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Tim Bollerslev

Tim Bollerslev

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

Selected Publications

Intraday Market Return Predictability Culled from the Factor Zoo

Journal Article Management Science · September 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

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

Granular betas and risk premium functions

Journal Article Journal of Econometrics · January 1, 2025 We propose new refined measures of the local covariation between the return on an asset and a risk factor. Our proposed “granular betas” generalize the notion of up- and down-side betas to multi-factor functional measures of covariation. We show how the re ... Full text Cite

Forecasting and Managing Correlation Risks

Journal Article · September 9, 2024 Cite

Optimal Inference for Spot Regressions

Journal Article American Economic Review · March 1, 2024 Betas from return regressions are commonly used to measure systematic financial market risks. “Good” beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonpar ... Full text Cite

Optimal nonparametric range-based volatility estimation

Journal Article Journal of Econometrics · January 1, 2024 We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data, comprised of the first, highest, lowest, and last price over a given time-interval. We rely on a decision-theoretic approach together with a c ... Full text Cite

The jump leverage risk premium

Journal Article Journal of Financial Economics · December 1, 2023 Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is commonly viewed as puzzling. We develop new model-free short-time risk-neutral variance expansions, allowing us to clearly delineate the importance of ju ... Full text Cite

The story of GARCH: A personal odyssey

Journal Article Journal of Econometrics · March 1, 2023 I provide a brief history of the origins of the GARCH model and my 1986 paper published in the Journal, along with a discussion of how the GARCH model and applications thereof have flourished since then. I also briefly highlight connections to the more rec ... Full text Cite

Reprint of: Generalized Autoregressive Conditional Heteroskedasticity

Journal Article Journal of Econometrics · March 1, 2023 A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelati ... Full text Cite

From zero to hero: Realized partial (co)variances

Journal Article Journal of Econometrics · December 1, 2022 This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen et al. (2010) and Bollerslev et al. (2020a) to allow for a finer decomposition of realized (co)variances. The new “realiz ... Full text Open Access Cite

Realized semibetas: Disentangling “good” and “bad” downside risks

Journal Article Journal of Financial Economics · April 1, 2022 We propose a new decomposition of the traditional market beta into four semibetas that depend on the signed covariation between the market and individual asset returns. We show that semibetas stemming from negative market and negative asset return covariat ... Full text Open Access Cite

Occupation density estimation for noisy high-frequency data

Journal Article Journal of Econometrics · March 1, 2022 This paper studies the nonparametric estimation of occupation densities for semimartingale processes observed with noise. As leading examples we consider the stochastic volatility of a latent efficient price process, the volatility of the latent noise that ... Full text Cite

Equity clusters through the lens of realized semicorrelations

Journal Article Economics Letters · February 1, 2022 We rely on newly-developed realized semicorrelations constructed from high-frequency returns together with hierarchical clustering and cross-validation techniques to identify groups of individual stocks that share common features. Implementing the new proc ... Full text Cite

Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal

Journal Article Journal of Financial Econometrics · January 1, 2022 I provide a selective review of recent developments in financial econometrics related to measuring, modeling, forecasting, and pricing "good"and "bad"volatilities based on realized variation type measures constructed from high-frequency intraday data. An e ... Full text Open Access Cite

Fixed-k inference for volatility

Journal Article Quantitative Economics · November 1, 2021 We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale asset price process. In contrast to existing theories based on the asymptotic notion of an increasing number of observations in local es ... Full text Cite

Generalized Jump Regressions for Local Moments

Journal Article Journal of Business and Economic Statistics · January 1, 2021 We develop new high-frequency-based inference procedures for analyzing the relationship between jumps in instantaneous moments of stochastic processes. The estimation consists of two steps: the nonparametric determination of the jumps as differences in loc ... Full text Cite

