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Economics and Finance
USA
2026

D-Index & Metrics

Economics and Finance

D-Index
101
Citations
170607
World Ranking
96
National Ranking
75

Research.com Recognitions

  • 2026 - Research.com Economics and Finance in United States Leader Award
  • 2025 - Research.com Economics and Finance in United States Leader Award
  • 2024 - Research.com Economics and Finance in United States Leader Award
  • 2011 - Fellow of the American Statistical Association (ASA)
  • 1999 - Fellows of the Econometric Society

Overview

Tim Bollerslev is affiliated with Duke University in the United States and has contributed extensively to the field of Economics, Econometrics, and Finance. Their research primarily spans various subfields such as Finance, Economics and Econometrics, General Economics, Econometrics and Finance, Statistics and Probability, and Management Science and Operations Research.

Their body of work often addresses key topics including Financial Risk and Volatility Modeling, Market Dynamics and Volatility, Financial Markets and Investment Strategies, Stochastic processes and financial applications, Monetary Policy and Economic Impact, Statistical Methods and Inference, and Forecasting Techniques and Applications.

Recent papers authored by Tim Bollerslev cover a range of topics mostly related to volatility and covariance modeling in financial markets. These include:

  • Multivariate leverage effects and realized semicovariance GARCH models (2020, Journal of Econometrics)
  • Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal (2021, Journal of Financial Econometrics)
  • From zero to hero: Realized partial (co)variances (2021, Journal of Econometrics)
  • Fixed- k inference for volatility (2021, Quantitative Economics)
  • Realized Semi(Co)Variation: Signs that All Volatilities are Not Created Equal (2021, SSRN Electronic Journal)

They frequently publish in venues such as the Journal of Econometrics, SSRN Electronic Journal, Journal of Financial Econometrics, Quantitative Economics, and the American Economic Review.

Collaborations have been a significant part of their scholarly work, with frequent coauthors including Jia Li, Andrew J. Patton, Rogier Quaedvlieg, Yuexuan Ren, and Qiyuan Li.

Tim Bollerslev's research has been recognized by professional organizations, receiving honors such as becoming a Fellow of the American Statistical Association in 2011 and a Fellow of the Econometric Society in 1999.

Best Publications

  • Generalized autoregressive conditional heteroskedasticity

    Tim Bollerslev;Tim Bollerslev

  • ARCH modeling in finance: A review of the theory and empirical evidence

    Tim Bollerslev;Ray Y. Chou;Kenneth F. Kroner

  • Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model.

    Tim Bollerslev

  • MODELING AND FORECASTING REALIZED VOLATILITY

    Torben G. Andersen;Tim Bollerslev;Francis X. Diebold;Paul Labys

  • A Capital Asset Pricing Model with Time-varying Covariances

    Tim Bollerslev;Robert F. Engle;Jeffrey M. Wooldridge

  • ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS*

    Torben G. Andersen;Tim Bollerslev

  • Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

    Tim Bollerslev;Jeffrey M. Wooldridge

  • A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN

    Tim Bollerslev

  • Fractionally integrated generalized autoregressive conditional heteroskedasticity

    Richard T. Baillie;Tim Bollerslev;Hans Ole Mikkelsen

  • The Distribution of Realized Exchange Rate Volatility

    Torben G Andersen;Tim Bollerslev;Francis X Diebold;Paul Labys

  • The distribution of realized stock return volatility

    Torben G. Andersen;Tim Bollerslev;Francis X. Diebold;Heiko Ebens

  • Generalized autoregressive conditional heteroscedasticity

    T. Bollerslev

  • An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate

    K. C. Chan;G. Andrew Karolyi;Francis A. Longstaff;Anthony B. Sanders

  • Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

    Torben Andersen;Tim Bollerslev;Francis Diebold

  • Expected Stock Returns and Variance Risk Premia

    Tim Bollerslev;George Tauchen;Hao Zhou

  • Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange *

    Torben G. Andersen;Tim Bollerslev;Francis X. Diebold;Clara Vega

  • Intraday periodicity and volatility persistence in financial markets

    Torben G. Andersen;Tim Bollerslev

  • MODELING AND PRICING LONG- MEMORY IN STOCK MARKET VOLATILITY

    Tim Bollerslev;Hans Ole Mikkelsen

  • Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

    Torben G. Andersen;Tim Bollerslev

  • Expected Stock Returns and Variance Risk Premia

    Unknown

  • The Message in Daily Exchange Rates: A Conditional-Variance Tale

    Richard T. Baillie;Tim Bollerslev

Frequent Co-Authors

Torben G. Andersen
Torben G. Andersen Northwestern University
Francis X. Diebold
Francis X. Diebold University of Pennsylvania
Richard T. Baillie
Richard T. Baillie King's College London
Hao Zhou
Hao Zhou Tsinghua University
George Tauchen
George Tauchen Duke University
Andrew J. Patton
Andrew J. Patton Duke University
Peter Christoffersen
Peter Christoffersen University of Toronto
Lasse Heje Pedersen
Lasse Heje Pedersen Copenhagen Business School
Eric Ghysels
Eric Ghysels University of North Carolina at Chapel Hill
Robert F. Engle
Robert F. Engle New York University

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