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List of works by Tim Bollerslev

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

scientific article published in February 2005

Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts

scientific article published in April 1997

DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

scientific article published in October 1996

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

scientific article published in January 2000

Financial Market Efficiency Tests

scientific article published in June 1992

Financial Risk Measurement for Financial Risk Management

scientific article published in May 2012

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns

scientific article published in September 1996

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

scientific article published in May 2002

Modeling and Forecasting Realized Volatility

scientific article published in March 2001

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

scientific article published in March 2007

Parametric and Nonparametric Volatility Measurement

Practical Volatility and Correlation Modeling for Financial Market Risk Management

scientific article published in January 2005

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

scientific article published in May 2005

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

scientific article published in November 2005

Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment

scientific article published in July 1998

The Distribution of Exchange Rate Volatility

scientific article published in February 1999

The Distribution of Stock Return Volatility

scientific article published in October 2000

Volatility Forecasting

scientific article published in March 2005