Multivariate leverage effects and realized semicovariance GARCH models

Journal Article Journal of Econometrics · August 1, 2020 We propose new asymmetric multivariate volatility models. The models exploit estimates of variances and covariances based on the signs of high-frequency returns, measures known as realized semivariances, semicovariances, and semicorrelations, to allow for ... Full text Open Access Cite

Realized Semibetas: Signs of Things to Come

Journal Article · February 20, 2020 Open Access Cite

Realized Semicovariances

Journal Article Econometrica: journal of the Econometric Society · 2020 Featured Publication We propose a decomposition of the realized covariance matrix into components based on the signs of the underlying high‐frequency returns, and we derive the asymptotic properties of the resulting realized semicovariance measures as the sampling interval goe ... Full text Open Access Cite

High-dimensional multivariate realized volatility estimation

Journal Article Journal of Econometrics · September 1, 2019 We provide a new factor-based estimator of the realized covolatility matrix, applicable in situations when the number of assets is large and the high-frequency data are contaminated with microstructure noises. Our estimator relies on the assumption of a fa ... Full text Cite

Volume, volatility, and public news announcements

Journal Article Review of Economic Studies · October 1, 2018 Featured Publication We provide new empirical evidence for the way in which financial markets process information. Our results rely critically on high-frequency intraday price and volume data for theS & P500 equity portfolio and U.S. Treasury bonds, along with new econometric ... Full text Cite

Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions

Journal Article · 2018 We propose a new framework for modeling and forecasting common financial risks based on (un)reliable realized covariance measures constructed from high-frequency intraday data. Our new approach explicitly incorporates the effect of measurement errors and t ... Cite

Engle, Robert F. (Born 1942)

Chapter · January 1, 2018 Robert Engle has published widely on topics ranging from urban economics to band spectrum regression, electricity demand, statespace modelling, testing, exogeneity, seasonality, option pricing, and market microstructure finance. Most notable, however, are ... Full text Cite

Daily House Price Indices: Construction, Modeling, and Longer-run Predictions

Scholarly Edition · September 1, 2016 We construct daily house price indices for 10 major US metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the methodology of ... Full text Open Access Cite

Volume, Volatility and Public News Announcements

Scholarly Edition · June 23, 2016 We provide new empirical evidence for the way in which financial markets process information. Our results are based on high-frequency intraday data along with new econometric techniques for making inference on the relationship between trading intensity and ... Cite

Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns

Journal Article Journal of Financial Economics · June 1, 2016 We investigate how individual equity prices respond to continuous and jumpy market price moves and how these different market price risks, or betas, are priced in the cross section of expected stock returns. Based on a novel high-frequency data set of almo ... Full text Cite

Exploiting the errors: A simple approach for improved volatility forecasting

Journal Article Journal of Econometrics · May 1, 2016 We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the asymptotic theory for high-frequency realized volatility estimation to improve the accuracy of the forecasts. By allowing the parameters of th ... Full text Cite

Exploiting the errors: A simple approach for improved volatility forecasting

Journal Article · 2016 We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the asymptotic theory for high-frequency realized volatility estimation to improve the accuracy of the forecasts. By allowing the parameters of th ... Cite

Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns

Journal Article · 2016 We investigate how individual equity prices respond to continuous and jumpy market price moves and how these different market price risks, or betas, are priced in the cross section of expected stock returns. Based on a novel high-frequency data set of almo ... Cite

Tail risk premia and return predictability

Journal Article Journal of Financial Economics · October 1, 2015 The variance risk premium, defined as the difference between the actual and risk-neutral expectations of the forward aggregate market variation, helps predict future market returns. Relying on a new essentially model-free estimation procedure, we show that ... Full text Cite

Stock return and cash flow predictability: The role of volatility risk

Journal Article Journal of Econometrics · August 1, 2015 We examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new evidence that the e ... Full text Cite

Tail risk premia and return predictability

Journal Article · 2015 The variance risk premium, defined as the difference between the actual and risk-neutral expectations of the forward aggregate market variation, helps predict future market returns. Relying on a new essentially model-free estimation procedure, we show that ... Cite

Stock return and cash flow predictability: The role of volatility risk

Journal Article · 2015 We examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new evidence that the e ... Cite

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Journal Article Journal of Financial and Quantitative Analysis · June 2014 Cite

CFEnetwork: The Annals of computational and financial econometrics: 2nd issue

Journal Article Computational Statistics and Data Analysis · January 1, 2014 Full text Cite

Time-varying jump tails

Journal Article Journal of Econometrics · January 1, 2014 We develop new methods for the estimation of time-varying risk-neutral jump tails in asset returns. In contrast to existing procedures based on tightly parameterized models, our approach imposes much fewer structural assumptions, relying on extreme-value t ... Full text Cite

Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions

Journal Article Economic Research Initiatives at Duke (ERID) · June 11, 2013 We construct daily house price indexes for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the procedure u ... Cite

Financial Risk Measurement for Financial Risk Management

Journal Article · 2013 Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce ... Cite

Jump tails, extreme dependencies, and the distribution of stock returns

Journal Article Journal of Econometrics · January 1, 2013 We provide a new framework for estimating the systematic and idiosyncratic jump tail risks in financial asset prices. Our estimates are based on in-fill asymptotics for directly identifying the jumps, together with Extreme Value Theory (EVT) approximations ... Full text Cite

Financial Risk Measurement for Financial Risk Management

Scholarly Edition · January 1, 2013 Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce ... Full text Cite

Volatility in equilibrium: Asymmetries and dynamic dependencies

Journal Article Review of Finance · 2012 Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective exp ... Full text Cite

Tails, Fears, and Risk Premia

Journal Article Journal of Finance · December 1, 2011 We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof, we identify and estimate a new Investor Fears index. The ... Full text Cite

Financial Risk Measurement for Financial Risk Management

Scholarly Edition · November 2, 2011 Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce ... Cite

Estimation of jump tails

Journal Article Econometrica · November 1, 2011 We propose a new and flexible nonparametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, ... Full text Cite

Stock return predictability and variance risk premia: statistical inference and international evidence

Journal Article · 2011 Recent empirical evidence suggests that the variance risk premium, or the difference between risk-neutral and statistical expectations of the future return variation, predicts aggregate stock market returns, with the predictability especially strong at the ... Cite

A reduced form framework for modeling volatility of speculative prices based on realized variation measures

Journal Article · January 2011 Building on realized variance and bipower variation measures constructed from high-frequency financial prices, we propose a simple reduced form framework for effectively incorporating intraday data into the modeling of daily return volatility. We decompose ... Cite

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Journal Article Review of Finance · 2011 Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective ... Cite

Realized volatility forecasting and market microstructure noise

Journal Article Journal of Econometrics · January 1, 2011 We extend the analytical results for reduced form realized volatility based forecasting in ABM (2004) to allow for market microstructure frictions in the observed high-frequency returns. Our results build on the eigenfunction representation of the general ... Full text Cite

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

Journal Article Journal of Econometrics · January 1, 2011 This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied vol ... Full text Cite

A reduced form framework for modeling volatility of speculative prices based on realized variation measures

Journal Article Journal of Econometrics · January 1, 2011 Building on realized variance and bipower variation measures constructed from high-frequency financial prices, we propose a simple reduced form framework for effectively incorporating intraday data into the modeling of daily return volatility. We decompose ... Full text Cite

Jumps and betas: A new framework for disentangling and estimating systematic risks

Journal Article · August 2010 We provide a new theoretical framework for disentangling and estimating the sensitivity towards systematic diffusive and jump risks in the context of factor models. Our estimates of the sensitivities towards systematic risks, or betas, are based on the not ... Cite

Jumps and betas: A new framework for disentangling and estimating systematic risks

Journal Article Journal of Econometrics · August 1, 2010 We provide a new theoretical framework for disentangling and estimating the sensitivity towards systematic diffusive and jump risks in the context of factor models. Our estimates of the sensitivities towards systematic risks, or betas, are based on the not ... Full text Cite

