Tim Bollerslev | Scholars@Duke

Tim Bollerslev
Juanita and Clifton Kreps Professor of Economics, in Trinity College of Arts and Sciences

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 Professor of Economics, in Trinity College of Arts and Sciences, Economics, Trinity College of Arts & Sciences 1998
Professor of Economics, Economics, Trinity College of Arts & Sciences 1998

Contact Information

228E Social Sciences, Box 90097, Durham, NC 27708
Box 90097, Durham, NC 27708-0097
tim.bollerslev@duke.edu (919) 660-1846
http://econ.duke.edu/~boller

Background
Education, Training, & Certifications
- Ph.D., University of California at San Diego 1986
- M.S., University of Aarhus 1983
Recognition
In the News
- JUN 28, 2016
  
  Economists Celebrate 30th Anniversary of Bollerslev’s GARCH Model
Awards & Honors
Publications & Artistic Works
Selected Publications
- Books
  - Volatility and Time Series Econometrics: Essays in Honor of Robert Engle. Edited by T Bollerslev, J Russell, and M Watson. 2010.
- Book Sections
  - Bollerslev, T, Andersen, T, and Diebold, FX. "Parametric and Nonparametric Volatility Measurement." In Handbook of Financial Econometrics, edited by Y Aït-Sahalia and LP Hansen. Elsevier Science BV, 2010. (Chapter)
  - Andersen, TG, Bollerslev, T, Christoffersen, PF, and Diebold, FX. "Volatility and Correlation Forecasting." In Handbook of Economic Forecasting, edited by G Elliott, C Granger, and A Timmermann, 777-878. May 2006.
  - Bollerslev, T, Engle, RF, and Nelson, DB. "Chapter 49 Arch models." 2959-3038. 1994. Full Text
  - Bollerslev, T, Engle, RF, and Nelson, DB. "Arch models." In Handbook of Econometrics, edited by RF Engle and D McFadden, 2959-3038. June 1986.
  - Bollerslev, T. "Glossary to ARCH (GARCH)." .
- Journal Articles
  - Bollerslev, T, Patton, AJ, and Wang, W. "Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions." Journal of Applied Econometrics 31, no. 6 (September 2016): 1005-1025.
  - Bollerslev, T, Li, SZ, and Todorov, V. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns." Journal of Financial Economics 120, no. 3 (June 2016): 464-490. Full Text
  - Bollerslev, T, Patton, AJ, and Quaedvlieg, R. "Exploiting the errors: A simple approach for improved volatility forecasting." Journal of Econometrics 192, no. 1 (May 2016): 1-18. Full Text
  - Bollerslev, T, Todorov, V, and Xu, L. "Tail risk premia and return predictability." Journal of Financial Economics 118, no. 1 (October 2015): 113-134. Full Text
  - Bollerslev, T, Xu, L, and Zhou, H. "Stock return and cash flow predictability: The role of volatility risk." Journal of Econometrics 187, no. 2 (August 2015): 458-471. Full Text
  - Kontoghiorghes, EJ, Van Dijk, HK, Belsley, DA, Bollerslev, T, Diebold, FX, Dufour, J-M, Engle, R, Harvey, A, Koopman, SJ, Pesaran, H, Phillips, PC, Smith, RJ, West, M, Yao, Q, Amendola, A, Billio, M, Chen, CW, Chiarella, C, Colubi, A, Deistler, M, Francq, C, Hallin, M, Jacquier, E, Judd, K, Koop, G, Lütkepohl, H, MacKinnon, JG, Mittnik, S, Omori, Y, Pollock, D, Proietti, T, Rombouts, JV, Scaillet, O, Semmler, W, So, MK, Steel, M, Taylor, R, Tzavalis, E, Zakoian, J-M, Boswijk, HP, and Luati, A et al. "CFEnetwork: The Annals of Computational and Financial Econometrics." Computational Statistics & Data Analysis 76 (August 2014): 1-3. Full Text
  - Bollerslev, T, Marrone, J, Xu, L, and Zhou, H. "Stock return predictability and variance risk premia: Statistical inference and international evidence." Journal of Financial and Quantitative Analysis 49, no. 3 (January 1, 2014): 633-661. (Review) Full Text
  - Bollerslev, T, and Todorov, V. "Time-varying jump tails." Journal of Econometrics 183, no. 2 (January 1, 2014): 168-180. Full Text
  - Bollerslev, T, Osterrieder, D, Sizova, N, and Tauchen, G. "Risk and return: Long-run relations, fractional cointegration, and return predictability." Journal of Financial Economics 108, no. 2 (2013): 409-424. Full Text
  - Bollerslev, T, Todorov, V, and Li, SZ. "Jump tails, extreme dependencies, and the distribution of stock returns." Journal of Econometrics 172, no. 2 (2013): 307-324. Full Text
  - Bollerslev, T, Sizova, N, and Tauchen, G. "Volatility in equilibrium: Asymmetries and dynamic dependencies." Review of Finance 16, no. 1 (2012): 31-80. Full Text
  - Tim, B, Jesper, CB, Niels, H, and Asger, L. "Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction." Journal of Time Series Econometrics 3, no. 1 (February 2011): 1-8.
