Tim Bollerslev | Academic Influence

Tim Bollerslev's AcademicInfluence.com Rankings

Tim Bollerslev

Economics

#421

World Rank

#524

Historical Rank

Financial Economics

#6

World Rank

#6

Historical Rank

Econometrics

#15

World Rank

#16

Historical Rank

economics Degrees

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Economics

Tim Bollerslev's Degrees

PhD Economics University of California, San Diego
Masters Economics University of California, San Diego
Bachelors Economics University of Copenhagen

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Why Is Tim Bollerslev Influential?

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According to Wikipedia, Tim Peter Bollerslev is a Danish economist, currently the Juanita and Clifton Kreps Professor of Economics at Duke University. A fellow of the Econometric Society, Bollerslev is known for his ideas for measuring and forecasting financial market volatility and for the GARCH model.

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Tim Bollerslev's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Generalized autoregressive conditional heteroskedasticity (1986) (20667)
ARCH modeling in finance: A review of the theory and empirical evidence (1992) (4337)
Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model (1990) (3613)
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992) (3412)
Modeling and Forecasting Realized Volatility (2001) (3373)
A Capital Asset Pricing Model with Time-Varying Covariances (1988) (3169)
ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS* (1998) (3155)
A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN (1987) (2677)
Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996) (2243)
The distribution of realized stock return volatility (2001) (2081)
The Distribution of Realized Exchange Rate Volatility (2000) (1969)
Expected Stock Returns and Variance Risk Premia (2007) (1465)
Intraday periodicity and volatility persistence in financial markets (1997) (1300)
MODELING AND PRICING LONG- MEMORY IN STOCK MARKET VOLATILITY (1996) (1247)
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2005) (1229)
Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998) (1069)
ARCH MODELS a (1994) (1045)
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (2006) (1039)
The Message in Daily Exchange Rates (1989) (1005)
Tails, Fears and Risk Premia (2009) (693)
Common Stochastic Trends in a System of Exchange Rates (1989) (661)
The Distribution of Exchange Rate Volatility (1999) (598)
Chapter 49 Arch models (1994) (555)
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities (2007) (516)
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES (1991) (507)
Generalized autoregressive conditional heteroskedasticity with applications in finance (1986) (499)
VOLATILITY AND CORRELATION FORECASTING (2006) (445)
Leverage and Volatility Feedback Effects in High-Frequency Data (2005) (420)
Periodic Autoregressive Conditional Heteroskedasticity (1994) (379)
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics (1994) (369)
Trading Patterns and Prices in the Interbank Foreign Exchange Market (1993) (366)
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon (1999) (363)
The forward premium anomaly is not as bad as you think (2000) (332)
Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility (2001) (322)
Glossary to ARCH (GARCH) (2008) (319)
Bid—ask spreads and volatility in the foreign exchange market: An empirical analysis (1994) (313)
Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities (2005) (312)
COMMON PERSISTENCE IN CONDITIONAL VARIANCES (1993) (308)
Prediction in dynamic models with time-dependent conditional variances (1992) (303)
No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models Subject to Leverage Effects, Jumps and I.I.D. Noise: Theory and Testable Distributional Implications (2007) (302)
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990) (300)
Exploiting the errors: A simple approach for improved volatility forecasting (2016) (288)
Tail risk premia and return predictability (2014) (283)
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence (2011) (276)
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (2004) (273)
Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market (2000) (270)
ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS (1988) (257)
Dm-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1996) (254)
