Volatility in Equilibrium : Asymmetries and Dynamic Dependencies *

  title={Volatility in Equilibrium : Asymmetries and Dynamic Dependencies *},
  author={Tim Bollerslev and Natalia Sizova and GEORGE TAUCHEN},
Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the volatility, features short memory. This paper develops the first internally consistent equilibrium-based explanation for all these empirical facts. Using newly available high-frequency intraday data for the S&P 500 and the VIX… CONTINUE READING
Highly Cited
This paper has 40 citations. REVIEW CITATIONS

From This Paper

Figures, tables, and topics from this paper.


Publications referenced by this paper.
Showing 1-10 of 24 references

Studies in stock price volatility changes. in: Proceedings from the American Statistical Association, Business and Economics Statistics Section

F. Minnesota. Black
Journal of Econometrics • 1976
View 5 Excerpts
Highly Influenced

What ’ s Vol Got to Do with It ?

Itamar Drechsler, Amir Yaron
View 11 Excerpts
Highly Influenced

Long memory continuous time models, Journal of Econometrics

F. Comte, E. Renault
Journal of Financial Econometrics • 1996
View 3 Excerpts
Highly Influenced

Similar Papers

Loading similar papers…