A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns

Date

2013

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

RELX Group (Netherlands)

Abstract

Description

Citaciones: 25

Keywords

Volatility (finance), Econometrics, Economics, Systematic risk, Aggregate (composite), Measure (data warehouse), Financial economics

Citation

DOI

10.2139/ssrn.2202961

URI

https://doi.org/10.2139/ssrn.2202961
 https://andeanlibrary.org/handle/123456789/59247

Collections

Artículo Científico Publicado