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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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Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 109 (2002) 1, pp. 33-65
Persistent link: https://www.econbiz.de/10001663892
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A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2005
Persistent link: https://www.econbiz.de/10003350620
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Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor; Bollerslev, Tim - In: Journal of econometrics 157 (2010) 2, pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
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Time-varying jump tails
Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
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Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
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Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 217 (2020) 2, pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
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High-dimensional multivariate realized volatility estimation
Bollerslev, Tim; Meddahi, Nour; Nyawa, Serge - In: Journal of econometrics 212 (2019) 1, pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
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Occupation density estimation for noisy high-frequency data
Zhang, Congshan; Li, Jia; Bollerslev, Tim - In: Journal of econometrics 227 (2022) 1, pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
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From zero to hero : realized partial (co)variances
Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - In: Journal of econometrics 231 (2022) 2, pp. 348-360
Persistent link: https://www.econbiz.de/10013464800