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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

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

Answering the skeptics : yes, standard volatility models do provide accurate forecasts

Andersen, Torben - In: International economic review 39 (1998) 4, pp. 885-905

Persistent link: https://www.econbiz.de/10001338809

Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

Andersen, Torben; Bollerslev, Tim; Frederiksen, Per; … - In: Journal of applied econometrics 25 (2010) 2, pp. 233-261

Persistent link: https://www.econbiz.de/10008667607

Volatility and time series econometrics : essays in honor of Robert Engle

Bollerslev, Tim (ed.); Engle, Robert F. (honouree); … - 2010 - 1. publ.

Persistent link: https://www.econbiz.de/10003861657

Volatility in equilibrium : asymmetries and dynamic dependencies

Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - In: Review of finance : journal of the European Finance … 16 (2012) 1, pp. 31-80

Persistent link: https://www.econbiz.de/10009520608

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

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

Fixed-k inference for volatility

Bollerslev, Tim; Li, Jia; Liao, Zhipeng - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1053-1084

We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale … in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility …-to-calculate pointwise confidence intervals for the volatility at any given point in time. Extending the theory to a high …

Persistent link: https://www.econbiz.de/10012795628

Generalized jump regressions for local moments

Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025

Persistent link: https://www.econbiz.de/10012653221