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., N. Meddahi, and S. Nyawa. “High-dimensional multivariate realized volatility estimation.” Journal of Econometrics, January 1, 2019. https://doi.org/10.1016/j.jeconom.2019.04.023. Full Text
Bollerslev, T., J. Li, and Y. Xue. “Volume, volatility, and public news announcements.” Review of Economic Studies 85, no. 4 (October 1, 2018): 2005–41. https://doi.org/10.1093/restud/rdy003. Full Text
Bollerslev, Tim, Andrew J. Patton, and Rogier Quaedvlieg. “Multivariate Leverage Effects and Realized Semicovariance GARCH Models,” April 16, 2018.
Bollerslev, Tim, Benjamin Hood, John Huss, and Lasse Heje Pedersen. “Risk Everywhere: Modeling and Managing Volatility,” February 2018.
Bollerslev, Tim, Andrew J. Patton, and Rogier Quaedvlieg. “Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions” 207, no. 1 (2018): 71–91.
Bollerslev, Tim, Andrew J. Patton, and Rogier Quaedvlieg. “Realized Semicovariances: Looking for Signs of Direction Inside the Covariance Matrix.” Economic Research Initiatives at Duke (Erid) Working Paper, no. 252 (September 5, 2017). Open Access Copy
Bollerslev, Tim, Andrew J. Patton, and Wenjing Wang. “Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions.” Journal of Applied Econometrics 31, no. 6 (September 2016): 1005–25.
Bollerslev, T., S. Z. Li, and V. Todorov. “Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns.” Journal of Financial Economics 120, no. 3 (June 1, 2016): 464–90. https://doi.org/10.1016/j.jfineco.2016.02.001. Full Text
Bollerslev, T., A. J. Patton, and R. Quaedvlieg. “Exploiting the errors: A simple approach for improved volatility forecasting.” Journal of Econometrics 192, no. 1 (May 1, 2016): 1–18. https://doi.org/10.1016/j.jeconom.2015.10.007. Full Text
Bollerslev, T., L. Xu, and H. Zhou. “Stock return and cash flow predictability: The role of volatility risk.” Journal of Econometrics 187, no. 2 (August 1, 2015): 458–71. https://doi.org/10.1016/j.jeconom.2015.02.031. Full Text
Tim, B. “Glossary to ARCH (GARCH).” In Volatility and Time Series Econometrics: Essays in Honor of Robert Engle, 2010. https://doi.org/10.1093/acprof:oso/9780199549498.003.0008. Full Text
Bollerslev, T., T. Andersen, and F. X. Diebold. “Parametric and Nonparametric Volatility Measurement.” In Handbook of Financial Econometrics, edited by Y. Aït-Sahalia and L. P. Hansen. Elsevier Science BV, 2010.
Andersen, Torben G., Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold. “Volatility and Correlation Forecasting.” In Handbook of Economic Forecasting, edited by G. Elliott, C. Granger, and A. Timmermann, 1:777–878, 2006.
Bollerslev, T., S. Z. Li, and B. Zhao. “Good Volatility, Bad Volatility and the Cross-Section of Stock Returns,” January 26, 2017.
Bollerslev, T., A. J. Patton, and R. Quaedvlieg. “Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions,” April 5, 2016.
Bollerslev, T., B. Hood, J. Huss, and L. H. Pedersen. “Risk Everywhere: Modeling and Managing Volatility,” January 26, 2016.
Andersen, T. G., T. Bollerslev, P. Christoffersen, and F. X. Diebold. “Financial Risk Measurement for Financial Risk Management,” May 2012.
Bollerslev, T., and H. Zhou. “Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65],” March 2004.
Bollerslev, T., and H. Zhou. “Erratum: Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Journal of Econometircs (2002) 109 (33-65) PII: S0304407601001415).” Journal of Econometrics, 2004. https://doi.org/10.1016/j.jeconom.2003.10.016. Full Text
Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, and Paul Labys. “Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian,” January 2000.
Andersen, T. G., and T. Bollerslev. “Answering the Critics: Yes, Arch Models Do Provide Good Volatility Forecasts,” April 1997.
Bollerslev, T., and R. J. Hodrick. “Financial Market Efficiency Tests,” June 1992.
Bollerslev, T., and J. M. Wooldridge. “Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances.” Econometric Reviews, January 1, 1992. https://doi.org/10.1080/07474939208800229. Full Text