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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

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

Chapter 15 Volatility and Correlation Forecasting

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2006

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

Persistent link: https://www.econbiz.de/10014023691

Equity clusters through the lens of realized semicorrelations

Bollerslev, Tim; Patton, Andrew J.; Zhang, Haozhe - In: Economics letters 211 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10013172536

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

Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns

Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor - In: Journal of financial economics 120 (2016) 3, pp. 464-490

Persistent link: https://www.econbiz.de/10011590229

Tail risk premia and return predictability

Bollerslev, Tim; Todorov, Viktor; Xu, Lai - 2014

Persistent link: https://www.econbiz.de/10010442441

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

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

Realized semi(co)variation : signs that all volatilities are not created equal

Bollerslev, Tim - In: Journal of financial econometrics 20 (2022) 2, pp. 219-252

Persistent link: https://www.econbiz.de/10013187965

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