  - Andersen, TG, Bollerslev, T, and Huang, X. "A reduced form framework for modeling volatility of speculative prices based on realized variation measures." Journal of Econometrics 160, no. 1 (2011): 176-189. Full Text
  - Andersen, TG, Bollerslev, T, and Meddahi, N. "Realized volatility forecasting and market microstructure noise." Journal of Econometrics 160, no. 1 (2011): 220-234. Full Text
  - Bollerslev, T, Gibson, M, and Zhou, H. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities." Journal of Econometrics 160, no. 1 (2011): 235-245. Full Text
  - Bollerslev, T, and Todorov, V. "Estimation of jump tails." Econometrica 79, no. 6 (2011): 1727-1783. Full Text
  - Bollerslev, T, and Todorov, V. "Tails, Fears, and Risk Premia." Journal of Finance 66, no. 6 (2011): 2165-2211. Full Text
  - Andersen, TG, Bollerslev, T, Frederiksen, P, and Nielsen, MØ. "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns." Journal of Applied Econometrics 25, no. 2 (2010): 233-261. Full Text
  - Todorov, V, and Bollerslev, T. "Jumps and betas: A new framework for disentangling and estimating systematic risks." Journal of Econometrics 157, no. 2 (2010): 220-235. Full Text
  - Bollerslev, T, Kretschmer, U, Pigorsch, C, and Tauchen, G. "A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects." Journal of Econometrics 150, no. 2 (2009): 151-166. Full Text Open Access Copy
  - Bollerslev, T, Tauchen, G, and Zhou, H. "Expected stock returns and variance risk premia." Review of Financial Studies 22, no. 11 (2009): 4463-4492. Full Text
  - Bollerslev, T, Law, TH, and Tauchen, G. "Risk, jumps, and diversification." Journal of Econometrics 144, no. 1 (2008): 234-256. Full Text Open Access Copy
  - Andersen, TG, Bollerslev, T, Diebold, FX, and Vega, C. "Real-time price discovery in global stock, bond and foreign exchange markets." Journal of International Economics 73, no. 2 (2007): 251-277. Full Text
  - Andersen, TG, Bollerslev, T, and Diebold, FX. "Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility." Review of Economics and Statistics 89, no. 4 (2007): 701-720. Full Text
  - Andersen, TG, Bollerslev, T, and Dobrev, D. "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." Journal of Econometrics 138, no. 1 (2007): 125-180. Full Text
  - Bollerslev, T, Anderson, TG, and Diebold, FX. "Roughing it Up: Disentangling Continuous and Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility." Review of Financial Studies. (2007). (Academic Article)
  - Peng, L, Xiong, W, and Bollerslev, T. "Investor attention and time-varying comovements." European Financial Management 13, no. 3 (2007): 394-422. Full Text
  - Andersen, TG, Bollerslev, T, Diebold, FX, and Wu, G. "Realized Beta: Persistence and Predictability." Advances in Econometrics 20 PART 2 (2006): 1-39. Full Text
  - Andersen, TG, Bollerslev, T, Frederiksen, PH, and Nielsen, M. "Comment." Journal of Business and Economic Statistics 24, no. 2 (2006): 173-179. Full Text
  - Bollerslev, T, Litvinova, J, and Tauchen, G. "Leverage and volatility feedback effects in high-frequency data." Journal of Financial Econometrics 4, no. 3 (2006): 353-384. Full Text
  - Bollerslev, T, and Zhou, H. "Volatility puzzles: A simple framework for gauging return-volatility regressions." Journal of Econometrics 131, no. 1-2 (2006): 123-150. Full Text
  - Andersen, TG, Bollerslev, T, Diebold, FX, Wu, J, and Brandt, M. "A framework for exploring the macroeconomic determinants of systematic risk." American Economic Review 95, no. 2 (2005): 398-404. Full Text
  - Andersen, TG, Bollerslev, T, and Meddahi, N. "Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities." Econometrica 73, no. 1 (2005): 279-296. Open Access Copy
  - Andersen, TG, Bollerslev, T, and Meddahi, N. "Analytical evaluation of volatility forecasts." International Economic Review 45, no. 4 (2004): 1079-1110. Full Text
  - Andersen, TG, Bollerslev, T, Diebold, FX, and Labys, P. "Modeling and forecasting realized volatility." Econometrica 71, no. 2 (2003): 579-625.
