Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation
Xuanming Ni, Long Qian, Huimin Zhao, Jia Liu
| Year of publication: |
2021
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| Authors: | Ni, Xuanming ; Qian, Long ; Zhao, Huimin ; Liu, Jia |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 76.2021, p. 1-9
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| Subject: | High-dimensional covariance estimator | Idiosyncratic correlation | Idiosyncratic volatility | PCA | Volatilität | Volatility | Korrelation | Correlation | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Schätzung | Estimation | Schätztheorie | Estimation theory | Risiko | Risk | CAPM | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2021.101792 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012805046