Tim Bollerslev
Impact in
- Finance top 0.01%
- Financial Risk and Volatility Modeling
- Financial Markets and Investment Strategies
- Stochastic processes and financial applications
- Global Financial Crisis and Policies
-
- Monetary Policy and Economic Impact
Papers in
- Finance 70
- Financial Risk and Volatility Modeling 69
- Stochastic processes and financial applications 20
- Financial Markets and Investment Strategies 17
-
- Monetary Policy and Economic Impact 32
- Co-authors
- Torben Gustav Andersen (23 shared papers)Francis X. Diebold (14 shared papers)Richard T. Baillie (10 shared papers)Jeffrey M. Wooldridge (1 shared paper)Kenneth F. Kroner (1 shared paper)Ray Yeutien Chou (1 shared paper)Robert F. Engle (4 shared papers)Paul Labys (3 shared papers)
- Journals
- Journal of Econometrics (21 papers)Journal of Business and Economic Statistics (5 papers)Journal of International Money and Finance (4 papers)The Review of Economics and Statistics (4 papers)The Journal of Finance (4 papers)
- Partner nations
- United StatesCanadaNetherlands
In The Last Decade
Tim Bollerslev
79 papers receiving 38.8k citations
Tim Bollerslev's Hit Papers
Peers
Comparison fields: 5 of 153
- Finance 35.1k
- General Economics, Econometrics and Finance 14.0k
- Economics and Econometrics 33.1k
- Management Science and Operations Research 4.4k
- Statistics and Probability 2.0k
Countries citing papers authored by Tim Bollerslev
This map shows the geographic impact of Tim Bollerslev's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Tim Bollerslev with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Tim Bollerslev more than expected).
Fields of papers citing papers by Tim Bollerslev
This network shows the impact of papers produced by Tim Bollerslev. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Tim Bollerslev. The network helps show where Tim Bollerslev may publish in the future.
Co-authors
The 25 scholars most cited alongside Tim Bollerslev, linked wherever they have co-authored with each other. Click a name or a connecting line to browse the papers they share.
All Works
Showing the 20 most-cited of 80 papers — load more, or switch the sort, to bring in the rest.
| # | Work | ||
|---|---|---|---|
| 1 | Generalized autoregressive conditional heteroskedasticity Hit paper breakdown → | 1986 | 13997 |
| 2 | ARCH modeling in finance Hit paper breakdown → | 1992 | 2825 |
| 3 | Modeling and Forecasting Realized Volatility Hit paper breakdown → | 2003 | 2222 |
| 4 | Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model Hit paper breakdown → | 1990 | 2209 |
| 5 | Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts Hit paper breakdown → | 1998 | 2103 |
| 6 | Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances Hit paper breakdown → | 1992 | 2085 |
| 7 | A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return Hit paper breakdown → | 1987 | 1659 |
| 8 | Fractionally integrated generalized autoregressive conditional heteroskedasticity Hit paper breakdown → | 1996 | 1476 |
| 9 | Modelling the persistence of conditional variances Hit paper breakdown → | 1986 | 1349 |
| 10 | The Distribution of Realized Exchange Rate Volatility Hit paper breakdown → | 2001 | 1302 |
| 11 | Generalized autoregressive conditional heteroscedasticity Hit paper breakdown → | 1986 | 1207 |
| 12 | Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility Hit paper breakdown → | 2007 | 1018 |
| 13 | Modeling and pricing long memory in stock market volatility Hit paper breakdown → | 1996 | 793 |
| 14 | Intraday periodicity and volatility persistence in financial markets Hit paper breakdown → | 1997 | 754 |
| 15 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange Hit paper breakdown → | 2003 | 740 |
| 16 | 1994 | 534 | |
| 17 | 1997 | 381 | |
| 18 | 1991 | 339 | |
| 19 | 2002 | 315 | |
| 20 | Exploiting the errors: A simple approach for improved volatility forecasting Hit paper breakdown → | 2015 | 274 |
About Tim Bollerslev
Tim Bollerslev is a scholar working on Finance, General Economics, Econometrics and Finance, Economics and Econometrics, Statistics and Probability and Management Science and Operations Research, having authored 80 papers that have together received 43.3k indexed citations. Recurring topics across this work include Financial Risk and Volatility Modeling (69 papers), Market Dynamics and Volatility (54 papers), Monetary Policy and Economic Impact (32 papers), Complex Systems and Time Series Analysis (25 papers), Stochastic processes and financial applications (20 papers), Financial Markets and Investment Strategies (17 papers), Housing Market and Economics (1 paper) and Economic theories and models (1 paper). The work is most often cited by research in Finance (35.1k citations), General Economics, Econometrics and Finance (14.0k citations), Economics and Econometrics (33.1k citations), Management Science and Operations Research (4.4k citations) and Statistics and Probability (2.0k citations). Tim Bollerslev has collaborated with scholars based in United States, Canada and Netherlands. Frequent co-authors include Torben Gustav Andersen, Francis X. Diebold, Richard T. Baillie, Jeffrey M. Wooldridge, Kenneth F. Kroner, Ray Yeutien Chou, Robert F. Engle, Paul Labys, Clara Vega and Daniel B. Nelson. Their work appears in journals such as Journal of Econometrics, Journal of Business and Economic Statistics, Journal of International Money and Finance, The Review of Economics and Statistics and The Journal of Finance.
Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.