Risk, Jumps, and Diversification (2007) (243)
Quasi-maximum likelihood estimation of dynamic models with time varying covariances (1988) (240)
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (2007) (239)
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (2007) (229)
Realized Beta: Persistence and Predictability (2004) (222)
The long memory of the forward premium (1994) (221)
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects (2007) (221)
Analytical Evaluation of Volatility Forecasts (2002) (216)
Realized volatility forecasting and market microstructure noise (2011) (214)
Equity trading volume and volatility: Latent information arrivals and common long-run dependencies (1999) (210)
A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures (2008) (207)
Intraday and interday volatility in the Japanese stock market (2000) (180)
Risk Everywhere: Modeling and Managing Volatility (2017) (178)
Chapter 15 Volatility and Correlation Forecasting (2006) (169)
Long-term equity anticipation securities and stock market volatility dynamics (1999) (168)
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (2005) (162)
Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability (2013) (147)
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks (2007) (147)
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2009) (146)
Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regression (2004) (135)
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data (2000) (135)
Jump tails, extreme dependencies, and the distribution of stock returns (2013) (133)
High-Frequency Data, Frequency Domain Inference, and Volatility Forecasting (1999) (133)
Roughing up Beta: Continuous versus Discontinuous Betas and the Cross Section of Expected Stock Returns (2016) (125)
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (2003) (124)
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH‐NIG model (2002) (122)
Volatility and Time Series Econometrics (2010) (122)
Measuring and modeling systematic risk in factor pricing models using high-frequency data (2003) (122)
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns (2001) (117)
Estimation of Jump Tails (2010) (117)
Answering the Critics: Yes, Arch Models Do Provide Good Volatility Forecasts (1997) (113)
Financial Risk Measurement for Financial Risk Management (2011) (105)
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation * (1999) (101)
Spurious Factors in Linear Asset Pricing Models (2015) (94)
Investor Attention and Time-Varying Comovements (2006) (88)
Financial econometrics: Past developments and future challenges (2001) (83)
Financial Market Efficiency Tests (1992) (81)
Volume, Volatility, and Public News Announcements (2018) (79)
Time-Varying Jump Tails (2014) (69)
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions (2016) (68)
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange (1993) (67)
Good Volatility, Bad Volatility and the Cross-Section of Stock Returns (2018) (58)
A Discrete-Time Model for Daily S&P 500 Returns and Realized Variations: Jumps and Leverage Effects (2005) (54)
Stock Return and Cash Flow Predictability: The Role of Volatility Risk (2012) (50)
Volatility puzzles: a unified framework for gauging return-volatility regressions (2003) (46)
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions (2013) (43)
Order flow and the bid-ask spread: An empirical probability model of screen-based trading (1997) (37)
No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects and Jumps: Theory and Testable Distributional Implications* (2005) (32)
A social network analysis of research collaboration in the economics community (2006) (30)
Daily House Price Indices: Construction, Modeling, and Longer-run Predictions: DAILY HOUSE PRICE INDICES (2016) (30)
Towards a unified framework for high and low frequency return volatility modeling (2001) (29)
ARCH and GARCH Models (2010) (29)
Multivariate Leverage Effects and Realized Semicovariance GARCH Models (2018) (28)
A Semiparametric Framework for Modelling and Forecasting Jumps and Volatility in Speculative Prices (2006) (28)
A Conditional-Variance Tale (1989) (24)
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities (2002) (24)
Realized Semicovariances (2017) (22)
Good Volatility, Bad Volatility, and the Cross Section of Stock Returns (2020) (22)
