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Stochastic volatility in general equilibrium
Tauchen, George Eugene - In: The quarterly journal of finance 1 (2011) 4, pp. 707-731
Persistent link: https://www.econbiz.de/10009553957
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On the determination of general scientific models
Gallant, A. Ronald (contributor);  … - 2004 - This draft September 2004
Persistent link: https://www.econbiz.de/10003770545
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On the determination of general scientific models with application to asset pricing
Gallant, A. Ronald; McCulloch, Robert E. - In: Journal of the American Statistical Association : JASA 104 (2009) 485, pp. 117-131
Persistent link: https://www.econbiz.de/10003878162
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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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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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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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Introduction to model uncertainty and robustness
Hansen, Lars Peter; Maenhout, Pascal J.; Rustichini, Aldo; … - In: Journal of economic theory 128 (2006) 1, pp. 1-3
Persistent link: https://www.econbiz.de/10003335321