Tim Bollerslev

Latest Institution: Duke University

All Institutions: Northwestern University; Department of Economics, Duke University; Duke University; University of Virginia

Causal Claims Network Graph

Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.

Based on the Following Papers:

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns

Year: 1996
Journal: Journal of Finance
Authors: Torben G. Andersen; Tim Bollerslev

Micro Effects of Macro Announcements: Realtime Price Discovery in Foreign Exchange

Year: 2002
Journal: American Economic Review
Authors: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Clara Vega

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Year: 2005
Journal: Risk Management
Authors: Torben G. Andersen; Tim Bollerslev; Peter F. Christoffersen; Francis X. Diebold

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Year: 2005
Journal: American Economic Review
Authors: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Jin Ginger Wu

Realtime Price Discovery in Stock, Bond, and Foreign Exchange Markets

Year: 2005
Journal: Journal of International Economics
Authors: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Clara Vega

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

Year: 2005
Journal: Review of Economics and Statistics
Authors: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold

Volatility Forecasting

Year: 2005
Journal: No Journal Matched
Authors: Torben G. Andersen; Tim Bollerslev; Peter F. Christoffersen; Francis X. Diebold

No-Arbitrage Semimartingale Restrictions for Continuous-Time Volatility Models Subject to Leverage Effects, Jumps, and IID Noise: Theory and Testable Distributional Implications

Year: 2007
Journal: Journal of Econometrics
Authors: Torben G. Andersen; Tim Bollerslev; Dobrislav Dobrev

Financial Risk Measurement for Financial Risk Management

Year: 2012
Journal: No Journal Matched
Authors: Torben G. Andersen; Tim Bollerslev; Peter F. Christoffersen; Francis X. Diebold

Risk Everywhere: Modeling and Managing Volatility

Year: 2018
Journal: Review of Financial Studies
Authors: Tim Bollerslev; Benjamin Hood; John Huss; Lasse Heje Pedersen

Author Disambiguation

This page includes results for all related names (only one name shown, no other authors with similar names):

Back to index