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Bollerslev, Tim
201  Ergebnisse:
Personensuche X
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1

News and Asset Pricing: A High-Frequency Anatomy of the SDF:

Aleti, Saketh ; Bollerslev, Tim ; Goldstein, Itay
The Review of Financial Studies.  , 2024
Link: https://doi.org/10.1093/..
 
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2

Optimal nonparametric range-based volatility estimation:

Bollerslev, Tim ; Li, Jia ; Li, Qiyuan
Journal of Econometrics.  238 (2024)  1 - p. 105548 , 2024
Link: https://doi.org/10.1016/..
 
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3

Reprint of: Generalized Autoregressive Conditional Heterosk..:

Bollerslev, Tim
Journal of Econometrics.  , 2023
Link: https://doi.org/10.1016/..
 
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4

The story of GARCH: A personal odyssey:

Bollerslev, Tim
Journal of Econometrics.  234 (2023)  - p. 96-100 , 2023
Link: https://doi.org/10.1016/..
 
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5

The jump leverage risk premium:

Bollerslev, Tim ; Todorov, Viktor
Journal of Financial Economics.  150 (2023)  3 - p. 103723 , 2023
Link: https://doi.org/10.1016/..
 
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6

Occupation density estimation for noisy high-frequency data:

Zhang, Congshan ; Li, Jia ; Bollerslev, Tim
Journal of Econometrics.  227 (2022)  1 - p. 189-211 , 2022
Link: https://doi.org/10.1016/..
 
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7

Equity clusters through the lens of realized semicorrelatio..:

Bollerslev, Tim ; Patton, Andrew J. ; Zhang, Haozhe
Economics Letters.  211 (2022)  - p. 110245 , 2022
Link: https://doi.org/10.1016/..
 
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8

From zero to hero: Realized partial (co)variances:

Bollerslev, Tim ; Medeiros, Marcelo C. ; Patton, Andrew J..
Journal of Econometrics.  231 (2022)  2 - p. 348-360 , 2022
Link: https://doi.org/10.1016/..
 
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9

Realized semibetas: Disentangling "good" and "bad" downside..:

Bollerslev, Tim ; Patton, Andrew J. ; Quaedvlieg, Rogier
Journal of Financial Economics.  144 (2022)  1 - p. 227-246 , 2022
Link: https://doi.org/10.1016/..
 
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10

Realized Semi(co)variation: Signs That All Volatilities are..:

Bollerslev, Tim
Journal of Financial Econometrics.  20 (2021)  2 - p. 219-252 , 2021
Link: https://doi.org/10.1093/..
 
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11

Fixed‐k inference for volatility:

Bollerslev, Tim ; Li, Jia ; Liao, Zhipeng
Quantitative Economics.  12 (2021)  4 - p. 1053-1084 , 2021
Link: https://doi.org/10.3982/..
 
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12

REALIZED SEMICOVARIANCES:

Bollerslev, Tim ; Li, Jia ; Patton, Andrew J..
Econometrica.  88 (2020)  4 - p. 1515-1551 , 2020
Link: https://www.jstor.org/st..
 
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13

Realized Semicovariances:

Bollerslev, Tim ; Li, Jia ; Patton, Andrew J..
Econometrica.  88 (2020)  4 - p. 1515-1551 , 2020
Link: https://doi.org/10.3982/..
 
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14

Generalized Jump Regressions for Local Moments:

Bollerslev, Tim ; Li, Jia ; Chaves, Leonardo Salim Saker
Journal of Business & Economic Statistics.  39 (2020)  4 - p. 1015-1025 , 2020
Link: https://doi.org/10.1080/..
 
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15

Multivariate leverage effects and realized semicovariance G..:

Bollerslev, Tim ; Patton, Andrew J. ; Quaedvlieg, Rogier
Journal of Econometrics.  217 (2020)  2 - p. 411-430 , 2020
Link: https://doi.org/10.1016/..
 
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