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The Distribution of Stock Return Volatility

Torben M. Andersen · Tim Bollerslev · Francis X. Diebold · Heiko Ebens

497 citations0/0 files storedNational Bureau of Economic Research

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

Abstract

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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 1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 2005Stochastic Integration and Differential Equations 1997The variation of certain speculative prices 1992ARCH modeling in finance 1987Expected stock returns and volatility

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2001The Economic Value of Volatility Timing Using 'Realized' Volatility 2013Uncertainty, Time‐Varying Fear, and Asset Prices 2006Leverage and Volatility Feedback Effects in High-Frequency Data 2003Empirical option pricing: a retrospection 2006Chapter 15 Volatility and Correlation Forecasting 2005Neglecting parameter changes in GARCH models 2001

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