A model-free measure of aggregate idiosyncratic volatility and the prediction of market returns
René Garcia, Daniel Mantilla-Garcia and Lionel Martellini
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011338944