[Tex/LaTex] including own fonts in xelatex with fontspec doesn’t work for “bold” “italic” font faces

Question

can't solve this problem. For my thesis I am forced to use ugly "times new roman", using the free "times" won't do it. That's why I tried {font spec} (only under XelatTex) to include my own font files from my mac. The paths are correct, if I change the filename it gives me an error. It will work for the main text, but of some reasons I can't get it worked for bold and italics as in headlines. Interestingly, that stuff continues to be then "times". even tough, it hasn't been defined.

Does anybody know how to solve this? Submission is tomorrow and I can't get it straight :/

\documentclass[a4paper]{article} 

\usepackage{fontspec} 
\setmainfont[ 
Extension = .ttf, 
BoldFont=Times_New_Roman_Bold , 
ItalicFont=Times_New_Roman_Italic , 
BoldItalicFont=Times_New_Roman_Bold_Italic, 
]{Times_New_Roman} 

\begin{document} 
\subsection{this stuff becomes times} 
This will be times new roman. As wanted.
\end{document}    

Answer 1

Why the underscores ?

Try this:

\documentclass[a4paper]{article}

\usepackage{fontspec}

\setmainfont{Times New Roman}

\begin{document} 
\section{This stuff becomes times} 
This will be Times New Roman. As wanted.
\textbf{\textit{And this too is ok}}.
\end{document}
% Local Variables:
% TeX-engine: xetex
% End: