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.
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