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Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim; Zhou, Hao - 2001
Persistent link: https://www.econbiz.de/10001637889
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The message in daily exchange rates : a conditional-variance tale
Baillie, Richard; Bollerslev, Tim - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 1, pp. 60-68
Persistent link: https://www.econbiz.de/10001639879
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Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro) : the GARCH-NIG model
Forsberg, Lars; Bollerslev, Tim - In: Journal of applied econometrics 17 (2002) 5, pp. 535-548
Persistent link: https://www.econbiz.de/10001709314
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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
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Volatility puzzles : a unified framework for gauging return-volatility regressions
Bollerslev, Tim; Zhou, Hao - 2003
Persistent link: https://www.econbiz.de/10001787397
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Micro effects of macro announcements : real-time price discovery in foreign exchange
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: The American economic review 93 (2003) 1, pp. 38-62
Persistent link: https://www.econbiz.de/10001767312
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Measuring and modeling systematic risk in factor pricing models using high-frequency data
Bollerslev, Tim; Zhang, Benjamin Y. B. - In: Journal of empirical finance 10 (2003) 5, pp. 533-558
Persistent link: https://www.econbiz.de/10001806961
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Some like it smooth, and some like it rough : untanging continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003
Persistent link: https://www.econbiz.de/10001846702
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Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001899970
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Micro effects of macro announcements : real-time price discovery in foreign exchange
Anderson, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002019989