Search Results - subject:"Aggregate idiosyncratic volatility"

Does idiosyncratic volatility matter at the global level?

Umutlu, Mehmet - In: The North American journal of economics and finance : a … 47 (2019), pp. 252-268

Persistent link: https://www.econbiz.de/10012117857

A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns

Garcia, René; Mantilla-Garcia, Daniel; Martellini, Lionel - Centre Interuniversitaire de Recherche en Analyse des … - 2013

efficient estimator for aggregate idiosyncratic volatility. This measure has two key advantages: it is model-free and observable …' exposures to the aggregate idiosyncratic volatility risk predict the cross-section of expected returns. …

Persistent link: https://www.econbiz.de/10011183697

Aggregate idiosyncratic volatility, dynamic aspects of loss aversion, and narrow framing

Hur, Jungshik; Mbanga, Cedric - In: Review of quantitative finance and accounting 49 (2017) 2, pp. 407-433

Persistent link: https://www.econbiz.de/10011797092

The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility

Byun, Sung Je - In: Journal of empirical finance 36 (2016), pp. 162-180

Persistent link: https://www.econbiz.de/10011662839