Glossary to ARCH (GARCH)

Chapter · May 1, 2010 This chapter provides an alternative and easy-to-use encyclopedic-type reference guide to the long list of ARCH acronyms. Comparing the length of this list to the list of general Acronyms in Time Series Analysis (ATSA) compiled by Granger (1983) further un ... Full text Cite

Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Book · May 1, 2010 Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some of the leading academic researchers in the fields of time series econometrics, forecasting, ... Full text Cite

Estimation of Jump Tails

Journal Article CREATES Research Paper · April 29, 2010 Cite

Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

Journal Article Journal of Applied Econometrics · March 1, 2010 We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently ... Full text Cite

Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

Journal Article Journal of Applied Econometrics · 2010 We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recen ... Cite

Parametric and Nonparametric Volatility Measurement

Chapter · 2010 Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. ... Cite

Expected Stock Returns and Variance Risk Premia

Scholarly Edition · November 1, 2009 Cite

Expected stock returns and variance risk premia

Journal Article Review of Financial Studies · November 1, 2009 Motivated by the implications from a stylized self-contained general equilibrium model incorporating the effects of time-varying economic uncertainty, we show that the difference between implied and realized variation, or the variance risk premium, is able ... Full text Cite

Tails, Fears and Risk Premia

Journal Article CREATES Research Paper · June 12, 2009 Cite

A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects

Journal Article · June 2009 We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes between the jump and continuous-time components of price movements using nonparametric realized variation and Bipower variation measures ... Cite

A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects

Journal Article Journal of Econometrics · June 1, 2009 We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes between the jump and continuous-time components of price movements using nonparametric realized variation and Bipower variation measures ... Full text Open Access Cite

Risk, jumps, and diversification

Journal Article · May 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 cross-covariance structure in the re ... Cite

Risk, jumps, and diversification

Journal Article Journal of Econometrics · May 1, 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 cross-covariance structure in the re ... Full text Open Access Cite

Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility

Journal Article Review of Economics and Statistics · November 1, 2007 A growing literature documents important gains in asset return volatility forecasting via use of realized variation measures constructed from high-frequency returns. We progress by using newly developed bipower variation measures and corresponding nonparam ... Full text Cite

Real-time price discovery in global stock, bond and foreign exchange markets

Journal Article Journal of International Economics · November 1, 2007 Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps; hence high-frequency s ... Full text Cite

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Journal Article CREATES Research Paper · August 16, 2007 Cite

Investor attention and time-varying comovements

Journal Article European Financial Management · June 1, 2007 This paper analyses the effect of an increase in market-wide uncertainty on information flow and asset price comovements. We use the daily realised volatility of the 30-year treasury bond futures to assess macroeconomic shocks that affect market-wide uncer ... Full text Cite

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 Article Journal of Econometrics · May 1, 2007 We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, fo ... Full text Cite

Expected Stock Returns and Variance Risk Premia

Journal Article · April 1, 2007 Cite

Chapter 15 Volatility and Correlation Forecasting

Chapter · December 1, 2006 Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insigh ... Full text Cite

Investor Attention and Time-Varying Comovements

Journal Article · August 11, 2006 Cite

Leverage and volatility feedback effects in high-frequency data

Journal Article Journal of Financial Econometrics · June 1, 2006 We examine the relationship between volatility and past and future returns using high-frequency aggregate equity index data. Consistent with a prolonged "leverage" effect, we find the correlations between absolute high-frequency returns and current and pas ... Full text Cite

Volatility and Correlation Forecasting

Chapter · May 2006 Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insigh ... Cite

Realized Beta: Persistence and Predictability

Journal Article Advances in Econometrics · April 26, 2006 A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we ... Full text Cite

Comment

Journal Article Journal of Business and Economic Statistics · April 1, 2006 Full text Cite