  - Andersen, TG, Bollerslev, T, Diebold, FX, and Vega, C. "Micro effects of macro announcements: Real-time price discovery in foreign exchange." American Economic Review 93, no. 1 (2003): 38-62. Full Text
  - Bollerslev, T, and Zhang, BYB. "Measuring and modeling systematic risk in factor pricing models using high-frequency data." Journal of Empirical Finance 10, no. 5 (2003): 533-558. Full Text
  - Bollerslev, T, and Zhou, H. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility." Journal of Econometrics 109, no. 1 (2002): 33-65. Full Text Open Access Copy
  - Forsberg, L, and Bollerslev, T. "Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): The GARCH-NIG model." Journal of Applied Econometrics 17, no. 5 (2002): 535-548. Full Text
  - Andersen, TG, Bollerslev, T, Diebold, FX, and Ebens, H. "The distribution of realized stock return volatility." Journal of Financial Economics 61, no. 1 (2001): 43-76. Full Text
  - Andersen, TG, Bollerslev, T, Diebold, FX, and Labys, P. "The Distribution of Realized Exchange Rate Volatility." Journal of the American Statistical Association 96, no. 453 (2001): 42-55.
  - Andersen, TG, Bollerslev, T, and Das, A. "Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns." Journal of Finance 56, no. 1 (2001): 305-327.
  - Bollerslev, T, and Wright, JH. "High-frequency data, frequency domain inference, and volatility forecasting." Review of Economics and Statistics 83, no. 4 (2001): 596-602. Full Text
  - Bollerslev, T, and Wright, JR. "Volatility Forecasting, High-Frequency Data, and Frequency Domain Inference." Review of Economics and Statistics 83 (2001): 596-602. (Academic Article)
  - Bollerslev, T. "Financial econometrics: Past developments and future challenges." Journal of Econometrics 100, no. 1 (2001): 41-51. Full Text
  - Andersen, TG, Bollerslev, T, and Cai, J. "Intraday and interday volatility in the Japanese stock market." Journal of International Financial Markets, Institutions and Money 10, no. 2 (2000): 107-130.
  - Baillie, RT, and Bollerslev, T. "The forward premium anomaly is not as bad as you think." Journal of International Money and Finance 19, no. 4 (2000): 471-488. Open Access Copy
  - Bollerslev, T, Andersen, TG, Diebold, FX, and Labys, P. "Great Realizations." Risk 13 (2000): 105-108. (Academic Article)
  - Bollerslev, T, Cai, J, and Song, FM. "Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market." Journal of Empirical Finance 7, no. 1 (2000): 37-55.
  - Bollerslev, T, and Wright, JH. "Semiparametric Estimation of Long-Memory Volatility Dependencies." Journal of Econometrics 98, no. 1 (2000): 81-106. (Academic Article) Open Access Copy
  - Andersen, TG, Bollerslev, T, and Lange, S. "Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon." Journal of Empirical Finance 6, no. 5 (1999): 457-477.
