Natalia Sizova

Rice University

6100 South Main Street

Houston, TX 77005-1892

United States

SCHOLARLY PAPERS

7

DOWNLOADS

805

SSRN CITATIONS
Rank 16,319

SSRN RANKINGS

Top 16,319

in Total Papers Citations

36

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, Rice University and Duke University - Economics Group
Downloads 206 (153,343)
Citation 8

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, Rice University and Duke University - Economics Group
Downloads 177 (176,382)
Citation 8

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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 Rice University
Downloads 125 (235,787)
Citation 2

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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 Rice University
Downloads 153 (199,892)
Citation 1

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
Rice University
Downloads 55 (386,146)
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
Rice University
Downloads 49 (406,407)
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
Rice University
Downloads 23 (523,696)
Citation 11

Abstract:

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

6.

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 Rice University
Downloads 9 (611,713)

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Nonlinear State Space Systems, Bayes Updating, Stochastic Volatility

7.

Nearly Optimal Test for Long Run Predictability with Nearly Integrated Regressors

Number of pages: 54 Posted: 24 Mar 2018 Last Revised: 10 Nov 2018
Natalia Sizova
Rice University
Downloads 8 (618,435)

Abstract:

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long-run predictability, frequency domain