T Bollerslev, N Sizova… - Review of Finance, 2012 - rpproxy.iii.com
Abstract 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 ...
N Sizova - Journal of Econometrics, 2011 - Elsevier
This paper compares model-based and reduced-form forecasts of financial volatility when
high-frequency return data are available. We derived exact formulas for the forecast errors
and analyzed the contribution of the “wrong” data modeling and errors in forecast inputs. ...
[CITATION] Integrated variance forecasting: Model-based versus reduced form
N Sizova - 2008 - Working Paper, Department of …
N Sizova - 2008 - econ.duke.edu
Abstract This paper introduces an economically motivated performance measure for
variance forecasts based on variance trading. The performance measure is constructed
within a microeconomic framework that mimics the decision-making process of a variance ...
N Sizova - 2010 - papers.ssrn.com
Abstract: Long-horizon regressions of future stock returns on past volatility yield R-square
values of more than 72% at 10-year horizons. For the same horizons, the predictability of
volatility itself is close to zero. This puzzling combination of a higher predictability of ...
N Sizova - 2009 - dukespace.lib.duke.edu
The idea that integrates parts of this dissertation is that high-frequency data allow for more
precise and robust methods for forecasting financial volatility and elucidating the role of
volatility in forming asset prices. Thus, the first two chapters compare the performance of ...
T Bollerslev, D Osterrieder, N Sizova… - CREATES Research …, 2011 - owlnet.rice.edu
Abstract The dynamic dependencies in financial market volatility are generally well
described by a long-memory fractionally integrated process. At the same time, the volatility
risk premium, defined as the difference between the ex-post realized volatility and the ...
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