Publications [#237995] of Tim Bollerslev

Journal Articles

1. Bollerslev, T; Sizova, N; Tauchen, G, Volatility in equilibrium: Asymmetries and dynamic dependencies, Review of Finance, vol. 16 no. 1 (2012), pp. 31-80, Oxford University Press (OUP), ISSN 1572-3097 [doi]
   (last updated on 2026/01/15)

   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 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 volatility index, the authors show that the qualitative implications from the new theoretical continuous-time model match remarkably well with the distinct shapes and patterns in the sample autocorrelations and dynamic cross-correlations actually observed in the data. © The Authors 2011.