Juanita and Clifton Kreps Professor of Economics, in Trinity College of Arts and Sciences
Professor Bollerslev conducts research in the areas of time-series econometrics, financial econometrics, and empirical asset pricing finance. He is particularly well known for his developments of econometric models and procedures for analyzing and forecasting financial market volatility. Much of Bollerslev’s recent research has focused on the analysis of newly available high-frequency intraday, or tick-by-tick, financial data and so-called realized volatility measures, macroeconomic news announcement effects, and the pricing of volatility risk. Recent reviews of his work are available in the two Handbook chapters "Volatility and Correlation Forecasting” (with Torben G. Andersen, Peter Christoffersen and Francis X. Diebold), Handbook of Economic Forecasting, (eds. Graham Elliott, Clive W.J. Granger and Allan Timmermann), 2006, and "Parametric and Nonparametric Volatility Measurement” (with Torben G. Andersen and Francis X. Diebold), in Handbook of Financial Econometrics, (eds. Yacine Aït-Sahalia and Lars P. Hansen), 2009.
- Ph.D., University of California at San Diego 1986
- M.S., University of Aarhus 1983
Bollerslev, T, Andersen, T, and Diebold, FX. "Parametric and Nonparametric Volatility Measurement." In Handbook of Financial Econometrics,edited by Y Aït-Sahalia and LP Hansen. Elsevier Science BV, 2010. (Chapter)
Andersen, TG, Bollerslev, T, Christoffersen, PF, and Diebold, FX. "Volatility and Correlation Forecasting." In Handbook of Economic Forecasting,edited by G Elliott, C Granger, and A Timmermann, 777-878. May 2006.
Bollerslev, T, Engle, RF, and Nelson, DB. "Arch models." In Handbook of Econometrics,edited by RF Engle and D McFadden, 2959-3038. June 1986.
Tim, B, Jesper, CB, Niels, H, and Asger, L. "Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction." Journal of Time Series Econometrics 3, no. 1 (February 2011): 1-8.
Bollerslev, T, Li, SZ, and Zhao, B. "Good Volatility, Bad Volatility and the Cross-Section of Stock Returns." (January 26, 2017). (Working Paper)
Bollerslev, T, Patton, AJ, and Quaedvlieg, R. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions." (April 5, 2016).
Bollerslev, T, Hood, B, Huss, J, and Pedersen, LH. "Risk Everywhere: Modeling and Managing Volatility." (January 26, 2016). (Working Paper)
Andersen, TG, Bollerslev, T, Christoffersen, P, and Diebold, FX. "Financial Risk Measurement for Financial Risk Management." (May 2012). (Working Paper)
Bollerslev, T, and Zhou, H. "Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65]." 119, no. 1 (March 2004): 221-222. (Corrigendum)
Andersen, TG, and Bollerslev, T. "Answering the Critics: Yes, Arch Models Do Provide Good Volatility Forecasts." (April 1997). (Working Paper)
Bollerslev, T, and Hodrick, RJ. "Financial Market Efficiency Tests." (June 1992). (Working Paper)