A model-free measure of aggregate idiosyncratic volatility and the prediction of market returns
Year of publication: |
2014
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Authors: | Garcia, René ; Mantilla-Garcia, Daniel ; Martellini, Lionel |
Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 49.2014, 5/6, p. 1133-1165
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Subject: | Kapitalmarktrendite | Capital market returns | Volatilität | Volatility | Prognoseverfahren | Forecasting model | USA | United States | 1964-2006 |
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