Expected idiosyncratic volatility
Geert Bekaert, Mikael Bergbrant, Haimanot Kassa
| Year of publication: |
2025
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|---|---|
| Authors: | Bekaert, Geert ; Bergbrant, Mikael ; Kassa, Haimanot |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 1460384-6. - Vol. 167.2025, Art.-No. 104023, p. 1-20
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| Subject: | ARIMA | ARMA | EGARCH | HAR | Idiosyncratic volatility | IVOL puzzle | Martingale | Max returns | MIDAS | Quarticity | Realized variances | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | Varianzanalyse | Analysis of variance | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | CAPM | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2025.104023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015564642