  - Bollerslev, T, and Jubinski, D. "Equity trading volume and volatility: Latent information arrivals and common long-run dependencies." Journal of Business and Economic Statistics 17, no. 1 (1999): 9-21. Open Access Copy
  - Bollerslev, T, and Mikkelsen, HO. "Long-term equity anticipation securities and stock market volatility dynamics." Journal of Econometrics 92, no. 1 (1999): 75-99. Open Access Copy
  - Dewhirst, MW, and Mitchell, JB. "Introduction." Semin Radiat Oncol 8, no. 3 (July 1998): 141-142. Link to Item
  - Andersen, TG, and Bollerslev, T. "Answering the skeptics: Yes, standard volatility models do provide accurate forecasts." International Economic Review 39, no. 4 (1998): 885-905.
  - Andersen, TG, and Bollerslev, T. "Towards a unified framework for high and low frequency return volatility modeling." Statistica Neerlandica 52, no. 3 (1998): 273-302.
  - Andersen, TG, and Bollerslev, T. "Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies." Journal of Finance 53, no. 1 (1998): 219-265.
  - Andersen, TG, and Bollerslev, T. "Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns." Journal of Finance 52, no. 3 (1997): 975-1005.
  - Andersen, TG, and Bollerslev, T. "Intraday periodicity and volatility persistence in financial markets." Journal of Empirical Finance 4, no. 2-3 (1997): 115-158.
  - Bollerslev, T, Domowitz, I, and Wang, J. "Order flow and the bid-ask spread: An empirical probability model of screen-based trading." Journal of Economic Dynamics and Control 21, no. 8-9 (1997): 1471-1491.
  - Baillie, RT, Bollerslev, T, and Mikkelsen, HO. "Fractionally integrated generalized autoregressive conditional heteroskedasticity." Journal of Econometrics 74, no. 1 (1996): 3-30. Full Text
  - Bollerslev, T, and Ghysels, E. "Periodic autoregressive conditional heteroscedasticity." Journal of Business and Economic Statistics 14, no. 2 (1996): 139-151.
  - Bollerslev, T, and Mikkelsen, HO. "Modeling and pricing long memory in stock market volatility." Journal of Econometrics 73, no. 1 (1996): 151-184. Full Text
  - Bollerslev, T, and Rossi, PE. "Dan Nelson Remembered." Journal of Business and Economic Statistics 13, no. 4 (October 1995). Open Access Copy
  - BAILLIE, RT, and BOLLERSLEV, T. "COINTEGRATION, FRACTIONAL COINTEGRATION, AND EXCHANGE-RATE DYNAMICS." JOURNAL OF FINANCE 49, no. 2 (June 1994): 737-745. Full Text Link to Item
  - Baillie, RT, and Bollerslev, T. "The long memory of the forward premium." Journal of International Money and Finance 13, no. 5 (1994): 565-571.
  - Bollerslev, T, and Melvin, M. "Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis." Journal of International Economics 36, no. 3-4 (1994): 355-372. Open Access Copy
  - BOLLERSLEV, T, and DOMOWITZ, I. "TRADING PATTERNS AND PRICES IN THE INTERBANK FOREIGN-EXCHANGE MARKET." JOURNAL OF FINANCE 48, no. 4 (September 1993): 1421-1443. Full Text Link to Item
  - BOLLERSLEV, T, and ENGLE, RF. "COMMON PERSISTENCE IN CONDITIONAL VARIANCES." ECONOMETRICA 61, no. 1 (January 1993): 167-186. Full Text Open Access Copy Link to Item
  - Baillie, RT, Bollerslev, T, and Redfearn, MR. "Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange." Journal of International Money and Finance 12, no. 5 (1993): 511-521.
  - Baillie, RT, and Bollerslev, T. "Prediction in dynamic models with time-dependent conditional variances." Journal of Econometrics 52, no. 1-2 (1992): 91-113. Open Access Copy
  - Bollerslev, T, Chou, RY, and Kroner, KF. "ARCH modeling in finance. A review of the theory and empirical evidence." Journal of Econometrics 52, no. 1-2 (1992): 5-59.
