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Time-varying jump tails
Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
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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
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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - 2010
Persistent link: https://www.econbiz.de/10003959796
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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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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - 2011
Persistent link: https://www.econbiz.de/10009559404
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Estimation of Jump Tails
Bollerslev, Tim - 2010
variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …
Persistent link: https://www.econbiz.de/10013144212
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Estimation of Jump Tails
Bollerslev, Tim - 2011
variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …
Persistent link: https://www.econbiz.de/10013133664
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Occupation density estimation for noisy high-frequency data
Zhang, Congshan; Li, Jia; Bollerslev, Tim - In: Journal of econometrics 227 (2022) 1, pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
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The jump leverage risk premium
Bollerslev, Tim; Todorov, Viktor - In: Journal of financial economics 150 (2023) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
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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