Tim Peter Bollerslev (born May 11, 1958) is a Danish economist, currently the ''Juanita and Clifton Kreps Professor of Economics'' at

Duke University Duke University is a private research university in Durham, North Carolina. Founded by Methodists and Quakers in the present-day city of Trinity in 1838, the school moved to Durham in 1892. In 1924, tobacco and electric power industrialist James ...

. A fellow of the

Econometric Society The Econometric Society is an international society of academic economists interested in applying statistical tools to their field. It is an independent organization with no connections to societies of professional mathematicians or statisticians. ...

, Bollerslev is known for his ideas for measuring and forecasting

financial market A financial market is a market in which people trade financial securities and derivatives at low transaction costs. Some of the securities include stocks and bonds, raw materials and precious metals, which are known in the financial markets ...

volatility and for the

GARCH In econometrics, the autoregressive conditional heteroskedasticity (ARCH) model is a statistical model for time series data that describes the variance of the current error term or innovation as a function of the actual sizes of the previous time ...

(generalized autoregressive conditional heteroskedasticity) model.

Biography

Tim Bollerslev received his MSc in economics and mathematics in 1983 from the

Aarhus University Aarhus University ( da, Aarhus Universitet, abbreviated AU) is a public research university with its main campus located in Aarhus, Denmark. It is the second largest and second oldest university in Denmark. The university is part of the Coimbra Gr ...

in Denmark. He continued his studies in the U.S., earning his Ph.D. in 1986 from the

University of California at San Diego The University of California, San Diego (UC San Diego or colloquially, UCSD) is a public land-grant research university in San Diego, California. Established in 1960 near the pre-existing Scripps Institution of Oceanography, UC San Diego is t ...

with a thesis titled ''Generalized Autoregressive Conditional Heteroskedasticity with Applications in Finance'' written under the supervision of

Robert F. Engle Robert Fry Engle III (born November 10, 1942) is an American economist and statistician. He won the 2003 Nobel Memorial Prize in Economic Sciences, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-va ...

(

Nobel Prize in Economics The Nobel Memorial Prize in Economic Sciences, officially the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel ( sv, Sveriges riksbanks pris i ekonomisk vetenskap till Alfred Nobels minne), is an economics award administered ...

winner in 2003). After his graduate studies, Bollerslev taught at the

Northwestern University Northwestern University is a private research university in Evanston, Illinois. Founded in 1851, Northwestern is the oldest chartered university in Illinois and is ranked among the most prestigious academic institutions in the world. Charte ...

between 1986–1995 and at the

University of Virginia The University of Virginia (UVA) is a Public university#United States, public research university in Charlottesville, Virginia. Founded in 1819 by Thomas Jefferson, the university is ranked among the top academic institutions in the United S ...

between 1996–1998. Since 1998 he is the Juanita and Clifton Kreps Professor of Economics at

. He and

Mark Watson Mark Andrew Watson (born 13 February 1980) is a British comedian and novelist. Early life Watson was born in Bristol to a Welsh mother and English father. He has younger twin sisters and a brother, Paul. He attended Bristol Grammar School, wh ...

are widely regarded as carrying forward the work of the Nobel Prize-winning economist

, as acknowledged by Engle himself.Engle's Autobiography on the Nobel Prize Website
He was a co-editor of the ''

Journal of Applied Econometrics The ''Journal of Applied Econometrics'' is a peer-reviewed academic journal covering econometrics, published by John Wiley & Sons. It focuses on applications rather than theoretical issues. It was established in 1986 and is published seven times p ...

''.

Articles

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References

External links

Bollerslev's Duke page
{{DEFAULTSORT:Bollerslev, Tim 1958 births Living people Duke University faculty 20th-century Danish economists University of California, San Diego alumni Northwestern University faculty Fellows of the Econometric Society 21st-century Danish economists