May 11, 1958 |
|Alma mater||Aarhus University (M.S.)
University of California, San Diego (Ph.D.)
|Influences||Robert F. Engle|
|Information at IDEAS/RePEc|
Tim Peter Bollerslev (born May 11, 1958) is a Danish economist, currently the Juanita and Clifton Kreps Professor of Economics at Duke University. A fellow of the Econometric Society, Bollerslev is known for his ideas for measuring and forecasting financial market volatility and for the GARCH (generalized autoregressive conditional heteroskedasticity) model. He is editor of the Journal of Applied Econometrics.
Tim Bollerslev received his MSc in economics and mathematics in 1983 from the University of Aarhus in Denmark. He continued his studies in the U.S., earning his Ph.D. in 1986 from the University of California at San Diego with a thesis titled Generalized Autoregressive Conditional Heteroskedasticity with Applications in Finance written under the supervision of Robert F. Engle (Nobel Prize in Economics winner in 2003).
After his graduate studies, Bollerslev taught at the Northwestern University between 1986–1995 and at the University of Virginia between 1996-1998. Since 1998 he is the Juanita and Clifton Kreps Professor of Economics at Duke University.
- Bollerslev, Tim (1986). "Generalized Autoregressive Conditional Heteroskedasticity". Journal of Econometrics 31 (3): 307–327.
- Bollerslev, Tim (1987). "A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return". The Review of Economics and Statistics 69 (3): 542–547.
- Bollerslev, Tim (1988). "A Capital Asset Pricing Model with Time-Varying Covariances". Journal of Political Economy 96 (1): 116–131.
- Bollerslev, Tim (1990). "Modeling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model". The Review of Economics and Statistics 72 (3): 498–505.
- Bollerslev, Tim (1992). "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence". Journal of Econometrics 52 (1-2): 5–59.
- Bollerslev, Tim. "Generalized Autoregressive Conditional Heteroskedasticity with Applications in Finance". ProQuest. Retrieved 14 January 2014.
- Engle's Autobiography on the Nobel Prize Website.