Volatility puzzles: A simple framework for gauging return-volatility regressions

Journal Article Journal of Econometrics · March 1, 2006 This paper provides a simple theoretical framework for assessing the empirical linkages between returns and realized and implied volatilities. First, we show that whereas the volatility feedback effect as measured by the sign of the correlation between con ... Full text Cite

Volatility Forecasting

Scholarly Edition · March 2005 Cite

Volatility Forecasting

Scholarly Edition · February 22, 2005 Cite

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Scholarly Edition · January 11, 2005 What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible meth ... Cite

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Scholarly Edition · January 1, 2005 We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting functions ... Cite

Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities

Journal Article Econometrica · January 1, 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 asymptotic distributional results ... Full text Open Access Cite

ANALYTICAL EVALUATION OF VOLATILITY FORECASTS

Journal Article International Economic Review · November 2004 Estimation and forecasting for realistic continuous-time stochastic volatility models is hampered by the lack of closed-form expressions for the likelihood. In response, Andersen, Bollerslev, Diebold, and Labys ("Econometrica", 71 (2003), 579-625) advo ... Cite

Analytical evaluation of volatility forecasts

Journal Article International Economic Review · November 1, 2004 Estimation and forecasting for realistic continuous-time stochastic volatility models is hampered by the lack of closed-form expressions for the likelihood. In response, Andersen, Bollerslev, Diebold, and Labys (Econometrica, 71 (2003), 579-625) advocate f ... Full text Cite

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

Scholarly Edition · 2004 This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied vol ... Cite

Realized beta: Persistence and predictability

Scholarly Edition · 2004 A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we ... Cite

Micro effects of macro announcements: Real-time price discovery in foreign exchange

Journal Article American Economic Review · March 1, 2003 Using a new data set consisting of six years of real-time exchange-rate quotations, macroeconomic expectations, and macroeconomic realizations, we characterize the conditional means of U.S. dollar spot exchange rates. In particular, we find that announceme ... Full text Open Access Cite

Realized Beta: Persistence and Predictability

Scholarly Edition · January 3, 2003 A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we ... Cite

Measuring and modeling systematic risk in factor pricing models using high-frequency data

Journal Article Journal of Empirical Finance · January 1, 2003 This paper demonstrates how high-frequency data may be used in more effectively measuring and modeling the systematic risk(s) in factor pricing models. Based on a 7-year sample of continuously recorded US equity transactions, we find that simple and easy-t ... Full text Cite

Modeling and forecasting realized volatility

Journal Article Econometrica · January 1, 2003 We provide a framework for Integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Building on the theory of continuous-time arbitrage-free price ... Full text Open Access Cite

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities

Scholarly Edition · December 1, 2002 This note develops general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic distributional results i ... Cite

Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): The GARCH-NIG model

Journal Article Journal of Applied Econometrics · September 1, 2002 This paper bridges the gap between traditional ARCH modelling and recent advances on realized volatilities. Based on a ten-year sample of five-minute returns for the ECU basket currencies versus the US dollar, we find that the realized volatilities constru ... Full text Cite

Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Journal Article Journal of Econometrics · July 1, 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 solutions of the first two conditional ... Full text Open Access Cite

CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES

Scholarly Edition · 2002 This note develops general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic distributional results i ... Cite

Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities

Scholarly Edition · 2002 This note develops general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic distributional results i ... Cite

The message in daily exchange rates: A conditional-variance tale

Journal Article Journal of Business and Economic Statistics · January 1, 2002 Formal testing procedures confirm the presence of a unit root in the autoregressive polynomial of the univariate time series representation of daily exchange-rate data. The first differences of the logarithms of daily spot rates are approximately uncorrela ... Full text Cite

High-frequency data, frequency domain inference, and volatility forecasting

Journal Article Review of Economics and Statistics · November 1, 2001 Although it is clear that the volatility of asset returns is serially correlated, there is no general agreement as to the most appropriate parametric model for characterizing this temporal dependence. In this paper, we propose a simple way of modeling fina ... Full text Cite

