Publications [#237993] of Tim Bollerslev

Journal Articles

1. Bollerslev, T; Todorov, V, Tails, Fears, and Risk Premia, Journal of Finance, vol. 66 no. 6 (December, 2011), pp. 2165-2211, WILEY, ISSN 0022-1082 [doi]
   (last updated on 2024/04/22)

   Abstract:
   We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof, we identify and estimate a new Investor Fears index. The index reveals large time-varying compensation for fears of disasters. Our empirical investigations involve new extreme value theory approximations and high-frequency intraday data for estimating the expected jump tails under the statistical probability measure, and short maturity out-of-the-money options and new model-free implied variation measures for estimating the corresponding risk-neutral expectations. © 2011 the American Finance Association.