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Found 15 results for "Tim Bollerslev"

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

by Tim Bollerslev

2004 1 ed.
Volatility puzzles
Volatility puzzles

by Tim Bollerslev

2003 1 ed.
Quasi-maximum likelihood estimation of dynamic models with time varying covariances
Quasi-maximum likelihood estimation of dynamic models with t...

by Tim Bollerslev

1988 1 ed.
Financial market efficiency tests
Financial market efficiency tests

by Tim Bollerslev

1992 1 ed.
Dividends Mathematical models Prices
Volatility and Time Series Econometrics
Volatility and Time Series Econometrics

by Tim Bollerslev, Jeffrey Russell

2010 1 ed.
Volatility
Volatility

by Torben G. Andersen, Tim Bollerslev

2018 1 ed.
Econometrics Volatilit©Þt Wirtschaftsmodell
Volatility and time series econometrics
Volatility and time series econometrics

by R. F. Engle, Mark W. Watson

2009 2 ed.
Time-series analysis Econometrics Finance
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise
No-arbitrage semi-martingale restrictions for continuous-tim...

by Torben G. Andersen

2007 2 ed.
Economic forecasting
DM-dollar volatility
DM-dollar volatility

by Torben G. Andersen

1996 1 ed.
American Dollar Foreign exchange market Foreign exchange rates
Heterogeneous information arrivals and return volatility dynamics
Heterogeneous information arrivals and return volatility dyn...

by Torben G. Andersen

1996 1 ed.
Assets (Accounting) Econometric models Foreign exchange market
Answering the critics
Answering the critics

by Torben G. Andersen

1997 1 ed.
Assets (Accounting) Autoregression (Statistic... Econometrics
Testing for market microstructure effects in intraday volatility
Testing for market microstructure effects in intraday volati...

by Torben G. Andersen

1998 1 ed.
Econometric models Foreign exchange market Stock exchanges
Roughing it up
Roughing it up

by Torben G. Andersen

2005 1 ed.
Mathematical models Rate of return
Volatility and time series econometrics
Volatility and time series econometrics
2009 1 ed.
Time-series analysis Econometrics
Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Exchange rate returns standardized by realized volatility ar...
2000 1 ed.
Foreign exchange rates. Foreign exchange futures ...