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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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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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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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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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Jumps, Leverage and Risk Premiums
Bollerslev, Tim - 2022
Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is widely viewed as puzzling. Importantly however, in addition to direct price risks, jumps may also trigger simultaneous changes in other distributional features of asset returns. We develop...
Persistent link: https://www.econbiz.de/10013405700
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Granular Betas and Risk Premium Functions
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2022
We propose new refined measures of the local covariation between the return on an asset and a risk factor. Our proposed "granular betas" generalize the notion of up- and down-side betas to multi-factor functional measures of covariation. We then show how the resulting granular beta functions may...
Persistent link: https://www.econbiz.de/10014236462
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Realized semi(co)variation : signs that all volatilities are not created equal
Bollerslev, Tim - 2021
most noteworthy empirical findings to date pertaining to volatility forecasting and asset pricing …
Persistent link: https://www.econbiz.de/10012607048
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Stock Return and Cash Flow Predictability : The Role of Volatility Risk
Bollerslev, Tim - 2012
implications from a long-run risk model incorporating both time varying volatility and volatility uncertainty. We provide new … direct estimation of the underlying “structural” shocks and economic transmission mechanisms, including a new volatility …
Persistent link: https://www.econbiz.de/10013097882
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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
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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