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- W2118314802 abstract "Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short-memory. This paper develops the first internally consistent equilibrium based explanation for all of these empirical facts. The model is cast in continuous-time and entirely self-contained, involving non-separable recursive preferences. Our empirical investigations are made possible through the use of newly available high-frequency intra-day data for the VIX volatility index, along with corresponding high-frequency data for the S&P 500 aggregate market portfolio. We show that the qualitative implications from the new theoretical model match remarkably well with the distinct shapes and patterns in the sample auto-correlations and dynamic cross-correlations in the returns and volatilities observed in the data." @default.
- W2118314802 created "2016-06-24" @default.
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- W2118314802 date "2010-01-01" @default.
- W2118314802 modified "2023-10-03" @default.
- W2118314802 title "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies" @default.
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- W2118314802 doi "https://doi.org/10.2139/ssrn.1589742" @default.
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