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Volatility in Equilibrium: Asymmetries and Dynamic Dependencies · Study

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PreprintVolatility in Equilibrium: Asymmetries and Dynamic Dependencies

Tim Bollerslev2010

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Preprintgreen2010

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Tim Bollerslev · Natalia Sizova · George E. Tauchen

38 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1973An Intertemporal Capital Asset Pricing Model 2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 1987Expected stock returns and volatility 2003Modeling and Forecasting Realized Volatility

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2015The variance risk premium and fundamental uncertainty

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Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations38

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1589742

openalex_workW2118314802

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