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Modeling and pricing long-memory in stock market volatility

Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - 1994

Persistent link: https://www.econbiz.de/10000896214

Answering the critics : yes, arch models do provide good volatility forecasts

Andersen, Torben; Bollerslev, Tim - 1997

Persistent link: https://www.econbiz.de/10000627888

Financial market efficiency tests

Bollerslev, Tim; Hodrick, Robert J. - 1992

Persistent link: https://www.econbiz.de/10000136709

Volatility forecasting

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005

Persistent link: https://www.econbiz.de/10002685057

Tails, fears and risk premia

Bollerslev, Tim; Todorov, Viktor - 2009

Persistent link: https://www.econbiz.de/10003849565

Oil shocks and external balances

Kilian, Lutz; Rebucci, Alessandro; Spatafora, Nikola - 2007

Persistent link: https://www.econbiz.de/10003473565

Diagnosis and prediction of market rebounds in financial markets

Yan, Wanfeng; Woodard, Ryan; Sornette, Didier - 2010

We introduce the concept of “negative bubbles” as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the Johansen-Ledoit-Sornette (JLS) model of rational expectation...

Persistent link: https://www.econbiz.de/10003979508

Roughing it up : including jump components in the measurement, modeling and forecasting of return volatility

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2005

Persistent link: https://www.econbiz.de/10003586300

Oil shocks and external balances

Kilian, Lutz; Rebucci, Alessandro; Spatafora, Nikola - 2007

Persistent link: https://www.econbiz.de/10003492294

Jump tails, extreme dependencies, and the distribution of stock returns

Bollerslev, Tim; Todorov, Viktor - 2010

Persistent link: https://www.econbiz.de/10008659419

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