Tim Bollerslev
Tim Bollerslev is Juanita and Clifton Kreps Professor of Economics at Duke University. He acquired the PhD degree in economics from University of California, San Diego in 1986, after initially having studied mathematical economics at Aarhus University. He is a world leading expert in financial econometrics with particular focus on the modelling of high-frequency data including volatility modelling of asset returns. Professor Bollerslev is one of the world’s most cited economists and his works are mentioned in the press release of the 2003 Nobel Prize in Economics. In 2016, elected as Fellow of Society for Economic Measurement (SEM). He is widely used in editorial boards of major econometrics and finance journals and has numerous publications in journals such as American Economic Review, Econometrica, Journal of Business and Economic Statistics, and Journal of Finance.
Zhang, C., Li, J. & Bollerslev, T. (2022). Occupation Density Estimation for Noisy High-Frequency Data. Journal of Econometrics, 227(1), 189-211. https://doi.org/10.1016/j.jeconom.2020.05.013
Bollerslev, T., Li, J. & Liao, Z. (2021). Fixed-k inference for volatility. Quantitative Economics, 12(4), 1053-1084. https://doi.org/10.3982/QE1749
Bollerslev, T., Li, J. & Chaves, L. S. S. (2021). Generalized Jump Regressions for Local Moments. Journal of Business and Economic Statistics, 39(4), 1015-1025. https://doi.org/10.1080/07350015.2020.1753526
Bollerslev, T., Li, S. Z. & Zhao, B. (2020). Good Volatility, Bad Volatility, and the Cross Section of Stock Returns. Journal of Financial and Quantitative Analysis, 55(3), 751-781. https://doi.org/10.1017/S0022109019000097
Bollerslev, T., Patton, A. J. & Quaedvlieg, R. (2020). Multivariate Leverage Effects and Realized Semicovariance GARCH Models. Journal of Econometrics, 217(2), 411-430. https://doi.org/10.1016/j.jeconom.2019.12.011
Bollerslev, T., Li, J., Patton, A. J. & Quaedvlieg, R. (2020). Realized Semicovariances. Econometrica, 88(4), 1515-1551. https://doi.org/10.3982/ECTA17056
Bollerslev, T., Meddahi, N. & Nyawa, S. (2019). High-Dimensional Multivariate Realized Volatility Estimation. Journal of Econometrics, 212(1), 116-136. https://doi.org/10.1016/j.jeconom.2019.04.023
Andersen, T. G. & Bollerslev, T. (Eds.) (2018). Introduction. In T. G. Andersen & T. Bollerslev (Eds.), Volatility (Vol. I-II, pp. xiii - xliv). Edward Elgar Publishing.
Bollerslev, T., Hood, B., Huss, J. & Pedersen, L. H. (2018). Risk Everywhere: Modeling and Managing Volatility. The Review of Financial Studies, 31(7), 2729-2773. https://doi.org/10.1093/rfs/hhy041
Bollerslev, T., Li, J. & Xue, Y. (2018). Volume, Volatility, and Public News Announcements. The Review of Economic Studies, 85(4), 2005-2041. https://doi.org/10.1093/restud/rdy003
Bollerslev, T., Patton, A. J. & Wang, W. (2016). Daily House Price Indices: Construction, Modeling, and Longer-run Predictions. Journal of Applied Econometrics, 31(6), 1005–1025. https://doi.org/10.1002/jae.2471
Bollerslev, T., Patton, A. J. & Quaedvlieg, R. (2016). Exploiting the errors: A simple approach for improved volatility forecasting. Journal of Econometrics, 192(1), 1-18. https://doi.org/10.1016/j.jeconom.2015.10.007
Bollerslev, T., Li, S. Z. & Todorov, V. (2016). Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns. Journal of Financial Economics, 120(3), 464–490. https://doi.org/10.1016/j.jfineco.2016.02.001
Bollerslev, T., Xu, L. & Zhou, H. (2015). Stock return and cash flow predictability: The role of volatility risk. Journal of Econometrics, 187(2), 458–471. https://doi.org/10.1016/j.jeconom.2015.02.031
Bollerslev, T., Todorov, V. & Xu, L. (2015). Tail Risk Premia and Return Predictability. Journal of Financial Econometrics, 118(1), 113–134. https://doi.org/10.1016/j.jfineco.2015.02.010
Bollerslev, T., Marrone, J., Xu, L. & Zhou, H. (2014). Stock return predictability and variance risk premia: Statistical inference and international evidence. Journal of Financial and Quantitative Analysis, 49(3), 633-661. https://doi.org/10.1017/S0022109014000453
Bollerslev, T. & Todorov, V. (2014). Time-varying jump tails. Journal of Econometrics, 183(2), 168-180. https://doi.org/10.1016/j.jeconom.2014.05.007
Andersen, T. G., Bollerslev, T., Christoffersen, P. & Diebold, F. X. (2013). Financial Risk Measurement for Financial Risk Management. In G. M. Constantinides, M. Harris & R. M. Stulz (Eds.), Handbook of the Economics of Finance (Vol. 2, Part B, pp. 127–1220). Elsevier. https://doi.org/10.1016/B978-0-44-459406-8.00017-2
Bollerslev, T., Todorov, V. & Li, S. Z. (2013). Jump tails, extreme dependencies, and the distribution of stock returns. Journal of Econometrics, 172(2), 307-324. https://doi.org/10.1016/j.jeconom.2012.08.014
Bollerslev, T., Sizova, N. & Tauchen, G. (2012). Volatility in equilibrium: Asymmetries and dynamic dependencies. Review of Finance (Print), 16(1), 31-80. https://doi.org/10.1093/rof/rfr005
Bollerslev, T., Gibson, M. & Zhou, H. (2011). Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. Journal of Econometrics, 160(1), 235-245. https://doi.org/10.1016/j.jeconom.2010.03.033
Bollerslev, T., Christensen, B. J., Haldrup, N. & Lunde, A. (2011). Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction. Journal of Time Series Econometrics, 3(1, Article 1). https://doi.org/10.2202/1941-1928.1098
Andersen, T. G., Bollerslev, T. & Meddahi, N. (2011). Realized volatility forecasting and market microstructure noise. Journal of Econometrics, 160(1), 220-234. https://doi.org/10.1016/j.jeconom.2010.03.032
