The idiosyncratic volatility of volatility effect in the A-share market : an interpretation based on heterogeneous variance beliefs
Zhijun Hu, Xiang Gao, Aifan Ling
| Year of publication: |
2025
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|---|---|
| Authors: | Hu, Zhijun ; Gao, Xiang ; Ling, Aifan |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 75.2025, Art.-No. 106851, p. 1-9
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| Subject: | Heterogeneous variance beliefs | Idiosyncratic volatility of volatility | Negative premium phenomenon | Stochastic volatility | Volatilität | Volatility | Börsenkurs | Share price | Theorie | Theory | Schätzung | Estimation | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2025.106851 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015407779