The distribution of realized stock return volatility

Journal Article Journal of Financial Economics · July 1, 2001 We examine "realized" daily equity return volatilities and correlations obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average. We find that the unconditional distributions of realized variances an ... Full text Cite

The distribution of realized exchange rate volatility

Journal Article Journal of the American Statistical Association · March 1, 2001 Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our estimates, termed realized volatilities and correlations, are ... Full text Cite

Modeling and Forecasting Realized Volatility

Journal Article · January 2001 Cite

Volatility Forecasting, High-Frequency Data, and Frequency Domain Inference

Journal Article Review of Economics and Statistics · 2001 Cite

Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns

Journal Article Journal of Finance · January 1, 2001 Variance-ratio tests are routinely employed to assess the variation in return volatility over time and across markets. However, such tests are not statistically robust and can be seriously misleading within a high-frequency context. We develop improved inf ... Full text Cite

Financial econometrics: Past developments and future challenges

Journal Article Journal of Econometrics · January 1, 2001 The field of financial econometrics has had a glamorous run during the life span of the Journal of Econometrics. This note provides a selective summary of the most important developments in the field over the past two decades, notably ARCH and GMM, along w ... Full text Cite

The forward premium anomaly is not as bad as you think

Journal Article Journal of International Money and Finance · January 1, 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 unity, and often negative. This "ano ... Full text Open Access Cite

Intraday and Interday Volatility in the Japanese Stock Market

Journal Article Journal of International Financial Markets, Institutions & Money · 2000 Cite

Great Realizations

Journal Article Risk · 2000 Cite

Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data

Journal Article Journal of Econometrics · January 1, 2000 Recent empirical studies have argued that the temporal dependencies in financial market volatility are best characterized by long memory, or fractionally integrated, time series models. Meanwhile, little is known about the properties of the semiparametric ... Full text Cite

The Distribution of Exchange Rate Volatility

Scholarly Edition · November 1999 Cite

(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation

Scholarly Edition · October 26, 1999 We review and synthesize our recent work on realized volatility in financial markets. This includes (1) constructing and interpreting realized volatilities for a variety of asset returns ("understanding"), (2) determining underlying sampling frequencies hi ... Cite

High frequency data, frequency domain inference and volatility forecasting

Scholarly Edition · 1999 While it is clear that the volatility of asset returns is serially correlated, there is no general agreement as to the most appropriate parametric model for characterizing this temporal dependence. In this paper, we propose a simple way of modeling financi ... Cite

Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon

Journal Article Journal of Empirical Finance · January 1, 1999 This paper explores the return volatility predictability inherent in high-frequency speculative returns. Our analysis focuses on a refinement of the more traditional volatility measures, the integrated volatility, which links the notion of volatility more ... Full text Cite

Long-term equity anticipation securities and stock market volatility dynamics

Journal Article Journal of Econometrics · January 1, 1999 Recent empirical findings 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 time-series-based evidence by comparing ... Full text Open Access Cite

Equity trading volume and volatility: Latent information arrivals and common long-run dependencies

Journal Article Journal of Business and Economic Statistics · January 1, 1999 This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard and Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally integrated processes best describe the ... Full text Open Access Cite

Introduction.

Journal Article Semin Radiat Oncol · July 1998 Copyright ... Full text Link to item Cite

Answering the skeptics: Yes, standard volatility models do provide accurate forecasts

Journal Article International Economic Review · January 1, 1998 A voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using ARCH and stochastic volatility models. While most of these studies have documented highly significant in-sample parameter estimates and pronounc ... Full text Cite

Towards a unified framework for high and low frequency return volatility modeling

Journal Article Statistica Neerlandica · January 1, 1998 This paper provides a selective summary of recent work that has documented the usefulness of high-frequency, intraday return series in exploring issues related to the more commonly studied daily or lower-frequency returns. We show that careful modeling of ... Full text Cite

Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies

Journal Article Journal of Finance · January 1, 1998 This paper provides a detailed characterization of the volatility in the deutsche mark-dollar foreign exchange market using an annual sample of five-minute returns. The approach captures the intraday activity patterns, the macroeconomic announcements, and ... Full text Cite

Order flow and the bid-ask spread: An empirical probability model of screen-based trading

Journal Article Journal of Economic Dynamics and Control · June 29, 1997 A probabilistic framework for the analysis of screen-based trading activity is presented. Probability functions are derived for the stationary distributions of the best bid and offer, conditional on the order flows. By identifying the unobservable order an ... Full text Cite

Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns

Journal Article Journal of Finance · January 1, 1997 Recent empirical evidence suggests that the interdaily volatility clustering for most speculative returns are best characterized by a slowly mean-reverting fractionally integrated process. Meanwhile, much shorter lived volatility dynamics are typically obs ... Full text Cite

Intraday periodicity and volatility persistence in financial markets

Journal Article Journal of Empirical Finance · January 1, 1997 The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a strong impact on the dynamic properties of high frequency returns. Only by taking account of this strong intraday periodicity is it possib ... Full text Cite

Modeling and pricing long memory in stock market volatility

Journal Article Journal of Econometrics · January 1, 1996 A new class of fractionally integrated GARCH and EGARCH models for characterizing financial market volatility is discussed. Monte Carlo simulations illustrate the reliability of quasi maximum likelihood estimation methods, standard model selection criteria ... Full text Cite

Periodic autoregressive conditional heteroscedasticity

Journal Article Journal of Business and Economic Statistics · January 1, 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 seasonal time variation in the second- ... Full text Open Access Cite

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Journal Article Journal of Econometrics · January 1, 1996 The new class of Fractionally Integrated Generalized AutoRegressive Conditionally Heteroskedastic (FIGARCH) processes is introduced. The conditional variance of the process implies a slow hyperbolic rate of decay for the influence of lagged squared innovat ... Full text Cite

Dan Nelson Remembered.

Journal Article Journal of Business and Economic Statistics · October 1995 Open Access Cite

Chapter 49 Arch models

Chapter · December 1, 1994 This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univariate parametric ARCH models, general inference procedures, conditions for statio ... Full text Cite

The long memory of the forward premium

Journal Article · October 1994 Cite

On Periodic Autogressive Conditional Heteroskedasticity

Scholarly Edition · September 1, 1994 Asset returns exhibit clustering of volatility throughout the year. This paper proposes a class of models featuring periodicity in conditional heteroskedasticity. The periodic structures in GARCH models share many properties with periodic ARMA processes st ... Cite

The long memory of the forward premium

Journal Article Journal of International Money and Finance · January 1, 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 integrated process. These mode ... Full text Open Access Cite

Cointegration, Fractional Cointegration, and Exchange Rate Dynamics

Journal Article Journal of Finance · January 1, 1994 Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations fro ... Full text Cite

Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis

Journal Article Journal of International Economics · January 1, 1994 Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the foreign exchange market is positively related to the underlying exchange rate uncer ... Full text Open Access Cite

Common Persistence in Conditional Variances

Journal Article Econometrica · January 1993 Full text Open Access Cite

Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange

Journal Article Journal of International Money and Finance · January 1, 1993 This paper examines some of the characteristics of the foreign exchange market in the 1920s floating period. Nominal returns appear to exhibit properties consistent with asset prices on modern more well-organized financial markets; i.e. they appear to be w ... Full text Cite

Trading Patterns and Prices in the Interbank Foreign Exchange Market

Journal Article Journal of Finance · January 1, 1993 The behavior of quote arrivals and bid‐ask spreads is examined for continuously recorded deutsche mark‐dollar exchange rate data over time, across locations, and by market participants. A pattern in the intraday spread and intensity of market activity over ... Full text Cite

