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Tails, fears and risk premia
Bollerslev, Tim; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003849565
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - 2011
Persistent link: https://www.econbiz.de/10009559410
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10009559443
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - In: The journal of finance : the journal of the American … 66 (2011) 6, pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - In: Review of finance : journal of the European Finance … 16 (2012) 1, pp. 31-80
Persistent link: https://www.econbiz.de/10009520608
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10009560379
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Volatility in Equilibrium : Asymmetries and Dynamic Dependencies
Bollerslev, Tim - 2010
Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...
Persistent link: https://www.econbiz.de/10013144799
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Volatility in Equilibrium : Asymmetries and Dynamic Dependencies
Bollerslev, Tim; Tauchen, George; Sizova, Natalia - 2010
Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...
Persistent link: https://www.econbiz.de/10014190565
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10003849492
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Tails, Fears and Risk Premia
Bollerslev, Tim - 2011
investigations are essentially model-free, involving new extreme value theory approximations and high-frequency intraday data for …
Persistent link: https://www.econbiz.de/10013133667