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Disentangling systematic and idiosyncratic risk for large panels of assets
Barigozzi, Matteo, (2010)
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures
Barigozzi, Matteo, (2014)
On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
Brownlees, Christian T., (2008)