Professor Tim Bollerslev's New Research Receiving Recognition

Professor Tim Bollerslev's New Research Receiving Recognition

26 June 2012 12:16PM

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Professor Tim Bollerslev received the first prize award for best presentation of 2011 - 2012 from INQUIRE Europe during their autumn seminar held in Luxembourg in October of last year.

INQUIRE Europe is a professional organization that aims to encourage practical advanced quantitative methods in investment management, to foster the study of finance, and to support basic and applied research in the field of financial analysis in the European Common Market. In order to promote high quality presentations and attract leading researchers, the INQUIRE Europe awards an annual prize to individuals who present the best research.

Bollerslev’s presentation was a collaborative effort with James Marrone, Lai Xu, and Hao Zhou, entitled “Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence.” At the seminar, Bollerslev was one of nine presenters, some of whom are from Oxford, Columbia, and Boston College.

Additionally, Bollerslev’s joint paper with Michael Gibson and Hao Zhou, “Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Options Implied and Realized Volatilities,” Journal of Econometrics, vol. 160 January 2011, was among the 10 finalists for the Whitebox Advisors Research Prize for the best finance research paper published in 2011. Whitebox Advisors are a $2.3 billion investment advisory firm based in Minneapolis. The winner of the $25,000 prize was chosen out of 700 nominated papers on financial research. As a finalist, Bollerslev’s paper was awarded $1,500.

Learn more about research from the Duke Financial Economics Center.