Narrow search
Showing 1 - 10 of 55
Cover Image
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
Cover Image
Long-term equity anticipation securities and stock market volatility dynamics
Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - In: Journal of econometrics 92 (1999) 1, pp. 75-99
Persistent link: https://www.econbiz.de/10001400092
Cover Image
The jump leverage risk premium
Bollerslev, Tim; Todorov, Viktor - In: Journal of financial economics 150 (2023) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
Cover Image
Risk and return : long-run relations, fractional cointegration, and return predictability
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - In: Journal of financial economics 108 (2013) 2, pp. 409-424
Persistent link: https://www.econbiz.de/10009749332
Cover Image
Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 1, pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
Cover Image
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
Cover Image
Modeling and forecasting realized volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 579-625
Persistent link: https://www.econbiz.de/10001750369
Cover Image
Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - In: The journal of finance : the journal of the American … 66 (2011) 6, pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108
Cover Image
Leverage and volatility feedback effects in high-frequency data
Bollerslev, Tim; Litvinova, Julia; Tauchen, George Eugene - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 353-384
Persistent link: https://www.econbiz.de/10003354051
Cover Image
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