The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility
Sung Je Byun
| Year of publication: |
March 2016
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|---|---|
| Authors: | Byun, Sung Je |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 36.2016, p. 162-180
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| Subject: | Forecasting S&P 500 volatility | Cross-sectional dispersion | Aggregate idiosyncratic volatility | Large panel data model | Volatilität | Volatility | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Panel | Panel study | Schätzung | Estimation | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2016.01.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011662839