  - BAILLIE, RT, and BOLLERSLEV, T. "INTRADAY AND INTER-MARKET VOLATILITY IN FOREIGN-EXCHANGE RATES." REVIEW OF ECONOMIC STUDIES 58, no. 3 (May 1991): 565-585. Full Text Link to Item
  - Bollerslev, T, and Domowitz, I. "Price Volatility, Spread Variability and the Role of Alternative Market Mechanisms." Review of Futures Markets 10, no. 1 (1991): 78-102. (Academic Article)
  - BOLLERSLEV, T. "MODELING THE COHERENCE IN SHORT-RUN NOMINAL EXCHANGE-RATES - A MULTIVARIATE GENERALIZED ARCH MODEL." REVIEW OF ECONOMICS AND STATISTICS 72, no. 3 (August 1990): 498-505. Full Text Link to Item
  - Baillie, RT, and Bollerslev, T. "A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets." Journal of International Money and Finance 9, no. 3 (1990): 309-324. Open Access Copy
  - Baillie, RT, and Bollerslev, T. "The Message in Daily Exchange Rates: A Conditional-Variance Tale." Journal of Business & Economic Statistics 7, no. 3 (July 1989): 297-305. Full Text
  - BAILLIE, RT, and BOLLERSLEV, T. "COMMON STOCHASTIC TRENDS IN A SYSTEM OF EXCHANGE-RATES." JOURNAL OF FINANCE 44, no. 1 (March 1989): 167-181. Full Text Link to Item
  - BOLLERSLEV, T, ENGLE, RF, and WOOLDRIDGE, JM. "A CAPITAL-ASSET PRICING MODEL WITH TIME-VARYING COVARIANCES." JOURNAL OF POLITICAL ECONOMY 96, no. 1 (February 1988): 116-131. Full Text Open Access Copy Link to Item
  - Bollerslev, T. "On the Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process." Journal of Time Series Analysis 9, no. 2 (1988): 121-131. (Academic Article)
  - BOLLERSLEV, T. "A CONDITIONALLY HETEROSKEDASTIC TIME-SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN." REVIEW OF ECONOMICS AND STATISTICS 69, no. 3 (August 1987): 542-547. Full Text Link to Item
  - Bollerslev Robert, T, and Engle, F. "Modelling the Persistence of Conditional Variances and 'Reply'." Econometric Reviews 5, no. 1 (1986). (Academic Article)
  - Bollerslev, T. "Generalized autoregressive conditional heteroskedasticity." Journal of Econometrics 31, no. 3 (1986): 307-327.
  - Engle, RF, and Bollerslev, T. "Reply." Econometric Reviews 5, no. 1 (January 1986): 81-87. Full Text
  - BOLLERSLEV, T, and HYLLEBERG, S. "A NOTE ON THE RELATION BETWEEN CONSUMERS EXPENDITURE AND INCOME IN THE UNITED-KINGDOM." OXFORD BULLETIN OF ECONOMICS AND STATISTICS 47, no. 2 (1985): 153-170. Link to Item
  - Bollerslev, T, Chou, RY, Jayaraman, N, and Kroner, KF. "Les modéles ARCH en finance : un point sur la théorie et les résultats empiriques." Annales d'Economie et de Statistique , no. 24.
- Other Articles
  - Bollerslev, T, Li, SZ, and Zhao, B. "Good Volatility, Bad Volatility and the Cross-Section of Stock Returns." (January 26, 2017). (Working Paper)
  - Bollerslev, T, Patton, AJ, and Quaedvlieg, R. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions." (April 5, 2016).
  - Bollerslev, T, Hood, B, Huss, J, and Pedersen, LH. "Risk Everywhere: Modeling and Managing Volatility." (January 26, 2016). (Working Paper)
  - Andersen, TG, Bollerslev, T, Christoffersen, P, and Diebold, FX. "Financial Risk Measurement for Financial Risk Management." (May 2012). (Working Paper)
  - Bollerslev, T, and Zhou, H. "Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65]." 119, no. 1 (March 2004): 221-222. (Corrigendum)
  - Bollerslev, T, and Zhou, H. "Erratum: Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Journal of Econometircs (2002) 109 (33-65) PII: S0304407601001415)." Journal of Econometrics 119, no. 1 (2004): 221-222. (Corrigendum) Full Text
  - Andersen, TG, and Bollerslev, T. "Answering the Critics: Yes, Arch Models Do Provide Good Volatility Forecasts." (April 1997). (Working Paper)
  - Bollerslev, T, and Hodrick, RJ. "Financial Market Efficiency Tests." (June 1992). (Working Paper)
  - Andersen, TG, Bollerslev, T, Diebold, FX, and Labys, P. "Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian."
  - Bollerslev, T, and Wooldridge, JM. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances."
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