Publications [#325431] 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 (2011), pp. 31-80
   (last updated on 2026/01/16)

   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. Copyright 2011, Oxford University Press.