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~isPartOf:"Journal of econometrics"
~person:"Bollerslev, Tim"
~person:"Kets de Vries, Manfred F. R."
~person:"Zaremba, Adam"
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Bollerslev, Tim
Kets de Vries, Manfred F. R.
Zaremba, Adam
Todorov, Viktor
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ECONIS (ZBW)
8
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1
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise : theory and testable distributional implications
Andersen, Torben
;
Bollerslev, Tim
;
Dobrev, Dobrislav
- In:
Journal of econometrics
138
(
2007
)
1
,
pp. 125-180
Persistent link: https://www.econbiz.de/10003451756
Saved in:
2
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
Saved in:
3
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Risk, jumps and diversification
Bollerslev, Tim
;
Law, Tzuo Hann
;
Tauchen, George Eugene
- In:
Journal of econometrics
144
(
2008
)
1
,
pp. 234-256
Persistent link: https://www.econbiz.de/10003723656
Saved in:
7
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
Saved in:
8
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
Saved in:
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