Standout Papers

Generalized autoregressive conditional heteroskedasticity 1986 2026 1999 2012 13.2k
  1. Generalized autoregressive conditional heteroskedasticity (1986)
    Tim Bollerslev Journal of Econometrics
  2. ARCH modeling in finance (1992)
    Tim Bollerslev, Ray Yeutien Chou et al. Journal of Econometrics
  3. Modeling and Forecasting Realized Volatility (2003)
    Torben G. Andersen, Tim Bollerslev et al. Econometrica
  4. Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)
    Tim Bollerslev The Review of Economics and Statistics
  5. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)
    Tim Bollerslev, Jeffrey M. Wooldridge Econometric Reviews
  6. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)
    Torben G. Andersen, Tim Bollerslev International Economic Review
  7. A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)
    Tim Bollerslev The Review of Economics and Statistics
  8. The Distribution of Realized Exchange Rate Volatility (2001)
    Torben G. Andersen, Tim Bollerslev et al. Journal of the American Statistical Association
  9. Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)
    Richard T. Baillie, Tim Bollerslev et al. Journal of Econometrics
  10. Modelling the persistence of conditional variances (1986)
    Robert F. Engle, Tim Bollerslev Econometric Reviews
  11. Generalized autoregressive conditional heteroscedasticity (1986)
    Tim Bollerslev Medical Entomology and Zoology
  12. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)
    Torben G. Andersen, Tim Bollerslev et al. The Review of Economics and Statistics
  13. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)
    Tim Bollerslev, Francis X. Diebold et al. American Economic Review
  14. Intraday periodicity and volatility persistence in financial markets (1997)
    Torben G. Andersen, Tim Bollerslev Journal of Empirical Finance
  15. Modeling and pricing long memory in stock market volatility (1996)
    Tim Bollerslev et al. Journal of Econometrics
  16. Exploiting the errors: A simple approach for improved volatility forecasting (2015)
    Tim Bollerslev, Andrew J. Patton et al. Journal of Econometrics
  17. Risk Everywhere: Modeling and Managing Volatility (2018)
    Tim Bollerslev, Benjamin Hood et al. Review of Financial Studies

Immediate Impact

45 by Nobel laureates 4 from Science/Nature 163 standout
Sub-graph 1 of 12

Citing Papers

Volatility‐Managed Portfolios
2017 Standout
Variational Mode Decomposition
2014 Standout
56 intermediate papers

Works of Tim Bollerslev being referenced

Modeling and Forecasting Realized Volatility
2003 Standout
Fractionally integrated generalized autoregressive conditional heteroskedasticity
1996 Standout
and 31 more

Author Peers

Author Last Decade Papers Cites
Tim Bollerslev 37293 34346 14929 97 44.6k
Francis X. Diebold 21263 27159 14331 236 36.6k
James D. Hamilton 13028 23476 16014 110 32.9k
Robert F. Engle 47030 58633 31511 234 77.5k
Mark W. Watson 8726 19324 17149 127 26.7k
Pierre Perrón 12328 30236 22361 140 37.9k
Søren Johansen 11896 28329 23149 165 37.7k
Whitney K. Newey 12303 16270 8513 113 29.1k
Torben G. Andersen 16583 13795 5480 110 18.8k
Andrew Harvey 5895 9395 6804 158 17.4k
Bruce E. Hansen 7094 16668 10613 83 22.8k

All Works

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2026