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Publications by Tim Bollerslev
Roughing Up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns
SSRN Electronic Journal
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
SSRN Electronic Journal
Long-Term Equity Anticipation Securities and Stock Market Volatility Dynamics
Journal of Econometrics
Philosophy of Science
Applied Mathematics
Economics
Econometrics
History
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
Journal of Applied Econometrics
Economics
Econometrics
Social Sciences
Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility
SSRN Electronic Journal
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
SSRN Electronic Journal
High Frequency Data, Frequency Domain Inference and Volatility Forecasting
SSRN Electronic Journal
Some Like It Smooth, and Some Like It Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
SSRN Electronic Journal
Financial Market Efficiency Tests
Parametric and Nonparametric Volatility Measurement
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