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Order flow and the bid-ask spread : an empirical probability model of screen-based trading
Bollerslev, Tim - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1471-1491
Persistent link: https://www.econbiz.de/10001222036
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Financial Market Efficiency Tests
Bollerslev, Tim - 2004
include standard autocorrelation tests, multi-period regression tests and volatility tests. The formulation and estimation of …
Persistent link: https://www.econbiz.de/10012786281
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Financial Market Efficiency Tests
Bollerslev, Tim - 1992
include standard autocorrelation tests, multi-period regression tests and volatility tests. The formulation and estimation of …
Persistent link: https://www.econbiz.de/10012474867
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Forecasting financial market volatility : sample frequency vis-à-vis forecast horizon
Andersen, Torben; Bollerslev, Tim; Lange, Steve - In: Journal of empirical finance 6 (1999) 5, pp. 457-477
Persistent link: https://www.econbiz.de/10001505784
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Deutsche Mark-dollar volatility : intraday activity patterns, macroeconomic announcements and longer run dependencies
Andersen, Torben - In: The journal of finance : the journal of the American … 53 (1998) 1, pp. 219-265
Persistent link: https://www.econbiz.de/10001235487
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Financial market efficiency tests
Bollerslev, Tim; Hodrick, Robert J. - 1992
Persistent link: https://www.econbiz.de/10000136709
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Practical volatility and correlation modeling for financial market risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
Persistent link: https://www.econbiz.de/10003350610
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Tails, fears and risk premia
Bollerslev, Tim; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003849565
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Expected stock returns and variance risk premia
Bollerslev, Tim; Tauchen, George Eugene; Zhou, Hao - In: The review of financial studies 22 (2009) 11, pp. 4463-4492
Persistent link: https://www.econbiz.de/10003896321
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Practical volatility and correlation modeling for financial market risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - In: The risks of financial institutions : [...papers and …, (pp. 513-548). 2006
Persistent link: https://www.econbiz.de/10003445632