Browsing by Duke-affiliated Author "Bollerslev, Tim"

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  • Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. (Handbook of Econometrics, 1994)
    This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univerate parametric ARCH models, general inference ...
  • Bollerslev, Tim; Andersen, T.G.; Diebold, F.X. (American Economic Review, 2005)
    The increasing availability of high-frequency asset return data has had a fundamental impact on empirical financial economics, focusing attention on asset return volatility and correlation dynamics, with key applications ...
  • Bollerslev, Tim; Baillie, Richard T. (Journal of International Money and Finance, 1994)
    The estimation of ARFIMA models by approximate maximum likelihood estimation methods, reveals the forward premia for the currencies of Canada, Germany and the UK vis-à-vis the US dollar, to be well described by a fractionally ...
  • Bollerslev, Tim; Andersen, T.G.; Diebold, F. X.; Vega, C. (American Economic Review, 2003)
    Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot ...
  • Bollerslev, Tim; Andersen, T.G.; Diebold, F. X.; Labys, P. (Econometrica, 2003)
    We provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Most procedures for ...
  • Bollerslev, Tim; Ghysels, Eric (Journal of Business and Economic Statistics, 1996)
    Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a new class of models featuring periodicity in conditional heteroscedasticity explicitly designed to capture the repetitive ...
  • Bollerslev, Tim; Law, Tzuo Hann; Tauchen, George (Elsevier, 2008)
    We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and an equiweighted index constructed from the same stocks. Using a new test for common jumps that explicitly utilizes the ...