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Tim Bollerslev

Active 1986–2023

62
Papers
80,888
Citations
60
h-index
61
i10-index

Citations

Citations per year for Tim Bollerslev1986: 1 citations1987: 7 citations1988: 14 citations1989: 30 citations1990: 38 citations1991: 46 citations1992: 83 citations1993: 78 citations1994: 93 citations1995: 65 citations1996: 174 citations1997: 98 citations1998: 101 citations1999: 98 citations2000: 87 citations2001: 181 citations2002: 185 citations2003: 180 citations2004: 176 citations2005: 268 citations2006: 275 citations2007: 212 citations2008: 317 citations2009: 300 citations2010: 308 citations2011: 242 citations2012: 275 citations2013: 261 citations2014: 258 citations2015: 220 citations2016: 177 citations2017: 210 citations2018: 228 citations2019: 253 citations2020: 299 citations2021: 331 citations2022: 275 citations2023: 216 citations2024: 243 citations2025: 222 citations2026: 67 citations2027: 1 citations

Citation sources

Countries

World map of the countries and regions citing this authorUnited States: 1,136 citing papers, 19.2% of this breakdownChina: 670 citing papers, 11.3% of this breakdownUnited Kingdom: 430 citing papers, 7.2% of this breakdownAustralia: 249 citing papers, 4.2% of this breakdownGermany: 226 citing papers, 3.8% of this breakdownCanada: 223 citing papers, 3.8% of this breakdownFrance: 205 citing papers, 3.5% of this breakdownItaly: 201 citing papers, 3.4% of this breakdownTaiwan: 189 citing papers, 3.2% of this breakdownSpain: 136 citing papers, 2.3% of this breakdownIndia: 128 citing papers, 2.2% of this breakdownHong Kong: 125 citing papers, 2.1% of this breakdown
0%19.2%Other 33.8%

Institutions

Fields

  • Economics, Econometrics and Finance63.9%
  • Decision Sciences13.6%
  • Computer Science11.8%
  • Engineering3.8%
  • Mathematics2.1%
  • Business, Management and Accounting1.2%
  • Other3.6%

Topics

  • Financial Risk and Volatility Modeling16.9%
  • Market Dynamics and Volatility12.4%
  • Complex Systems and Time Series Analysis9.9%
  • Stock Market Forecasting Methods7.1%
  • Monetary Policy and Economic Impact5.9%
  • Financial Markets and Investment Strategies5.9%
  • Other41.9%

Coauthors

All papers

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  1. Generalized autoregressive conditional heteroskedasticity

    Authors: Tim Bollerslev - Journal of Econometrics 1986 cited by 22,300

  2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

    Authors: Torben G. Andersen, Tim Bollerslev - International Economic Review 1998 cited by 3,481

  3. Modelling the persistence of conditional variances

    Authors: Robert F. Engle, Tim Bollerslev - Econometric Reviews 1986 cited by 2,080

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

    Authors: Tim Bollerslev - The Review of Economics and Statistics 1987 cited by 2,607

  5. Fractionally integrated generalized autoregressive conditional heteroskedasticity

    Authors: Richard T. Baillie, Tim Bollerslev, Hans Ole Mikkelsen - Journal of Econometrics 1996 cited by 2,307

  6. Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

    Authors: Tim Bollerslev - The Review of Economics and Statistics 1990 cited by 3,577

  7. Intraday periodicity and volatility persistence in financial markets

    Authors: Torben G. Andersen, Tim Bollerslev - Journal of Empirical Finance 1997 cited by 1,359

  8. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

    Authors: Torben G. Anderson, Tim Bollerslev, Francis X. Diebold, Clara Vega - American Economic Review 2003 cited by 1,405

  9. Exploiting the errors: A simple approach for improved volatility forecasting

    Authors: Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg - Journal of Econometrics 2015 cited by 457

  10. Chapter 15 Volatility and Correlation Forecasting

    Authors: Torben G. Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold - Handbook of economic forecasting 2006 cited by 335

  11. A Capital Asset Pricing Model with Time-Varying Covariances

    Authors: Tim Bollerslev, Robert F. Engle, Jeffrey M. Wooldridge - Journal of Political Economy 1988 cited by 3,214

  12. Modeling and pricing long memory in stock market volatility

    Authors: Tim Bollerslev, Hans Ole Mikkelsen - Journal of Econometrics 1996 cited by 1,248

  13. Leverage and Volatility Feedback Effects in High-Frequency Data

    Authors: Tim Bollerslev - Journal of Financial Econometrics 2006 cited by 408

  14. Expected Stock Returns and Variance Risk Premia

    Authors: Tim Bollerslev, George Tauchen, Hao Zhou - Review of Financial Studies 2009 cited by 1,883

  15. Risk Everywhere: Modeling and Managing Volatility

    Authors: Tim Bollerslev, Benjamin Hood, John Huss, Lasse Heje Pedersen - Review of Financial Studies 2018 cited by 364

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

    Authors: Tim Bollerslev, Jeffrey M. Wooldridge - Econometric Reviews 1992 cited by 3,325

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

    Authors: Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Clara Vega - Journal of International Economics 2007 cited by 1,176

  18. Chapter 49 Arch models

    Authors: Tim Bollerslev, Robert F. Engle, Daniel B. Nelson - Handbook of econometrics 1994 cited by 888

  19. Tail risk premia and return predictability

    Authors: Tim Bollerslev, Viktor Todorov, Lai Xu - Journal of Financial Economics 2015 cited by 426

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

    Authors: Tim Bollerslev, James Marrone, Lai Xu, Hao Zhou - Journal of Financial and Quantitative Analysis 2014 cited by 286

  21. Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

    Authors: Torben G. Andersen, Tim Bollerslev - The Journal of Finance 1998 cited by 1,222

  22. Parametric and Nonparametric Volatility Measurement

    Authors: Torben G. Andersen, Tim Bollerslev, Francis X. Diebold - Elsevier eBooks 2010 cited by 517

  23. Periodic Autoregressive Conditional Heteroscedasticity

    Authors: Tim Bollerslev, Éric Ghysels - Journal of Business and Economic Statistics 1996 cited by 353

  24. 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

    Authors: Torben G. Andersen, Tim Bollerslev, Dobrislav Dobrev - Journal of Econometrics 2006 cited by 310