Similar Search Results

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

Roughing up Beta : Continuous versus Discontinuous Betas and the Cross Section of Expected Stock Returns

Bollerslev, Tim - 2016

We investigate how individual equity prices respond to continuous and jumpy market price moves and how these different market price risks, or betas, are priced in the cross section of expected stock returns. Based on a novel high-frequency data set of almost one thousand stocks over two decades,...

Persistent link: https://www.econbiz.de/10013005591

Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns

Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor - In: Journal of financial economics 120 (2016) 3, pp. 464-490

Persistent link: https://www.econbiz.de/10011590229

Tail risk premia and return predictability

Bollerslev, Tim; Todorov, Viktor; Xu, Lai - 2014

Persistent link: https://www.econbiz.de/10010442441

The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584

Persistent link: https://www.econbiz.de/10011480313

Information gains from using short-dated options for measuring and forecasting volatility

Todorov, Viktor; Zhang, Yang - In: Journal of applied econometrics 37 (2022) 2, pp. 368-391

Persistent link: https://www.econbiz.de/10013165240

Tail risk and return predictability for the Japanese equity market

Andersen, Torben; Todorov, Viktor; Ubukata, Masato - In: Journal of econometrics 222 (2021) 1,2, pp. 344-363

Persistent link: https://www.econbiz.de/10012619430

Volatility measurement with pockets of extreme return persistence

Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27

Persistent link: https://www.econbiz.de/10014471793

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

Answering the critics : yes, arch models do provide good volatility forecasts

Andersen, Torben; Bollerslev, Tim - 1997

Persistent link: https://www.econbiz.de/10000627888