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Other Econometric Reviews · January 1, 1992 We study the properties of the quasi-maximum likelihood estimator (QMLE) and related test statistics in dynamic models that jointly parameterize conditional means and conditional covariances, when a normal log-likelihood is maximized but the assumption of ... Full text Cite

ARCH modeling in finance. A review of the theory and empirical evidence

Journal Article Journal of Econometrics · January 1, 1992 Although volatility clustering has a long history as a salient empirical regularity characterizing high-frequency speculative prices, it was not until recently that applied researchers in finance have recognized the importance of explicitly modeling time-v ... Full text Cite

Prediction in dynamic models with time-dependent conditional variances

Journal Article Journal of Econometrics · January 1, 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 heteroskedasticity as represented by a linea ... Full text Cite

Intra-Day and Inter-Market Volatility in Foreign Exchange Rates

Journal Article The Review of Economic Studies · 1991 Four foreign exchange spot rate series, recorded on an hourly basis for a six-month period in 1986 are examined. A seasonal GARCH model is developed to describe the time-dependent volatility apparent in the percentage nominal return of each currency. Hourl ... Cite

es modéles ARCH en finance : un point sur la théorie et les résultats empiriques

Journal Article Annals Of Economics and Statistics · 1991 Although volatility clustering has a long history as a salient empirical regularity characterizing high frequency speculative prices, it was not until recently that applied researchers in finance have recognized the importance of explicitly modeling time v ... Cite

Intra-day and inter-market volatility in foreign exchange rates

Journal Article Review of Economic Studies · January 1, 1991 Four foreign exchange spot rate series, recorded on an hourly basis for a six-month period in 1986 are examined. A seasonal GARCH model is developed to describe the time-dependent volatility apparent in the percentage nominal return of each currency. Hourl ... Full text Cite

A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

Journal Article Journal of International Money and Finance · January 1, 1990 Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as ... Full text Open Access Cite

The Message in Daily Exchange Rates: A Conditional-Variance Tale

Journal Article Journal of Business & Economic Statistics · July 1989 Full text Cite

The message in daily exchange rates: A conditional-variance tale

Journal Article Journal of Business and Economic Statistics · January 1, 1989 Formal testing procedures confirm the presence of a unit root in the autoregressive polynomial of the univariate time series representation of daily exchange-rate data. The first differences of the logarithms of daily spot rates are approximately uncorrela ... Full text Cite

Common Stochastic Trends in a System of Exchange Rates

Journal Article Journal of Finance · January 1, 1989 Univariate tests reveal strong evidence for the presence of a unit root in the univariate time‐series representation for seven daily spot and forward exchange rate series. Furthermore, all seven spot and forward rates appear to be cointegrated; that is, th ... Full text Cite

A Capital Asset Pricing Model with Time-Varying Covariances

Journal Article Journal of Political Economy · February 1988 Full text Open Access Cite

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

Journal Article The Review of Economics and Statistics · August 1987 Full text Cite

Generalized autoregressive conditional heteroskedasticity

Scholarly Edition · September 1, 1986 The present paper proposes a generalization of the canonical AutoRegressive Conditional Heteroskedasticity (ARCH) model by extending the conditional variance equation toward past conditional variances. The stationarity conditions and autocorrelation struct ... Cite

Arch models

Chapter · June 1986 This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univariate parametric ARCH models, general inference procedures, conditions for statio ... Open Access Cite

Reply

Journal Article Econometric Reviews · January 1, 1986 Full text Cite

Modelling the Persistence of Conditional Variances and 'Reply'

Journal Article Econometric Reviews · 1986 Cite

Generalized autoregressive conditional heteroskedasticity

Journal Article Journal of Econometrics · January 1, 1986 A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelati ... Full text Cite

A NOTE ON THE RELATION BETWEEN CONSUMER'S EXPENDITURE AND INCOME IN THE UNITED KINGDOM

Journal Article Oxford Bulletin of Economics and Statistics · January 1, 1985 Full text Cite

Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability

Scholarly Edition The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized volatility and the ... Cite