T
Tim Bollerslev
Researcher at Duke University
Publications - 215
Citations - 86945
Tim Bollerslev is an academic researcher from Duke University. The author has contributed to research in topics: Volatility (finance) & Realized variance. The author has an hindex of 97, co-authored 206 publications receiving 81670 citations. Previous affiliations of Tim Bollerslev include Aarhus University & Northwestern University.
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Volume, Volatility and Public News Announcements
Tim Bollerslev,Jia Li,Yuan Xue +2 more
TL;DR: The authors provided new empirical evidence for the way in which financial markets process information based on high-frequency intraday data along with new econometric techniques for making inference on the relationship between trading intensity and spot volatility around public news announcements.
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Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions
TL;DR: In this paper, the authors construct daily house price indexes for ten major U.S. metropolitan areas, based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the procedure used in the construction of the popular monthly Case-Shiller house price index.
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From zero to hero: Realized partial (co)variances
TL;DR: In this article, a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen et al. (2010) and Bollerslev et.al. (2020a) is proposed to allow for a finer decomposition of realized (co)variances.
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Granular Betas and Risk Premium Functions
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Glossary to ARCH (GARCH)
TL;DR: The literature on modeling and forecasting time-varying volatility is ripe with acronyms and abbreviations used to describe the many different parametric models that have been put forth since the original linear ARCH model introduced in the seminal Nobel Prize winning paper by Engle (1982).