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Volatility in equilibrium: Asymmetries and dynamic dependencies

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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 ...
Cited by 37 - Related articles - All 31 versions

Integrated variance forecasting: Model-based vs. reduced-form

[PDF] from rice.edu
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. ...
Cited by 4 - Related articles - Get it from MIT Libraries - All 16 versions

[CITATION] Integrated variance forecasting: Model-based versus reduced form

N Sizova - 2008 - Working Paper, Department of …
Cited by 2 - Related articles

[PDF] Variance forecast performance measures: An economic approach

[PDF] from duke.edu
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 ...
Cited by 1 - Related articles - View as HTML - All 4 versions

Long-Horizon Return Regressions with Historical Volatility and Other Long-Memory Variables

[PDF] from rice.edu
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 ...
Cited by 1 - Related articles - Get it from MIT Libraries - All 5 versions

High-Frequency Financial Volatility and the Pricing of Volatility Risk

[PDF] from duke.edu
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 ...
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[PDF] Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability

[PDF] from rice.edu
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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