Volatility in equilibrium: asymmetries and dynamic dependencies
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Publication:2919956
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- Inference theory for volatility functional dependencies
- Equilibrium variance risk premium in a cost-free production economy
- A non-linear dynamic model of the variance risk premium
- Margin borrowing, stock returns, and market volatility: evidence from margin credit balance
- Asymmetric volatility risk: evidence from option markets
- A fractionally integrated Wishart stochastic volatility model
- Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method
- A theory of volatility spreads
- Horizon effect in the term structure of long-run risk-return trade-offs
- More stylized facts of financial markets: leverage effect and downside correlations
- The skewness risk premium in equilibrium and stock return predictability
- Realized stochastic volatility with general asymmetry and long memory
- Volatility and welfare
- The long and the short of the risk-return trade-off
- Modelling nonlinearities in equity returns: the mean impact curve analysis
- Volume-volatility dynamics in an intertemporal asset pricing model.
- 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
- Limited information-processing capacity and asymmetric stock correlations
- Probabilistic forecasts of volatility and its risk premia
- Volatility smirk as an externality of agency conflict and growing debt
- Volatility of volatility and leverage effect from options
- The variance risk premium and fundamental uncertainty
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