Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
CREATES Research Paper 2009-5
Volatility in Equilibrium: Asymmetries and Dynamic
Dependencies …
Building 1322, DK-8000 Aarhus C
Denmark
Volatility in Equilibrium:
Asymmetries and Dynamic Dependencies ⁄
Tim … volatility clusters in time, carries a risk premium, is fractionally inte-
grated, and exhibits asymmetric leverage efiects …