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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. - In: The review of economics and statistics 89 (2007) 4, pp. 701-720
Persistent link: https://www.econbiz.de/10003567164
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Real-time price discovery in global stock, bond and foreign exchange markets
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2006
Persistent link: https://www.econbiz.de/10003393564
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Financial risk measurement for financial risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2012
Persistent link: https://www.econbiz.de/10009553634
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - 2011
Persistent link: https://www.econbiz.de/10009559410
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 79 (2011) 6, pp. 1727-1783
Persistent link: https://www.econbiz.de/10009425124
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Financial risk measurement for financial risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2013
Persistent link: https://www.econbiz.de/10009696029
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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - 2011
Persistent link: https://www.econbiz.de/10009406434
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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 633-661
Persistent link: https://www.econbiz.de/10010487089
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - In: The journal of finance : the journal of the American … 66 (2011) 6, pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108