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

René GarcíaDaniel Mantilla-GarcíaLionel Martellini2026-03-222026-03-22201310.2139/ssrn.2202961https://doi.org/10.2139/ssrn.2202961https://andeanlibrary.org/handle/123456789/59247Citaciones: 25enVolatility (finance)EconometricsEconomicsSystematic riskAggregate (composite)Measure (data warehouse)Financial economicsA Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returnsarticle