Volatility in equilibrium: asymmetries and dynamic dependencies

DOI10.1093/ROF/RFR005zbMATH Open1250.91105OpenAlexW3126108094MaRDI QIDQ2919956FDOQ2919956

George Tauchen, Tim Bollerslev, Natalia Sizova

Publication date: 23 October 2012

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfr005

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Economic dynamics (91B55)

Cited In (22)

• Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model
• A theoretical foundation of ambiguity measurement
• Inference theory for volatility functional dependencies
• Equilibrium variance risk premium in a cost-free production economy
• A fractionally integrated Wishart stochastic volatility model
• A non-linear dynamic model of the variance risk premium
• Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method
• Horizon effect in the term structure of long-run risk-return trade-offs
• The skewness risk premium in equilibrium and stock return predictability
• Realized stochastic volatility with general asymmetry and long memory
• Volatility and welfare
• Modelling nonlinearities in equity returns: the mean impact curve analysis
• The long and the short of the risk-return trade-off
• Testing for parameter instability and structural change in persistent predictive regressions
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
• Level and slope of volatility smiles in long-run risk models
• Dynamic equilibrium and volatility in financial asset markets
• A tale of two option markets: pricing kernels and volatility risk
• Stock return and cash flow predictability: the role of volatility risk
• Probabilistic forecasts of volatility and its risk premia
• Volatility of volatility and leverage effect from options
• The variance risk premium and fundamental uncertainty

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