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Browsing by Duke-affiliated Author "Bollerslev, Tim"

DukeSpace

Browsing by Duke-affiliated Author "Bollerslev, Tim"

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  • ARCH Models
    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 ...
  • A Capital Asset Pricing Model with Time Varying Covariances
    Bollerslev, Tim; Engle, Robert F.; Wooldridge, Jeffrey M. (Journal of Political Economy, 1988)
    The capital asset pricing model provides a theoretical structure for the pricing of assets with uncertain returns. The premium to induce risk-averse investors to bear risk is proportional to the nondiversifiable risk, which ...
  • Common Persistence in Conditional Variances
    Bollerslev, Tim; Engle, Robert F. (Econometrica, 1994)
    Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in Engle (1982), numerous applications of this modeling strategy have already appeared. A common finding in many of these studies with ...
  • Correcting the Errors: Volatility Forecast Evaluation using High-Frequency Data and Realized Volatilities
    Bollerslev, Tim; Andersen, T.G.; Meddahi, N. (Econometrica, 2005)
    We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric ...
  • Dan Nelson Remembered
    Bollerslev, Tim; Rossi, Peter E. (Journal of Business and Economic Statistics, 1995)
    Remembering Dan Nelson
  • Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies
    Bollerslev, Tim; Jubinski, P.D. (Journal of Business and Economic Statistics, 1999)
    This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard & Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally ...
  • "Estimating Stochastic Volatility Diffusions Using Conditional Moments of Integrated Volatility"
    Bollerslev, Tim; Zhou, Hao (Journal of Econometrics, 2002)
    We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical ...
  • The Forward Premium Anomaly is Not as Bad as You Think
    Bollerslev, Tim; Baillie, R.T. (Journal of International Money and Finance, 2000)
    The forward premium anomaly refers to the widespread empirical finding that the slope coefficient in the regression of the change in the logarithm of the spot exchange rate on the forward premium is invariably less than ...
  • A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    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 ...
  • The Long-Memory of the Forward Premium
    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 ...
  • Long-Term Equity Anticipation Securities and Stock Market Volatility Dynamics
    Bollerslev, Tim; Mikkelsen, H.O. (Journal of Econometrics, 1999)
    Recent empirical "ndings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing ...
  • "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange"
    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 ...
  • "Modeling and Forecasting Realized Volatility"
    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 ...
  • A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Markets
    Bollerslev, Tim; Baillie, Richard T. (Journal of International Money and Finance, 1990)
    This study examines spot and forward exchange rates at a weekly level for four different currencies. It is shown that the vector of forward market forecast errors can be parameterized as a vector moving average (MA) process ...
  • Periodic Autoregressive Conditional Heteroskedasticity
    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 ...
  • Prediction in Dynamic Models with Time Dependent Conditional Variances
    Bollerslev, Tim; Baillie, Richard T. (Journal of Econometrics, 1992)
    This paper considers forecasting the conditional mean and variance from a single-equation dynamic model with autocorrelated disturbances following an ARMA process, and innovations with time-dependent conditional ...
  • Risk, jumps, and diversification
    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 ...
  • Semiparametric Estimation of Long-Memory Volatility Dependencies
    Bollerslev, Tim; Wright, J.H. (Journal of Econometrics, 2000)
    Recent empirical studies have argued that the temporal dependencies in "nancial market volatility are best characterized by long memory, or fractionally integrated, time series models. Meanwhile, little is known about ...