Tim Bollerslev
31 catalog papers. Identity-linked publications and additional name matches are distinguished below.
ORCID: 0000-0003-2743-3087
Duke University and National Bureau of Economic Research, Durham, North Carolina 27708
Publications
- News and Asset Pricing: A High-Frequency Anatomy of the SDF — The Review of Financial Studies 2025
- Intraday Market Return Predictability Culled from the Factor Zoo — Management Science 2025
- Optimal Inference for Spot Regressions — American Economic Review 2024 (name-matched, not ORCID-linked)
- The jump leverage risk premium — Journal of Financial Economics 2023 (name-matched, not ORCID-linked)
- Realized semibetas: Disentangling “good” and “bad” downside risks — Journal of Financial Economics 2022 (name-matched, not ORCID-linked)
- Realized Semicovariances — Econometrica 2020
- Good Volatility, Bad Volatility, and the Cross Section of Stock Returns — Journal of Financial and Quantitative Analysis 2020
- Volume, Volatility, and Public News Announcements — The Review of Economic Studies 2018
- Risk Everywhere: Modeling and Managing Volatility — The Review of Financial Studies 2018 (name-matched, not ORCID-linked)
- Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns — Journal of Financial Economics 2016
- Tail risk premia and return predictability — Journal of Financial Economics 2015 (name-matched, not ORCID-linked)
- Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence — Journal of Financial and Quantitative Analysis 2014
- Risk and return: Long-run relations, fractional cointegration, and return predictability — Journal of Financial Economics 2013 (name-matched, not ORCID-linked)
- Volatility in Equilibrium: Asymmetries and Dynamic Dependencies — Review of Finance 2012 (name-matched, not ORCID-linked)
- Tails, Fears, and Risk Premia — The Journal of Finance 2011
- Estimation of Jump Tails — Econometrica 2011
- Expected Stock Returns and Variance Risk Premia — The Review of Financial Studies 2009
- A Framework for Exploring the Macroeconomic Determinants of Systematic Risk — American Economic Review 2005
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities — Econometrica 2005 (name-matched, not ORCID-linked)
- Modeling and Forecasting Realized Volatility — Econometrica 2003
- Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange — American Economic Review 2003 (name-matched, not ORCID-linked)
- Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns — The Journal of Finance 2001 (name-matched, not ORCID-linked)
- The Distribution of Realized Exchange Rate Volatility — Journal of the American Statistical Association 2001 (name-matched, not ORCID-linked)
- Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies — The Journal of Finance 1998
- Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns — The Journal of Finance 1997 (name-matched, not ORCID-linked)
- Cointegration, Fractional Cointegration, and Exchange Rate Dynamics — The Journal of Finance 1994
- Trading Patterns and Prices in the Interbank Foreign Exchange Market — The Journal of Finance 1993 (name-matched, not ORCID-linked)
- Intra-Day and Inter-Market Volatility in Foreign Exchange Rates — The Review of Economic Studies 1991 (name-matched, not ORCID-linked)
- Common Stochastic Trends in a System of Exchange Rates — The Journal of Finance 1989
- A Capital Asset Pricing Model with Time-Varying Covariances — Journal of Political Economy 1988
- Forecasting and Managing Correlation Risks — Management Science