Natalia Sizova

Bing Ads Marketplace, Microsoft

555 110th Ave NE

Microsoft City Center

Bellevue, WA 98004

United States

SCHOLARLY PAPERS

7

DOWNLOADS

819

SSRN CITATIONS
Rank 14,357

SSRN RANKINGS

Top 14,357

in Total Papers Citations

56

CROSSREF CITATIONS

18

Scholarly Papers (7)

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Economic Research Initiatives at Duke (ERID) Working Paper No. 35
Number of pages: 52 Posted: 14 Apr 2010 Last Revised: 06 May 2010
Tim Bollerslev, Natalia Sizova and George Tauchen
Duke University - Finance, Bing Ads Marketplace, Microsoft and Duke University - Economics Group
Downloads 206 (164,908)
Citation 11

Abstract:

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Equilibrium asset pricing, stochastic volatility, leverage effect, volatility feedback, option implied volatility, realized volatility, variance risk premium

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Number of pages: 51 Posted: 22 Feb 2009
Tim Bollerslev, Natalia Sizova and George Tauchen
Duke University - Finance, Bing Ads Marketplace, Microsoft and Duke University - Economics Group
Downloads 177 (189,621)
Citation 11

Abstract:

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Equilibrium asset pricing, stochastic volatility, leverage effect, volatility feed-back, option implied volatility, realized volatility, variance risk premium

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Economic Research Initiatives at Duke (ERID) Working Paper No. 73
Number of pages: 47 Posted: 07 Oct 2010
Tim Bollerslev, George Tauchen and Natalia Sizova
Duke University - Finance, Duke University - Economics Group and Bing Ads Marketplace, Microsoft
Downloads 126 (251,365)
Citation 2

Abstract:

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Equilibrium asset pricing, stochastic volatility, leverage effect, volatility feedback, option implied volatility, realized volatility, variance risk premium

2.

Extreme Events in Stock Market Fundamental Factors

Number of pages: 53 Posted: 25 Aug 2015 Last Revised: 27 Feb 2017
James Gualtieri and Natalia Sizova
Rice University and Bing Ads Marketplace, Microsoft
Downloads 155 (212,467)
Citation 2

Abstract:

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equity factors, momentum, value, jump diffusion, factor investing, multivariate jump diffusion, jump risk premia

3.

Long-Horizon Return Regressions with Historical Volatility and Other Long-Memory Variables

Number of pages: 29 Posted: 26 Jul 2010 Last Revised: 25 Jul 2013
Natalia Sizova
Bing Ads Marketplace, Microsoft
Downloads 58 (402,840)
Citation 2

Abstract:

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spurious regression, long-range dependence, return predictability

4.

A Frequency-Domain Alternative to Long-Horizon Regressions with Application to Return Predictability

Number of pages: 21 Posted: 26 Jul 2013
Natalia Sizova
Bing Ads Marketplace, Microsoft
Downloads 49 (434,703)
Citation 1

Abstract:

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Predictive regressions, semiparametric methods, local-to-unity, long memory, long-horizon regressions, subsampling

5.

Integrated Variance Forecasting: Model-Based vs. Reduced-Form

Number of pages: 59 Posted: 25 Mar 2010
Natalia Sizova
Bing Ads Marketplace, Microsoft
Downloads 23 (559,779)
Citation 12

Abstract:

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volatility forecasting, high-frequency data, reduced-form methods, model misspecification

6.

Nearly Optimal Test for Long Run Predictability with Nearly Integrated Regressors

Number of pages: 60 Posted: 24 Mar 2018 Last Revised: 18 Jun 2020
Natalia Sizova
Bing Ads Marketplace, Microsoft
Downloads 13 (626,191)

Abstract:

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long-run predictability, frequency domain

7.

A Perturbation Approach to Nonlinear Filtering: The Case of Stochastic Volatility

Number of pages: 50 Posted: 03 Dec 2018
Ivana Komunjer and Natalia Sizova
University of California, San Diego (UCSD) - Department of Economics and Bing Ads Marketplace, Microsoft
Downloads 12 (633,379)

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Nonlinear State Space Systems, Bayes Updating, Stochastic Volatility