Browsing by Author "Bollerslev, T"
Now showing items 1-20 of 21
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A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
(2005)The increasing availability of high-frequency asset return data has had a fundamental impact on empirical financial economics, focusing attention on asset return volatility and correlation dynamics, with key applications ... -
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
(Journal of International Money and Finance, 1990-01-01)Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix ... -
Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis
(Journal of International Economics, 1994-01-01)Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the foreign exchange market is positively related to ... -
Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities
(Econometrica, 2005-01-01)We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric ... -
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions
(Economic Research Initiatives at Duke (ERID), 2013-06-11)We construct daily house price indexes for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method ... -
Equity trading volume and volatility: Latent information arrivals and common long-run dependencies
(Journal of Business and Economic Statistics, 1999-01-01)This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard and Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally integrated ... -
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
(Journal of Econometrics, 2002-07-01)We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions ... -
From zero to hero: Realized partial (co)variances
(Journal of Econometrics, 2021-01-01)This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen et al. (2010) and Bollerslev et al. (2020a) to allow for a finer decomposition of realized ... -
Long-term equity anticipation securities and stock market volatility dynamics
(Journal of Econometrics, 1999-09-01)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 ... -
"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange"
(2003)Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange ... -
"Modeling and Forecasting Realized Volatility"
(2003)We provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Most procedures for ... -
Periodic Autoregressive Conditional Heteroskedasticity
(1996)Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a new class of models featuring periodicity in conditional heteroscedasticity explicitly designed to capture the repetitive seasonal ... -
Realized Semi(Co)Variation: Signs that All Volatilities are Not Created Equal
(Economic Research Initiatives at Duke (ERID) Working Paper, 2021-06-17) -
Realized semibetas: Disentangling “good” and “bad” downside risks
(Journal of Financial Economics, 2021-01-01)We propose a new decomposition of the traditional market beta into four semibetas that depend on the signed covariation between the market and individual asset returns. We show that semibetas stemming from negative market ... -
Realized Semicovariances: Looking for Signs of Direction Inside the Covariance Matrix
(Economic Research Initiatives at Duke (ERID) Working Paper, 2017-09-05) -
Risk, jumps, and diversification
(2008)We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and an equiweighted index constructed from the same stocks. Using a new test for common jumps that explicitly utilizes the ... -
Semiparametric Estimation of Long-Memory Volatility Dependencies
(Journal of Econometrics, 2000) -
The forward premium anomaly is not as bad as you think
(Journal of International Money and Finance, 2000-08-01)The forward premium anomaly refers to the widespread empirical finding that the slope coefficient in the regression of the change in the logarithm of the spot exchange rate on the forward premium is invariably less than ...
