Natalia Sizova, Ph.D.
Affiliations: | 2009 | Economics | Duke University, Durham, NC |
Area:
FinanceGoogle:
"Natalia Sizova"Parents
Sign in to add mentor| Tim Bollerslev | grad student | 2009 | Duke | |
| (High-frequency financial volatility and the pricing of volatility risk.) | ||||
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Publications
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| Sizova N. (2014) A frequency-domain alternative to long-horizon regressions with application to return predictability Journal of Empirical Finance. 28: 261-272 |
| Sizova N. (2013) Long-horizon return regressions with historical volatility and other long-memory variables Journal of Business and Economic Statistics. 31: 546-559 |
| Bollerslev T, Osterrieder D, Sizova N, et al. (2013) Risk and return: Long-run relations, fractional cointegration, and return predictability Journal of Financial Economics. 108: 409-424 |
| Bollerslev T, Sizova N, Tauchen G. (2012) Volatility in equilibrium: Asymmetries and dynamic dependencies Review of Finance. 16: 31-80 |