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Generalized jump regressions for local moments
Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
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Expected stock returns and variance risk premia
Bollerslev, Tim; Tauchen, George Eugene; Zhou, Hao - In: The review of financial studies 22 (2009) 11, pp. 4463-4492
Persistent link: https://www.econbiz.de/10003896321
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Risk and return : long-run relations, fractional cointegration, and return predictability
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - In: Journal of financial economics 108 (2013) 2, pp. 409-424
Persistent link: https://www.econbiz.de/10009749332
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Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi - In: Journal of econometrics 172 (2013) 2, pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 633-661
Persistent link: https://www.econbiz.de/10010487089
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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
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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
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Sensitivity of US equity returns to economic policy uncertainty and investor sentiments
Ur Rehman, Mobeen; Sensoy, Ahmet; Eraslan, Veysel; … - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012822120
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Realized semi(co)variation : signs that all volatilities are not created equal
Bollerslev, Tim - In: Journal of financial econometrics 20 (2022) 2, pp. 219-252
Persistent link: https://www.econbiz.de/10013187965
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Equity clusters through the lens of realized semicorrelations
Bollerslev, Tim; Patton, Andrew J.; Zhang, Haozhe - In: Economics letters 211 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10013172536