Correlated idiosyncratic volatility shocks
Xiao Qiao and Yongning Wang
| Year of publication: |
2021
|
|---|---|
| Authors: | Qiao, Xiao ; Wang, Yongning |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 23.2021, 5, p. 25-54
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| Subject: | volatility | generalized autoregressive conditional heteroscedasticity (GARCH) | stock returns | idiosyncratic risk | portfolio optimization | Volatilität | Volatility | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Risiko | Risk | Schock | Shock | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Korrelation | Correlation | Aktienindex | Stock index | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2021.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012630868