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Publications by T. Bollerslev

Leverage and Volatility Feedback Effects in High-Frequency Data

Journal of Financial Econometrics

English

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High Frequency Data, Frequency Domain Inference and Volatility Forecasting

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Understanding Volatility and Leverage Effects in Bunker Markets

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Stochastic Volatility and Stochastic Leverage

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Volatility Clustering, Leverage Effects, and Jumps Dynamics in Emerging Asian Equity Markets

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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

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Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency With Liquid and Illiquid High-Frequency Data

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Volatility Management of High Frequency Trading Environments

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HYBRID-GARCH: A Generic Class of Models for Volatility Predictions Using High Frequency Data

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Evaluating Volatility Forecasts With Ultra-High-Frequency Data—Evidence From the Australian Equity Market

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