Risk and return: Long-run relations, fractional cointegration, and return predictability $

By Tim Bollerslev, Daniela Osterrieder, N. Sizova, George Tauchen. 2013

151 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7ac4154e63cb7222eb4cf7fce6b1c3f9df7e259e

Citations in the corpus

• Forecasting Volatility of the U.S. Oil Market (2014, unknown): “Bollerslev et al. (2013) and references within), much less work has been done in this field for commodity markets.”
• Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, unknown): “11 In particular, we show the slope of the Treasury yield curve as measured by TERM, the Cochrane and Piazzesi (2005) CP factor, the BAA-AAA credit spread (DEF), the dividend yield (DY) of the S&P500, the CAY factor by Lettau and Ludvigson (2001), and the variance risk premium (VRP) of Bollerslev et”
• Estimation of fractionally integrated panels with fixed effects and cross-section dependence (2015, unknown): “…volatility, have been theoretically and empirically shown to exhibit long-range dependence of non-integer orders, see e.g. Robinson (1978), Granger (1980), Baillie (1996), Gil-Alaña and Robinson (1997) and Bollerslev et al. (2013), panel data models should also be able to accommodate such behavior.”