Overview
Professor Bollerslev conducts research in the areas of time-series econometrics, financial econometrics, and empirical asset pricing finance. He is particularly well known for his developments of econometric models and procedures for analyzing and forecasting financial market volatility. Much of Bollerslev’s recent research has focused on the analysis of newly available high-frequency intraday, or tick-by-tick, financial data and so-called realized volatility measures, macroeconomic news announcement effects, and the pricing of volatility risk. Recent reviews of his work are available in the two Handbook chapters "Volatility and Correlation Forecasting” (with Torben G. Andersen, Peter Christoffersen and Francis X. Diebold), Handbook of Economic Forecasting, (eds. Graham Elliott, Clive W.J. Granger and Allan Timmermann), 2006, and "Parametric and Nonparametric Volatility Measurement” (with Torben G. Andersen and Francis X. Diebold), in Handbook of Financial Econometrics, (eds. Yacine Aït-Sahalia and Lars P. Hansen), 2009.
Current Appointments & Affiliations
Juanita and Clifton Kreps Distinguished Professor of Economics, in Trinity College of Arts and Sciences
·
1998 - Present
Economics,
Trinity College of Arts & Sciences
Professor of Economics
·
1998 - Present
Economics,
Trinity College of Arts & Sciences
Recent Publications
News and Asset Pricing: A High-Frequency Anatomy of the SDF
Journal Article Review of Financial Studies · March 1, 2025 Utilizing real-time newswire data, together with a robustly estimated intraday stochastic discount factor (SDF), we identify and quantify the economic news that is priced. News related to monetary policy and finance on average accounts for most of the vari ... Full text CiteIntraday Market Return Predictability Culled from the Factor Zoo
Journal Article Management Science · January 2, 2025 We provide strong empirical evidence for time-series predictability of the intraday return on the aggregate market portfolio by exploiting lagged high-frequency cross-sectional returns on the factor zoo. Our results rely on the use of modern machi ... Full text CiteForecasting and Managing Correlation Risks
Journal Article · September 9, 2024 CiteEducation, Training & Certifications
University of California, San Diego ·
1986
Ph.D.
University of Aarhus (Denmark) ·
1983
M.S.