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Long-term equity anticipation securities and stock market volatility dynamics

Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - In: Journal of econometrics 92 (1999) 1, pp. 75-99

Persistent link: https://www.econbiz.de/10001400092

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

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

Exploiting the errors : a simple approach for improved volatility forecasting

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 192 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011610646

High-frequency data, frequency domain inference, and volatility forecasting

Bollerslev, Tim; Wright, Jonathan H. - In: The review of economics and statistics 83 (2001) 4, pp. 596-602

Persistent link: https://www.econbiz.de/10001627219

High frequency data, frequency domain inference and volatility forecasting

Wright, Jonathan H.; Bollerslev, Tim - 1999

Persistent link: https://www.econbiz.de/10001433207

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

High-dimensional multivariate realized volatility estimation

Bollerslev, Tim; Meddahi, Nour; Nyawa, Serge - In: Journal of econometrics 212 (2019) 1, pp. 116-136

Persistent link: https://www.econbiz.de/10012303903

Optimal Nonparametric Range-Based Volatility Estimation

Bollerslev, Tim; Li, Jia; Li, Qiyuan - 2022

We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data … together with a coupling-type argument to directly tailor the form of the nonparametric estimator to the specific volatility …

Persistent link: https://www.econbiz.de/10013405699

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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