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Tim Bollerslev

Juanita and Clifton Kreps Distinguished Professor of Economics, in Trinity College of Arts and Sciences
Economics
Box 90097, Durham, NC 27708-0097
228E Social Sciences, Box 90097, Durham, NC 27708

Overview


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.

Current Appointments & Affiliations


Juanita and Clifton Kreps Distinguished Professor of Economics, in Trinity College of Arts and Sciences · 1998 - Present Economics, Trinity College of Arts & Sciences
Professor of Economics · 1998 - Present Economics, Trinity College of Arts & Sciences

Education, Training & Certifications


University of California, San Diego · 1986 Ph.D.
University of Aarhus (Denmark) · 1983 M.S.