOURNAL OF ECONOMETRICS
IF4
err2007-05-01
err209
errOAAI
errAndersen, Torben G.; Bollerslev, Tim; Dobrev, Dobrislav
err分享
err收藏
Volatility puzzles: a simple framework for gauging return-volatility regressions波动率之谜: 衡量收益-波动率回归的简单框架
errJOURNAL OF ECONOMETRICS
IF4
err2006-03-01
err161
PREAI
errBollerslev, T; Zhou, H
err分享
err收藏
A framework for exploring the macroeconomic determinants of systematic risk
errAMERICAN ECONOMIC REVIEW
IF11.6
err2005-04-01
err86
errOAAI
errAndersen, TG; Bollerslev, T; Diebold, FX; Wu, JG
err分享
err收藏
Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities
errECONOMETRICA
IF7.1
err2005-01-01
err212
errOAAI
errAndersen, TG; Bollerslev, T; Meddahi, N
err分享
err收藏
Estimating stochastic volatility diffusion using conditional moments of integrated volatility (vol 109, pg 33, 2002)
errJOURNAL OF ECONOMETRICS
IF4
err2004-03-01
err2
errOAAI
errBollerslev, T; Zhou, H
err分享
err收藏
Modeling and forecasting realized volatility已实现波动率的建模与预测
errECONOMETRICA
IF7.1
err2003-03-01
err2.3K
errOAAI
errAndersen, TG; Bollerslev, T; Diebold, FX; Labys, P
err分享
err收藏

研究方向

暂无研究方向
合作学者
合作期刊
R
Robert F. Engle
H 指数: 110 · 论文数: 483
F
Francis X. Diebold
H 指数: 99 · 论文数: 537
L
Lasse Heje Pedersen
H 指数: 64 · 论文数: 216
T
Torben G. Andersen
H 指数: 60 · 论文数: 208
J
Jonathan H. Wright
H 指数: 56 · 论文数: 265
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