2023 - Research.com Economics and Finance in United States Leader Award
2011 - Fellow of the American Statistical Association (ASA)
1999 - Fellows of the Econometric Society
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 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
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.
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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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev;Tim Bollerslev.
Journal of Econometrics (1986)
ARCH modeling in finance: A review of the theory and empirical evidence
Tim Bollerslev;Ray Y. Chou;Kenneth F. Kroner.
Journal of Econometrics (1992)
Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model.
The Review of Economics and Statistics (1990)
A Capital Asset Pricing Model with Time-varying Covariances
Tim Bollerslev;Robert F. Engle;Jeffrey M. Wooldridge.
Journal of Political Economy (1988)
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Tim Bollerslev;Jeffrey M. Wooldridge.
Econometric Reviews (1992)
MODELING AND FORECASTING REALIZED VOLATILITY
Torben G. Andersen;Tim Bollerslev;Francis X. Diebold;Paul Labys.
ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS*
Torben G. Andersen;Tim Bollerslev.
International Economic Review (1998)
A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN
The Review of Economics and Statistics (1987)
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Richard T. Baillie;Tim Bollerslev;Hans Ole Mikkelsen.
Journal of Econometrics (1996)
The Distribution of Realized Exchange Rate Volatility
Torben G Andersen;Tim Bollerslev;Francis X Diebold;Paul Labys.
Journal of the American Statistical Association (2001)
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