Tim Bollerslev

Tim Bollerslev

Juanita and Clifton Kreps Professor of Economics, in Trinity College of Arts and Sciences

External Address: 
228E Social Sciences, Box 90097, Durham, NC 27708
Internal Office Address: 
Box 90097, Durham, NC 27708-0097
(919) 660-1846

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, Hood, B, Huss, J, and Pedersen, LH. "Risk Everywhere: Modeling and Managing Volatility." (February 2018).

Bollerslev, T, Patton, AJ, and Quaedvlieg, R. "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, T, Patton, AJ, and Wang, W. "Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions." Journal of Applied Econometrics 31, no. 6 (September 2016): 1005-1025.

Bollerslev, T, Li, SZ, and Todorov, V. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns." Journal of Financial Economics 120, no. 3 (June 2016): 464-490. Full Text

Bollerslev, T, Patton, AJ, and Quaedvlieg, R. "Exploiting the errors: A simple approach for improved volatility forecasting." Journal of Econometrics 192, no. 1 (May 2016): 1-18. Full Text

Bollerslev, T, Todorov, V, and Xu, L. "Tail risk premia and return predictability." Journal of Financial Economics 118, no. 1 (October 2015): 113-134. Full Text

Bollerslev, T, Xu, L, and Zhou, H. "Stock return and cash flow predictability: The role of volatility risk." Journal of Econometrics 187, no. 2 (August 2015): 458-471. Full Text

Kontoghiorghes, EJ, Van Dijk, HK, Belsley, DA, Bollerslev, T, Diebold, FX, Dufour, J-M, Engle, R, Harvey, A, Koopman, SJ, Pesaran, H, Phillips, PC, Smith, RJ, West, M, Yao, Q, Amendola, A, Billio, M, Chen, CW, Chiarella, C, Colubi, A, Deistler, M, Francq, C, Hallin, M, Jacquier, E, Judd, K, Koop, G, Lütkepohl, H, MacKinnon, JG, Mittnik, S, Omori, Y, Pollock, D, Proietti, T, Rombouts, JV, Scaillet, O, Semmler, W, So, MK, Steel, M, Taylor, R, Tzavalis, E, Zakoian, J-M, Boswijk, HP, and Luati, A et al. "CFEnetwork: The Annals of Computational and Financial Econometrics." Computational Statistics & Data Analysis 76 (August 2014): 1-3. Full Text

Bollerslev, T, Marrone, J, Xu, L, and Zhou, H. "Stock return predictability and variance risk premia: Statistical inference and international evidence." Journal of Financial and Quantitative Analysis 49, no. 3 (January 1, 2014): 633-661. (Review) Full Text

Bollerslev, T, and Todorov, V. "Time-varying jump tails." Journal of Econometrics 183, no. 2 (January 1, 2014): 168-180. Full Text


Volatility and Time Series Econometrics: Essays in Honor of Robert Engle. Edited by T Bollerslev, J Russell, and M Watson. 2010.

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. "Chapter 49 Arch models.", 2959-3038. December 1, 1994. Full Text

Bollerslev, T, Engle, RF, and Nelson, DB. "Arch models." In Handbook of Econometrics,edited by RF Engle and D McFadden, 2959-3038. June 1986.

Bollerslev, T. "Glossary to ARCH (GARCH).".

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). (Working Paper)

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)

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)

Bollerslev, T, and Wooldridge, JM. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances." Econometric Reviews 11, no. 2 (January 1992): 143-172. Full Text

Andersen, TG, Bollerslev, T, Diebold, FX, and Labys, P. "Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian."