Tim Bollerslev | Scholars@Duke

Tim Bollerslev
Juanita and Clifton Kreps Distinguished 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 Distinguished 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
- SEP 5, 2018
  
  Tim Bollerslev Awarded Carlsberg Foundation Research Prize
- JUN 28, 2016
  
  Economists Celebrate 30th Anniversary of Bollerslev’s GARCH Model
Awards & Honors
Publications & Artistic Works
Selected Publications
- Books
  - Bollerslev, T., J. R. Russell, and M. W. Watson. Volatility and Time Series Econometrics: Essays in Honor of Robert Engle, 2010. https://doi.org/10.1093/acprof:oso/9780199549498.001.0001.
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- Academic Articles
  - Bollerslev, T., N. Meddahi, and S. Nyawa. “High-dimensional multivariate realized volatility estimation.” Journal of Econometrics 212, no. 1 (September 1, 2019): 116–36. https://doi.org/10.1016/j.jeconom.2019.04.023.
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  - Bollerslev, T., J. Li, and Y. Xue. “Volume, volatility, and public news announcements.” Review of Economic Studies 85, no. 4 (October 1, 2018): 2005–41. https://doi.org/10.1093/restud/rdy003.
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  - Bollerslev, Tim, Andrew J. Patton, and Rogier Quaedvlieg. “Multivariate Leverage Effects and Realized Semicovariance GARCH Models,” April 16, 2018.
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  - Bollerslev, Tim, Benjamin Hood, John Huss, and Lasse Heje Pedersen. “Risk Everywhere: Modeling and Managing Volatility,” February 2018.
  - Bollerslev, Tim, Andrew J. Patton, and Rogier Quaedvlieg. “Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions” 207, no. 1 (2018): 71–91.
  - Bollerslev, Tim, Andrew J. Patton, and Rogier Quaedvlieg. “Realized Semicovariances: Looking for Signs of Direction Inside the Covariance Matrix.” Economic Research Initiatives at Duke (Erid) Working Paper, no. 252 (September 5, 2017).
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  - Bollerslev, Tim, Andrew J. Patton, and Wenjing Wang. “Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions.” Journal of Applied Econometrics 31, no. 6 (September 2016): 1005–25.
  - Bollerslev, T., S. Z. Li, and V. Todorov. “Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns.” Journal of Financial Economics 120, no. 3 (June 1, 2016): 464–90. https://doi.org/10.1016/j.jfineco.2016.02.001.
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  - Bollerslev, T., A. J. Patton, and R. Quaedvlieg. “Exploiting the errors: A simple approach for improved volatility forecasting.” Journal of Econometrics 192, no. 1 (May 1, 2016): 1–18. https://doi.org/10.1016/j.jeconom.2015.10.007.
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  - Bollerslev, T., L. Xu, and H. Zhou. “Stock return and cash flow predictability: The role of volatility risk.” Journal of Econometrics 187, no. 2 (August 1, 2015): 458–71. https://doi.org/10.1016/j.jeconom.2015.02.031.
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  - Bollerslev, T., V. Todorov, and L. Xu. “Tail risk premia and return predictability.” Journal of Financial Economics 118, no. 1 (January 1, 2015): 113–34. https://doi.org/10.1016/j.jfineco.2015.02.010.
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  - Bollerslev, T., and V. Todorov. “Time-varying jump tails.” Journal of Econometrics 183, no. 2 (January 1, 2014): 168–80. https://doi.org/10.1016/j.jeconom.2014.05.007.
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  - Kontoghiorghes, E. J., H. K. Van Dijk, D. A. Belsley, T. Bollerslev, F. X. Diebold, J. M. Dufour, R. Engle, et al. “CFEnetwork: The Annals of computational and financial econometrics: 2nd issue.” Computational Statistics and Data Analysis 76 (January 1, 2014): 1–3. https://doi.org/10.1016/j.csda.2014.04.006.
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  - Andersen, Torben G., Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold. “Financial Risk Measurement for Financial Risk Management” 2, no. PB (2013): 1127–1220.
  - Bollerslev, T., V. Todorov, and S. Z. Li. “Jump tails, extreme dependencies, and the distribution of stock returns.” Journal of Econometrics 172, no. 2 (January 1, 2013): 307–24. https://doi.org/10.1016/j.jeconom.2012.08.014.
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  - Bollerslev, T., N. Sizova, and G. Tauchen. “Volatility in equilibrium: Asymmetries and dynamic dependencies.” Review of Finance 16, no. 1 (2012): 31–80. https://doi.org/10.1093/rof/rfr005.
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  - Bollerslev, T., and V. Todorov. “Tails, Fears, and Risk Premia.” Journal of Finance 66, no. 6 (December 1, 2011): 2165–2211. https://doi.org/10.1111/j.1540-6261.2011.01695.x.
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  - Bollerslev, T., and V. Todorov. “Estimation of jump tails.” Econometrica 79, no. 6 (November 1, 2011): 1727–83. https://doi.org/10.3982/ECTA9240.
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  - Tim, Bollerslev, Christensen Bent Jesper, Haldrup Niels, and Lunde Asger. “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, T. G., T. Bollerslev, and N. Meddahi. “Realized volatility forecasting and market microstructure noise.” Journal of Econometrics 160, no. 1 (January 1, 2011): 220–34. https://doi.org/10.1016/j.jeconom.2010.03.032.
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  - Andersen, T. G., T. Bollerslev, and X. Huang. “A reduced form framework for modeling volatility of speculative prices based on realized variation measures.” Journal of Econometrics 160, no. 1 (January 1, 2011): 176–89. https://doi.org/10.1016/j.jeconom.2010.03.029.
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  - Bollerslev, T., M. Gibson, and H. Zhou. “Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.” Journal of Econometrics 160, no. 1 (January 1, 2011): 235–45. https://doi.org/10.1016/j.jeconom.2010.03.033.
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  - Bollerslev, Tim, James Marrone, Lai Xu, and Hao Zhou. “Stock return predictability and variance risk premia: statistical inference and international evidence,” 2011.
  - Todorov, V., and T. Bollerslev. “Jumps and betas: A new framework for disentangling and estimating systematic risks.” Journal of Econometrics 157, no. 2 (August 1, 2010): 220–35. https://doi.org/10.1016/j.jeconom.2009.11.010.
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  - Andersen, T. G., T. Bollerslev, P. Frederiksen, and M. Ø. Nielsen. “Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns.” Journal of Applied Econometrics 25, no. 2 (March 1, 2010): 233–61. https://doi.org/10.1002/jae.1105.
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  - Bollerslev, T., G. Tauchen, and H. Zhou. “Expected stock returns and variance risk premia.” Review of Financial Studies 22, no. 11 (November 1, 2009): 4463–92. https://doi.org/10.1093/rfs/hhp008.
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  - Bollerslev, T., U. Kretschmer, C. Pigorsch, and G. Tauchen. “A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects.” Journal of Econometrics 150, no. 2 (June 1, 2009): 151–66. https://doi.org/10.1016/j.jeconom.2008.12.001.
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  - Bollerslev, T., T. H. Law, and G. Tauchen. “Risk, jumps, and diversification.” Journal of Econometrics 144, no. 1 (May 1, 2008): 234–56. https://doi.org/10.1016/j.jeconom.2008.01.006.
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  - Andersen, T. G., T. Bollerslev, F. X. Diebold, and C. Vega. “Real-time price discovery in global stock, bond and foreign exchange markets.” Journal of International Economics 73, no. 2 (November 1, 2007): 251–77. https://doi.org/10.1016/j.jinteco.2007.02.004.
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  - Andersen, T. G., T. Bollerslev, and F. X. Diebold. “Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility.” Review of Economics and Statistics 89, no. 4 (November 1, 2007): 701–20. https://doi.org/10.1162/rest.89.4.701.
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  - Peng, L., W. Xiong, and T. Bollerslev. “Investor attention and time-varying comovements.” European Financial Management 13, no. 3 (June 1, 2007): 394–422. https://doi.org/10.1111/j.1468-036X.2007.00366.x.
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  - Andersen, T. G., T. Bollerslev, and D. Dobrev. “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 (May 1, 2007): 125–80. https://doi.org/10.1016/j.jeconom.2006.05.018.
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  - Bollerslev, Tim, Torben G. Anderson, and Francis X. Diebold. “Roughing it Up: Disentangling Continuous and Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility..” Review of Financial Studies., 2007.
  - Bollerslev, T., J. Litvinova, and G. Tauchen. “Leverage and volatility feedback effects in high-frequency data.” Journal of Financial Econometrics 4, no. 3 (June 1, 2006): 353–84. https://doi.org/10.1093/jjfinec/nbj014.
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  - Andersen, T. G., T. Bollerslev, F. X. Diebold, and G. Wu. “Realized Beta: Persistence and Predictability.” Advances in Econometrics 20 PART 2 (April 26, 2006): 1–39. https://doi.org/10.1016/S0731-9053(05)20020-8.
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  - Andersen, T. G., T. Bollerslev, P. H. Frederiksen, and M. Ø. Nielsen. “Comment.” Journal of Business and Economic Statistics 24, no. 2 (April 1, 2006): 173–79. https://doi.org/10.1198/073500106000000134.
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  - Bollerslev, T., and H. Zhou. “Volatility puzzles: A simple framework for gauging return-volatility regressions.” Journal of Econometrics 131, no. 1–2 (March 1, 2006): 123–50. https://doi.org/10.1016/j.jeconom.2005.01.006.
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  - Andersen, T. G., T. Bollerslev, F. X. Diebold, J. Wu, and M. Brandt. “A framework for exploring the macroeconomic determinants of systematic risk.” American Economic Review 95, no. 2 (May 1, 2005): 398–404. https://doi.org/10.1257/000282805774669574.
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  - Andersen, T. G., T. Bollerslev, and N. Meddahi. “Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities.” Econometrica 73, no. 1 (January 1, 2005): 279–96. https://doi.org/10.1111/j.1468-0262.2005.00572.x.
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  - Andersen, T. G., T. Bollerslev, and N. Meddahi. “Analytical evaluation of volatility forecasts.” International Economic Review 45, no. 4 (November 1, 2004): 1079–1110. https://doi.org/10.1111/j.0020-6598.2004.00298.x.
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  - Andersen, T. G., T. Bollerslev, F. X. Diebold, and C. Vega. “Micro effects of macro announcements: Real-time price discovery in foreign exchange.” American Economic Review 93, no. 1 (March 1, 2003): 38–62. https://doi.org/10.1257/000282803321455151.
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  - Andersen, T. G., T. Bollerslev, F. X. Diebold, and P. Labys. “Modeling and forecasting realized volatility.” Econometrica 71, no. 2 (January 1, 2003): 579–625. https://doi.org/10.1111/1468-0262.00418.
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  - Bollerslev, T., and B. Y. B. Zhang. “Measuring and modeling systematic risk in factor pricing models using high-frequency data.” Journal of Empirical Finance 10, no. 5 (January 1, 2003): 533–58. https://doi.org/10.1016/S0927-5398(03)00004-5.
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  - Forsberg, L., and T. Bollerslev. “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 (September 1, 2002): 535–48. https://doi.org/10.1002/jae.685.
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  - Bollerslev, T., and H. Zhou. “Estimating stochastic volatility diffusion using conditional moments of integrated volatility.” Journal of Econometrics 109, no. 1 (July 1, 2002): 33–65. https://doi.org/10.1016/S0304-4076(01)00141-5.
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  - Bollerslev, T., and J. H. Wright. “High-frequency data, frequency domain inference, and volatility forecasting.” Review of Economics and Statistics 83, no. 4 (November 1, 2001): 596–602. https://doi.org/10.1162/003465301753237687.
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  - Andersen, T. G., T. Bollerslev, F. X. Diebold, and H. Ebens. “The distribution of realized stock return volatility.” Journal of Financial Economics 61, no. 1 (July 1, 2001): 43–76. https://doi.org/10.1016/S0304-405X(01)00055-1.
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  - Andersen, T. G., T. Bollerslev, F. X. Diebold, and P. Labys. “The distribution of realized exchange rate volatility.” Journal of the American Statistical Association 96, no. 453 (March 1, 2001): 42–55. https://doi.org/10.1198/016214501750332965.
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  - Andersen, T. G., T. Bollerslev, and A. Das. “Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns.” Journal of Finance 56, no. 1 (January 1, 2001): 305–27. https://doi.org/10.1111/0022-1082.00326.
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  - Bollerslev, T. “Financial econometrics: Past developments and future challenges.” Journal of Econometrics 100, no. 1 (January 1, 2001): 41–51. https://doi.org/10.1016/S0304-4076(00)00052-X.
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  - Bollerslev, T., and J. R. Wright. “Volatility Forecasting, High-Frequency Data, and Frequency Domain Inference.” Review of Economics and Statistics 83 (2001): 596–602.
  - Andersen, T. G., T. Bollerslev, and J. Cai. “Intraday and interday volatility in the Japanese stock market.” Journal of International Financial Markets, Institutions and Money 10, no. 2 (January 1, 2000): 107–30. https://doi.org/10.1016/S1042-4431(99)00029-3.
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  - Baillie, R. T., and T. Bollerslev. “The forward premium anomaly is not as bad as you think.” Journal of International Money and Finance 19, no. 4 (January 1, 2000): 471–88. https://doi.org/10.1016/S0261-5606(00)00018-8.
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  - Bollerslev, T., J. Cai, and F. M. Song. “Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market.” Journal of Empirical Finance 7, no. 1 (January 1, 2000): 37–55. https://doi.org/10.1016/S0927-5398(00)00002-5.
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  - Bollerslev, T., Torben G. Andersen, Francis X. Diebold, and Paul Labys. “Great Realizations.” Risk 13 (2000): 105–8.
  - Bollerslev, T., and J. H. Wright. “Semiparametric Estimation of Long-Memory Volatility Dependencies.” Journal of Econometrics 98, no. 1 (2000): 81–106.
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  - Andersen, T. G., T. Bollerslev, and S. Lange. “Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon.” Journal of Empirical Finance 6, no. 5 (January 1, 1999): 457–77. https://doi.org/10.1016/S0927-5398(99)00013-4.
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  - Bollerslev, T., and D. Jubinski. “Equity trading volume and volatility: Latent information arrivals and common long-run dependencies.” Journal of Business and Economic Statistics 17, no. 1 (January 1, 1999): 9–21. https://doi.org/10.1080/07350015.1999.10524793.
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  - Bollerslev, T., and H. O. Mikkelsen. “Long-term equity anticipation securities and stock market volatility dynamics.” Journal of Econometrics 92, no. 1 (January 1, 1999): 75–99. https://doi.org/10.1016/S0304-4076(98)00086-4.
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  - Andersen, T. G., and T. Bollerslev. “Towards a unified framework for high and low frequency return volatility modeling.” Statistica Neerlandica 52, no. 3 (November 1, 1998): 273–302.
  - Dewhirst, M. W., and J. B. Mitchell. “Introduction..” Semin Radiat Oncol 8, no. 3 (July 1998): 141–42. https://doi.org/10.1016/s1053-4296(98)80039-8.
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  - Andersen, T. G., and T. Bollerslev. “Answering the skeptics: Yes, standard volatility models do provide accurate forecasts.” International Economic Review 39, no. 4 (January 1, 1998): 885–905. https://doi.org/10.2307/2527343.
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  - Andersen, T. G., and T. Bollerslev. “Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies.” Journal of Finance 53, no. 1 (January 1, 1998): 219–65. https://doi.org/10.1111/0022-1082.85732.
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  - Bollerslev, T., I. Domowitz, and J. Wang. “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 (June 29, 1997): 1471–91.
  - Andersen, T. G., and T. Bollerslev. “Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns.” Journal of Finance 52, no. 3 (January 1, 1997): 975–1005. https://doi.org/10.2307/2329513.
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  - Andersen, T. G., and T. Bollerslev. “Intraday periodicity and volatility persistence in financial markets.” Journal of Empirical Finance 4, no. 2–3 (January 1, 1997): 115–58. https://doi.org/10.1016/S0927-5398(97)00004-2.
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  - Baillie, R. T., T. Bollerslev, and H. O. Mikkelsen. “Fractionally integrated generalized autoregressive conditional heteroskedasticity.” Journal of Econometrics 74, no. 1 (January 1, 1996): 3–30. https://doi.org/10.1016/S0304-4076(95)01749-6.
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  - Bollerslev, T., and E. Ghysels. “Periodic autoregressive conditional heteroscedasticity.” Journal of Business and Economic Statistics 14, no. 2 (January 1, 1996): 139–51. https://doi.org/10.1080/07350015.1996.10524640.
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  - Bollerslev, T., and H. O. Mikkelsen. “Modeling and pricing long memory in stock market volatility.” Journal of Econometrics 73, no. 1 (January 1, 1996): 151–84. https://doi.org/10.1016/0304-4076(95)01736-4.
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  - Bollerslev, Tim, and Peter E. Rossi. “Dan Nelson Remembered..” Journal of Business and Economic Statistics 13, no. 4 (October 1995).
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  - BAILLIE, R. T., and T. BOLLERSLEV. “Cointegration, Fractional Cointegration, and Exchange Rate Dynamics.” The Journal of Finance 49, no. 2 (January 1, 1994): 737–45. https://doi.org/10.1111/j.1540-6261.1994.tb05161.x.
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  - Baillie, R. T., and T. Bollerslev. “The long memory of the forward premium.” Journal of International Money and Finance 13, no. 5 (January 1, 1994): 565–71. https://doi.org/10.1016/0261-5606(94)90005-1.
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  - Bollerslev, T., and M. Melvin. “Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis.” Journal of International Economics 36, no. 3–4 (January 1, 1994): 355–72. https://doi.org/10.1016/0022-1996(94)90008-6.
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  - BOLLERSLEV, T., and I. DOMOWITZ. “Trading Patterns and Prices in the Interbank Foreign Exchange Market.” The Journal of Finance 48, no. 4 (January 1, 1993): 1421–43. https://doi.org/10.1111/j.1540-6261.1993.tb04760.x.
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  - Baillie, R. T., T. Bollerslev, and M. R. Redfearn. “Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange.” Journal of International Money and Finance 12, no. 5 (January 1, 1993): 511–21. https://doi.org/10.1016/0261-5606(93)90037-C.
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  - Bollerslev, Tim, and Robert F. Engle. “Common Persistence in Conditional Variances.” Econometrica 61, no. 1 (January 1993): 167–167. https://doi.org/10.2307/2951782.
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  - Baillie, R. T., and T. Bollerslev. “Prediction in dynamic models with time-dependent conditional variances.” Journal of Econometrics 52, no. 1–2 (January 1, 1992): 91–113. https://doi.org/10.1016/0304-4076(92)90066-Z.
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  - Bollerslev, T., R. Y. Chou, and K. F. Kroner. “ARCH modeling in finance. A review of the theory and empirical evidence.” Journal of Econometrics 52, no. 1–2 (January 1, 1992): 5–59. https://doi.org/10.1016/0304-4076(92)90064-X.
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  - Baillie, R. T., and T. Bollerslev. “Intra-day and inter-market volatility in foreign exchange rates.” Review of Economic Studies 58, no. 3 (January 1, 1991): 565–85. https://doi.org/10.2307/2298012.
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  - Bollerslev, T., and Ian Domowitz. “Price Volatility, Spread Variability and the Role of Alternative Market Mechanisms.” Review of Futures Markets 10, no. 1 (1991): 78–102.
  - Bollerslev, Tim. “Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model.” The Review of Economics and Statistics 72, no. 3 (August 1990): 498–498. https://doi.org/10.2307/2109358.
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  - Baillie, R. T., and T. Bollerslev. “A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets.” Journal of International Money and Finance 9, no. 3 (January 1, 1990): 309–24. https://doi.org/10.1016/0261-5606(90)90012-O.
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  - BAILLIE, R. T., and T. BOLLERSLEV. “Common Stochastic Trends in a System of Exchange Rates.” The Journal of Finance 44, no. 1 (January 1, 1989): 167–81. https://doi.org/10.1111/j.1540-6261.1989.tb02410.x.
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  - Baillie, R. T., and T. Bollerslev. “The message in daily exchange rates: A conditional-variance tale.” Journal of Business and Economic Statistics 7, no. 3 (January 1, 1989): 297–305. https://doi.org/10.1080/07350015.1989.10509739.
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  - Bollerslev, Tim, Robert F. Engle, and Jeffrey M. Wooldridge. “A Capital Asset Pricing Model with Time-Varying Covariances.” Journal of Political Economy 96, no. 1 (February 1988): 116–31. https://doi.org/10.1086/261527.
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  - Bollerslev, T. “ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS.” Journal of Time Series Analysis 9, no. 2 (January 1, 1988): 121–31. https://doi.org/10.1111/j.1467-9892.1988.tb00459.x.
