Publications [#238032] of Tim Bollerslev

Journal Articles

1. Bollerslev, T; Mikkelsen, HO, Long-term equity anticipation securities and stock market volatility dynamics, Journal of Econometrics, vol. 92 no. 1 (January, 1999), pp. 75-99, Elsevier BV [repository], [doi]
   (last updated on 2024/04/16)

   Abstract:
   Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.