Volatility puzzles: a simple framework for gauging return-volatility regressions

By Tim Bollerslev, Hao Zhou. 2006

248 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8e6be1d9c4d09112bd37d1d370933d97c0d87f80

Citations in the corpus

• A behavioral explanation for the negative asymmetric return–volatility relation (2008, unknown): “However, by using regression models similar to those of Bollerslev and Zhou (2006), the results are consistent with behavioral explanations of the relation, but not the leverage or volatility feedback explanations.”
• Modeling and predicting the CBOE market volatility index (2014, unknown): “The motivation for using S&P 500 returns is to take into account possible leverage and volatility feedback effects (Bollerslev and Zhou, 2006).”
• The intertemporal capital asset pricing model with dynamic conditional correlations (2010, unknown): “Follow-up studies by Baillie and DeGennaro (1990), Campbell and Hentchel (1992), Glosten et al. (1993), Harrison and Zhang (1999), and Bollerslev and Zhou (2006) rely on the GARCH-in-mean and realized volatility models that provide no evidence for a robust, significant link between expected return…”
• The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship (2015, unknown): “Bollerslev and Zhou (2006) put much of the diversity of findings about the stock market return and volatility relationship down to different methods of measuring volatility.”
• What Segments Equity Markets (2011, unknown): “risk aversion based on the parameter estimates of the habit-persistence model from Campbell and Cochrane (1999). Frequency: Annual.”
• Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2009, unknown): “The new equilibrium model developed here is related to the model in Bollerslev et al. (2009b), in which the volatility-of-volatility in the economy is determined by its own separate stochastic process, and the long-run risk model of Drechsler and Yaron (2008), in which the expected growth rate in co”
• The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets (2007, unknown): “…sample mean of IV is slightly higher than that of RV in the stock (.032 vs .029) and bond (.009 vs .007) markets, possibly re ecting a negative price of volatility risk (c.f. Bollerslev & Zhou (2006)), an early exercise premium, or the overnight closing period in the stock and bond markets.”
• Alternative Asymmetric Stochastic Volatility Models (2009, unknown): “Recently, Bollerslev and Zhou (2006) investigated not only asymmetric effects, but also the linear relationship between the contemporaneous returns and volatility, which they termed the “volatility feedback” effect.”
• On the Role of Risk Premia in Volatility Forecasting (2007, unknown): “Bollerslev and Zhou (2006) derived the volatility–return relationships in addition to the volatility forecasting equation in the framework of the Heston model.”