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  - Bollerslev, Tim. “A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return.” The Review of Economics and Statistics 69, no. 3 (August 1987): 542–542. https://doi.org/10.2307/1925546.
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  - Bollerslev, T. “Generalized autoregressive conditional heteroskedasticity.” Journal of Econometrics 31, no. 3 (January 1, 1986): 307–27. https://doi.org/10.1016/0304-4076(86)90063-1.
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  - Engle, R. F., and T. Bollerslev. “Reply.” Econometric Reviews 5, no. 1 (January 1, 1986): 81–87. https://doi.org/10.1080/07474938608800101.
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  - Engle, R. F., and T. Bollerslev. “Modelling the persistence of conditional variances.” Econometric Reviews 5, no. 1 (January 1, 1986): 1–50. https://doi.org/10.1080/07474938608800095.
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  - Bollerslev, T., and S. Hylleberg. “A NOTE ON THE RELATION BETWEEN CONSUMER'S EXPENDITURE AND INCOME IN THE UNITED KINGDOM.” Oxford Bulletin of Economics and Statistics 47, no. 2 (January 1, 1985): 153–70. https://doi.org/10.1111/j.1468-0084.1985.mp47002004.x.
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  - Bollerslev, Tim, Ray Y. Chou, Narayanan Jayaraman, and Kenneth F. Kroner. “Les modéles ARCH en finance : un point sur la théorie et les résultats empiriques.” Annales D’Economie Et De Statistique, no. 24 (n.d.).
- Book Sections
  - Tim, B. “Glossary to ARCH (GARCH).” In Volatility and Time Series Econometrics: Essays in Honor of Robert Engle, 2010. https://doi.org/10.1093/acprof:oso/9780199549498.003.0008.
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  - Bollerslev, T., T. Andersen, and F. X. Diebold. “Parametric and Nonparametric Volatility Measurement.” In Handbook of Financial Econometrics, edited by Y. Aït-Sahalia and L. P. Hansen. Elsevier Science BV, 2010.
  - Andersen, Torben G., Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold. “Volatility and Correlation Forecasting.” In Handbook of Economic Forecasting, edited by G. Elliott, C. Granger, and A. Timmermann, 1:777–878, 2006.
  - Bollerslev, T., R. F. Engle, and D. B. Nelson. “Chapter 49 Arch models,” 4:2959–3038, 1994. https://doi.org/10.1016/S1573-4412(05)80018-2.
    Full Text
  - Bollerslev, Tim, Robert F. Engle, and Daniel B. Nelson. “Arch models.” In Handbook of Econometrics, edited by R. F. Engle and D. McFadden, 4:2959–3038, 1986.
    Open Access Copy
- Other Articles
  - Bollerslev, T., S. Z. Li, and B. Zhao. “Good Volatility, Bad Volatility and the Cross-Section of Stock Returns,” January 26, 2017.
  - Bollerslev, T., A. J. Patton, and R. Quaedvlieg. “Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions,” April 5, 2016.
  - Bollerslev, T., B. Hood, J. Huss, and L. H. Pedersen. “Risk Everywhere: Modeling and Managing Volatility,” January 26, 2016.
  - Andersen, T. G., T. Bollerslev, P. Christoffersen, and F. X. Diebold. “Financial Risk Measurement for Financial Risk Management,” May 2012.
  - Bollerslev, T., and H. Zhou. “Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65],” March 2004.
  - Bollerslev, T., and H. Zhou. “Erratum: Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Journal of Econometircs (2002) 109 (33-65) PII: S0304407601001415).” Journal of Econometrics, 2004. https://doi.org/10.1016/j.jeconom.2003.10.016.
    Full Text
  - Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, and Paul Labys. “Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian,” January 2000.
  - Andersen, T. G., and T. Bollerslev. “Answering the Critics: Yes, Arch Models Do Provide Good Volatility Forecasts,” April 1997.
  - Bollerslev, T., and R. J. Hodrick. “Financial Market Efficiency Tests,” June 1992.
  - Bollerslev, T., and J. M. Wooldridge. “Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances.” Econometric Reviews, January 1, 1992. https://doi.org/10.1080/07474939208800229.
    Full Text
- Scholarly Editions
  - Bollerslev, Tim, Daniela Osterrieder, Natalia Sizova, and George Tauchen. “Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability,” n.d.
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