Bollerslev, Tim; Sizova, Natalia; Tauchen, George - In: Review of Finance 16 (2011) 1, pp. 31-80
Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the volatility, features...