Skip to main content

Tim Bollerslev

Juanita and Clifton Kreps Distinguished Professor of Economics, in Trinity College of Arts and Sciences
Economics
Box 90097, Durham, NC 27708-0097
228E Social Sciences, Box 90097, Durham, NC 27708

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

In the News


Published September 5, 2018
Tim Bollerslev Awarded Carlsberg Foundation Research Prize
Published June 28, 2016
Economists Celebrate 30th Anniversary of Bollerslev’s GARCH Model

View All News

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 Cite

Intraday 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 Cite

Forecasting and Managing Correlation Risks

Journal Article · September 9, 2024 Cite
View All Publications

Education, Training & Certifications


University of California, San Diego · 1986 Ph.D.
University of Aarhus (Denmark) · 1983 M.S.

External Links


Personal Website