Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

By Tim Bollerslev, N. Sizova, George Tauchen. 2009

147 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/97de3cb43c35a77dcf89214d3136e405bbb392c4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. V. Todorov
2. Tim Bollerslev
3. George Tauchen
4. Hao Zhou
5. Lai Xu
6. N. Sizova
7. Daniela Osterrieder
8. J. Marrone

In Finance

1. V. Todorov
2. Tim Bollerslev
3. George Tauchen
4. Lai Xu
5. Hao Zhou
6. N. Sizova
7. Torben G. Andersen
8. Daniela Osterrieder

Citations in the corpus

• Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence (2011, result): “This, of course, is consistent with the well-documented “leverage” effect (see, e.g., Bollerslev, Sizova, and Tauchen (2012) and the many references therein).”
• Tail risk premia and return predictability (2014, methodology): “…measures are based on data available at the 15:15 CST close of the CBOE on Fridays, while the weekly aggregate market returns span the period from 16:00 EST the previous Monday to 16:00 EST the following Monday. discussion in Bollerslev, Sizova, and Tauchen (2012) and the references therein.”
• Risk and return: Long-run relations, fractional cointegration, and return predictability $ (2013, background): “…Inc. and cover the period from September 22, 2003 to January 31, 2012 and to December 30, 2011, respectively; further details concerning the data are available in Bollerslev, Sizova, and Tauchen (2012), where the same data have been analyzed from a different perspective over a shorter time period.”
• A tale of two option markets: Pricing kernels and volatility risk ☆ (2014, unknown): “Although the state vector dynamics are specified in discrete time, the model (9) is actually a special case of the affine model in Bollerslev et al. (2012).”
• Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns (2014, unknown): “13This simple relation has, of course, been extensively investigated in the empirical asset pricing literature; see, e.g., Bollerslev, Sizova, and Tauchen (2012) and the many additional references therein. respectively, while q (0) t represents a standard convexity adjustment term.”