Publications [#237984] of Tim Bollerslev

Journal Articles

1. Bollerslev, T; Litvinova, J; Tauchen, G, Leverage and volatility feedback effects in high-frequency data, Journal of Financial Econometrics, vol. 4 no. 3 (June, 2006), pp. 353-384, Oxford University Press (OUP), ISSN 1479-8409 [doi]
   (last updated on 2024/04/22)

   Abstract:
   We examine the relationship between volatility and past and future returns using high-frequency aggregate equity index data. Consistent with a prolonged "leverage" effect, we find the correlations between absolute high-frequency returns and current and past high-frequency returns to be significantly negative for several days, whereas the reverse cross-correlations are generally negligible. We also find that high-frequency data may be used in more accurately assessing volatility asymmetries over longer daily return horizons. Furthermore, our analysis of several popular continuous-time stochastic volatility models clearly points to the importance of allowing for multiple latent volatility factors for satisfactorily describing the observed volatility asymmetries. © 2006 Oxford University Press.