Volatility puzzles: a simple framework for gauging return-volatility regressions

DOI10.1016/j.jeconom.2005.01.006zbMath1337.62346OpenAlexW2071105713MaRDI QIDQ292008

Tim Bollerslev, Hao Zhou

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.006

zbMATH Keywords

realized volatilitystochastic volatility modelimplied volatility forecastinstrument variableleverage asymmetryvolatility feedback

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Stochastic models in economics (91B70)

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Cites Work

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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities

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