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Cross-sectional dependence in idiosyncratic volatility
Kalnina, Ilze; Tewou, Kokouvi - 2015
Persistent link: https://www.econbiz.de/10011404552
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High-frequency factor models and regressions
Aït-Sahalia, Yacine; Kalnina, Ilze; Xiu, Dacheng - In: Journal of econometrics 216 (2020) 1, pp. 86-105
Persistent link: https://www.econbiz.de/10012439640