Exploiting the errors: A simple approach for improved volatility forecasting
Bollerslev, Tim, Patton, Andrew J., Quaedvlieg, Rogier
Published in Journal of econometrics (01.05.2016)
Published in Journal of econometrics (01.05.2016)
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Journal Article
Real-time price discovery in global stock, bond and foreign exchange markets
Andersen, Torben G., Bollerslev, Tim, Diebold, Francis X., Vega, Clara
Published in Journal of international economics (01.11.2007)
Published in Journal of international economics (01.11.2007)
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Journal Article
Daily House Price Indices: Construction, Modeling, and Longer-run Predictions
Bollerslev, Tim, Patton, Andrew J., Wang, Wenjing
Published in Journal of applied econometrics (Chichester, England) (01.09.2016)
Published in Journal of applied econometrics (Chichester, England) (01.09.2016)
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Journal Article
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben G., Bollerslev, Tim, Frederiksen, Per, Ørregaard Nielsen, Morten
Published in Journal of applied econometrics (Chichester, England) (01.03.2010)
Published in Journal of applied econometrics (Chichester, England) (01.03.2010)
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Journal Article
The Distribution of Realized Exchange Rate Volatility
Andersen, Torben G, Bollerslev, Tim, Diebold, Francis X, Labys, Paul
Published in Journal of the American Statistical Association (01.03.2001)
Published in Journal of the American Statistical Association (01.03.2001)
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Journal Article
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Andersen, Torben G., Bollerslev, Tim, Diebold, Francis X., Vega, Clara
Published in The American economic review (01.03.2003)
Published in The American economic review (01.03.2003)
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Journal Article
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Baillie, Richard T., Bollerslev, Tim, Mikkelsen, Hans Ole
Published in Journal of econometrics (01.09.1996)
Published in Journal of econometrics (01.09.1996)
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Journal Article
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
Andersen, Torben G., Bollerslev, Tim, Meddahi, Nour
Published in International economic review (Philadelphia) (01.11.2004)
Published in International economic review (Philadelphia) (01.11.2004)
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Journal Article
Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon
Andersen, Torben G, Bollerslev, Tim, Lange, Steve
Published in Journal of empirical finance (01.12.1999)
Published in Journal of empirical finance (01.12.1999)
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Journal Article
Good Volatility, Bad Volatility, and the Cross Section of Stock Returns
Bollerslev, Tim, Li, Sophia Zhengzi, Zhao, Bingzhi
Published in Journal of financial and quantitative analysis (01.05.2020)
Published in Journal of financial and quantitative analysis (01.05.2020)
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Journal Article