Testing for Market Microstructure Effects in Intraday Volatility: a Reassessment of the Tokyo FX Experiment (1998) (16)
High-dimensional multivariate realized volatility estimation (2019) (16)
Parametric and Nonparametric Measurements of Volatility: Volume 1: Tools and Techniques (2010) (12)
Dan Nelson Remembered (1995) (10)
Realized Semi(Co)Variation: Signs that All Volatilities are Not Created Equal (2021) (8)
A Summary of the Conference on Real-Time Data Analysis (2002) (8)
Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65] (2004) (7)
Realized semibetas: Disentangling “good” and “bad” downside risks (2021) (7)
Realized Return Volatility, Asset Pricing, and Risk Management (2006) (7)
Realized Semibetas: Signs of Things to Come (2020) (6)
Realized Beta: Persistence and Predictability: Advances in Econometrics, Volume 20 (2006) (5)
Financial Institutions Center Parametric and Nonparametric Volatility Measurement (2002) (5)
A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom (2009) (5)
Investor Attention and Time-varying (2007) (5)
Some Effects of Restricting the Electronic Order Book in an Automated Trade Execution System (2018) (5)
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES (1988) (3)
ARCH MODELS Prepared for The Handbook of Econometrics , Volume 4 (1993) (3)
On Periodic Autogressive Conditional Heteroskedasticity (1994) (3)
From zero to hero: Realized partial (co)variances (2021) (3)
Introduction: Modelling Stock Market Volatility—Bridging the Gap to Continuous Time (1996) (3)
CHAPTER 2 Parametric and Nonparametric Volatility Measurement (2011) (3)
CFEnetwork: The annals of computational and financial econometrics, 3rd issue (2014) (2)
2009-26 Tails , Fears and Risk Premia (2009) (2)
Fixed‐ k inference for volatility (2021) (2)
Realized SemiCovariances: Looking for Signs of Direction Inside the Covariance Matrix (2017) (2)
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction (2011) (2)
Generalized Jump Regressions for Local Moments (2020) (2)
Version of July 30 , 2008 forthcoming in Volatility and Time Series Econometrics : Essays in Honor of Robert (2008) (1)
Research Paper 2008-49 Glossary to ARCH ( GARCH ) (2007) (1)
Occupation density estimation for noisy high-frequency data (2020) (1)
(Appendix to Realized Beta: Persistence and Predictability, by Andersen, Bollerslev, Diebold and Wu, 2004) Analysis of Monthly Realized Beta Based on High-Frequency Intraday Data* (2004) (1)
Supplemental Appendix to: Risk Everywhere: Modeling and Managing Volatility (2017) (1)
Equity Clusters through the Lens of Realized Semicorrelations (2021) (1)
Measuring CAPM beta and Empirical Analysis on the Effects of Jumps (2011) (0)
Optimal Nonparametric Range-Based Volatility Estimation (2022) (0)
Supplemental Appendix to : Realized Semicovariances (2019) (0)
Research Paper 2010-16 Estimation of Jump Tails (2011) (0)
Jumps, Leverage and Risk Premiums (2022) (0)
The story of GARCH: A personal odyssey (2023) (0)
Supplemental Appendix to : Modeling and Forecasting ( Un ) Reliable Realized Covariances for More Reliable Financial Decisions This version : February 7 , 2018 (2018) (0)
Relative Contribution of Common Jumps in Realized Correlation (2012) (0)
Modeling and forecasting financial market volatility: past developments and new directions (2010) (0)
Asger Lunde : Realized Variance and Market Microstructure Noise by (2005) (0)
Good Volatility , Bad Volatility , and the Expected Stock Returns ∗ (2014) (0)
News and Asset Pricing: A High-Frequency Anatomy of the SDF (2022) (0)
Bear Squeezes in the Hyperinflation 1920s Foreign Exchange (1991) (0)
Reprint of: Generalized Autoregressive Conditional Heteroskedasticity (2023) (0)
Intraday Market Return Predictability Culled from the Factor Zoo (2023) (0)
Volatility and Public News Announcements (2016) (0)
Forecasting and Managing Correlation Risks (2022) (0)
Review Article: Volatility (2018) (0)
Supplementary Appendix to Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2011) (0)
Granular Betas and Risk Premium Functions (2022) (0)
High-Dimensional Multivariate Realized Volatility Estimation (Supplemental Materials) (2018) (0)
CAHIER 29-2001 (2002) (0)
The Distortionary Eects of Market Microstructure Noise on Volatility Forecasts (2010) (0)
Comment (2006) (0)
Online Supplemental Appendix to “Fixed-k Inference for Volatility” (2020) (0)
About this Research Review (2014) (0)

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