D-Index & Metrics Best Publications

D-Index & Metrics

Discipline name D-index D-index (Discipline H-index) only includes papers and citation values for an examined discipline in contrast to General H-index which accounts for publications across all disciplines. Citations Publications World Ranking National Ranking
Economics and Finance D-index 95 Citations 219,003 138 World Ranking 59 National Ranking 49

Research.com Recognitions

Awards & Achievements

2011 - Fellow of the American Statistical Association (ASA)

1999 - Fellows of the Econometric Society

Overview

What is he best known for?

The fields of study he is best known for:

  • Statistics
  • Econometrics
  • Finance

Tim Bollerslev mostly deals with Econometrics, Volatility, Autoregressive conditional heteroskedasticity, Exchange rate and Financial economics. His Econometrics research incorporates themes from Univariate and Autocorrelation. His study on Volatility clustering is often connected to Empirical evidence as part of broader study in Autoregressive conditional heteroskedasticity.

The Conditional variance study combines topics in areas such as Statistics, Monte Carlo method, Heteroscedasticity, Capital asset pricing model and Inference. Tim Bollerslev combines subjects such as Autoregressive model and Time series with his study of Heteroscedasticity. In Autoregressive model, Tim Bollerslev works on issues like Autoregressive fractionally integrated moving average, which are connected to Conditional probability distribution.

His most cited work include:

  • Generalized autoregressive conditional heteroskedasticity (15540 citations)
  • Generalized autoregressive conditional heteroskedasticity (15540 citations)
  • ARCH modeling in finance: A review of the theory and empirical evidence (3787 citations)

What are the main themes of his work throughout his whole career to date?

His scientific interests lie mostly in Econometrics, Volatility, Realized variance, Stochastic volatility and Financial economics. His Econometrics study combines topics in areas such as Exchange rate and Equity. In general Volatility study, his work on Implied volatility often relates to the realm of Absolute return, thereby connecting several areas of interest.

His Realized variance study also includes fields such as

  • Variance risk premium most often made with reference to Predictability,
  • Asset allocation which connect with Covariance. His studies deal with areas such as Multivariate statistics and Heteroscedasticity as well as Autoregressive conditional heteroskedasticity. His Heteroscedasticity research includes elements of Conditional variance, Autoregressive model and Autocorrelation.

He most often published in these fields:

  • Econometrics (110.31%)
  • Volatility (76.34%)
  • Realized variance (40.08%)

What were the highlights of his more recent work (between 2013-2020)?

  • Econometrics (110.31%)
  • Volatility (76.34%)
  • Financial economics (33.21%)

In recent papers he was focusing on the following fields of study:

Tim Bollerslev mainly focuses on Econometrics, Volatility, Financial economics, Realized variance and Risk premium. His research in Econometrics intersects with topics in Equity and Asset allocation. Tim Bollerslev is interested in Stochastic volatility, which is a field of Volatility.

His work deals with themes such as Asset and Heteroscedasticity, which intersect with Financial economics. In his research, Market portfolio, Leverage, Autoregressive conditional heteroskedasticity and High dimensional is intimately related to Multivariate statistics, which falls under the overarching field of Realized variance. His work carried out in the field of Risk premium brings together such families of science as Stylized fact, Predictability and Variance risk premium.

Between 2013 and 2020, his most popular works were:

  • Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence (138 citations)
  • Exploiting the errors: A simple approach for improved volatility forecasting (138 citations)
  • Tail Risk Premia and Return Predictability (128 citations)

In his most recent research, the most cited papers focused on:

  • Statistics
  • Finance
  • Econometrics

Tim Bollerslev focuses on Econometrics, Risk premium, Volatility, Equity and Estimation. His Econometrics study incorporates themes from Financial economics and Contrast. His Financial economics research integrates issues from Sample and Autocorrelation.

His Risk premium research is multidisciplinary, relying on both Predictability and Variance risk premium. The study incorporates disciplines such as Covariance and Portfolio in addition to Volatility. His Equity research incorporates themes from Beta and Market price.

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

Best Publications

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev;Tim Bollerslev.
Research Papers in Economics (1986)

30357 Citations

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

Tim Bollerslev;Ray Y. Chou;Kenneth F. Kroner.
Journal of Econometrics (1992)

6680 Citations

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

Tim Bollerslev.
The Review of Economics and Statistics (1990)

4754 Citations

A Capital Asset Pricing Model with Time-varying Covariances

Tim Bollerslev;Robert F. Engle;Jeffrey M. Wooldridge.
Journal of Political Economy (1988)

4405 Citations

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

Tim Bollerslev;Jeffrey M. Wooldridge.
Econometric Reviews (1992)

4284 Citations

MODELING AND FORECASTING REALIZED VOLATILITY

Torben G. Andersen;Tim Bollerslev;Francis X. Diebold;Paul Labys.
Econometrica (2003)

4086 Citations

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

Torben G. Andersen;Tim Bollerslev.
International Economic Review (1998)

3814 Citations

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

Tim Bollerslev.
The Review of Economics and Statistics (1987)

3612 Citations

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Richard T. Baillie;Tim Bollerslev;Hans Ole Mikkelsen.
Journal of Econometrics (1996)

2954 Citations

The Distribution of Realized Exchange Rate Volatility

Torben G Andersen;Tim Bollerslev;Francis X Diebold;Paul Labys.
Journal of the American Statistical Association (2001)

2796 Citations

Best Scientists Citing Tim Bollerslev

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Siem Jan Koopman

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Francis X. Diebold

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Luis A. Gil-Alana

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Neil Shephard

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Wai Keung Li

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Profile was last updated on December 6th, 2021.
Research.com Ranking is based on data retrieved from the Microsoft Academic Graph (MAG).
The ranking d-index is inferred from publications deemed to belong to the considered discipline.

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