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Tail risk premia and return predictability
Bollerslev, Tim; Todorov, Viktor; Xu, Lai - In: Journal of financial economics 118 (2015) 1, pp. 113-134
Persistent link: https://www.econbiz.de/10011480379
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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
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Roughing it up : including jump components in the measurement, modeling and forecasting of return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2005
Persistent link: https://www.econbiz.de/10003217674
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High-frequency data, frequency domain inference, and volatility forecasting
Bollerslev, Tim; Wright, Jonathan H. - In: The review of economics and statistics 83 (2001) 4, pp. 596-602
Persistent link: https://www.econbiz.de/10001627219
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Some like it smooth, and some like it rough : untanging continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003
Persistent link: https://www.econbiz.de/10001846702
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Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001899970
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Modeling and forecasting realized volatility
Anderson, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002020013
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High frequency data, frequency domain inference and volatility forecasting
Wright, Jonathan H.; Bollerslev, Tim - 1999
Persistent link: https://www.econbiz.de/10001433207
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Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001440693
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The distribution of stock return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001476423