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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

Tail risk premia and return predictability

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

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

Volatility and time series econometrics : essays in honor of Robert Engle

Bollerslev, Tim (ed.); Engle, Robert F. (honouree); … - 2010 - 1. publ.

Persistent link: https://www.econbiz.de/10003861657

Roughing it up : including jump components in the measurement, modeling and forecasting of return volatility

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2005

Persistent link: https://www.econbiz.de/10003586300

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

Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities

Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 1, pp. 279-296

Persistent link: https://www.econbiz.de/10002568170

Correcting the errors : a note on volatility forecast evaluation based on high-frequency data and realized volatilities

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947554

Risk everywhere : modeling and managing volatility

Bollerslev, Tim; Hood, Benjamin; Huss, John; Pedersen, … - In: The review of financial studies 31 (2018) 7, pp. 2729-2773

Persistent link: https://www.econbiz.de/10011927185

Risk everywhere : modeling and managing volatility

Bollerslev, Tim; Hood, Benjamin; Huss, John; Pedersen, … - 2018

Persistent link: https://www.econbiz.de/10011884274

Roughing up Beta : Continuous versus Discontinuous Betas and the Cross Section of Expected Stock Returns

Bollerslev, Tim - 2016

We investigate how individual equity prices respond to continuous and jumpy market price moves and how these different market price risks, or betas, are priced in the cross section of expected stock returns. Based on a novel high-frequency data set of almost one thousand stocks over two decades,...

Persistent link: https://www.econbiz.de/10013005591

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