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Answering the critics : yes, arch models do provide good volatility forecasts

Andersen, Torben; Bollerslev, Tim - 1997

Persistent link: https://www.econbiz.de/10000627888

Tail risk premia and return predictability

Bollerslev, Tim; Todorov, Viktor; Xu, Lai - In: Journal of financial economics 118 (2015) 1, pp. 113-134

Persistent link: https://www.econbiz.de/10011480379

Stock return and cash flow predictability : the role of volatility risk

Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471

Persistent link: https://www.econbiz.de/10011499728

Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns

Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor - In: Journal of financial economics 120 (2016) 3, pp. 464-490

Persistent link: https://www.econbiz.de/10011590229

Tail risk premia and return predictability

Bollerslev, Tim; Todorov, Viktor; Xu, Lai - 2014

Persistent link: https://www.econbiz.de/10010442441

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

Bollerslev, Tim (contributor); … - 2004

"This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte...