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Financial market efficiency tests
Bollerslev, Tim; Hodrick, Robert J. - 1992
Persistent link: https://www.econbiz.de/10000136709
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Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
Baillie, Richard; Bollerslev, Tim; Redfearn, Michael R. - 1991
Persistent link: https://www.econbiz.de/10000823527
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Generalized autoregressive conditional heteroskedasticity with applications in finance
Bollerslev, Tim - 1990
Persistent link: https://www.econbiz.de/10000788161
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Testing for market microstructure effects in intraday volatility : a reassessment of the Tokyo FX experiment
Anderson, Torben G.; Bollerslev, Tim; Das, Ashish - 1998
Persistent link: https://www.econbiz.de/10000673940
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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888
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Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben; Bollerslev, Tim - 1996
Persistent link: https://www.econbiz.de/10000603372
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ARCH models
Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - 1994
Persistent link: https://www.econbiz.de/10001327597
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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
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Common persistence in conditional variances
Bollerslev, Tim - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 1, pp. 167-186
Persistent link: https://www.econbiz.de/10001139697
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Intra-day and inter-market volatility in foreign exchange rates
Baillie, Richard - In: The review of economic studies 58 (1991) 4, pp. 565-585
Persistent link: https://www.econbiz.de/10001114302