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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 volatility, is distinctly less persistent and appears short …
Persistent link: https://www.econbiz.de/10014190565
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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 volatility, is distinctly less persistent and appears short …
Persistent link: https://www.econbiz.de/10013144799
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013109053
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013115149
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Tails, Fears and Risk Premia
Bollerslev, Tim - 2009
market volatility, but the risk premium for tail events cannot solely be explained by the level of the volatility. Our …
Persistent link: https://www.econbiz.de/10013158966
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Tails, Fears and Risk Premia
Bollerslev, Tim - 2011
We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof we identify and estimate a new Investor Fears index. The index suggests both large and...
Persistent link: https://www.econbiz.de/10013133667
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Stock Return and Cash Flow Predictability : The Role of Volatility Risk
Bollerslev, Tim - 2012
direct estimation of the underlying “structural” shocks and economic transmission mechanisms, including a new volatility … implications from a long-run risk model incorporating both time varying volatility and volatility uncertainty. We provide new …
Persistent link: https://www.econbiz.de/10013097882
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The jump leverage risk premium
Bollerslev, Tim; Todorov, Viktor - In: Journal of financial economics 150 (2023) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
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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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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