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Political risk and stock price volatility : the case of Hong Kong

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Understanding stock market volatility : the case of Korea and Taiwan

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Volatility and price change spillover effects across the developed and emerging markets

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A GMM approach for estimation of volatility and regression models when daily prices are subject to price limits

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The Fu (2009) positive relation between idiosyncratic volatility and expected returns is due to look-ahead bias

Park, Seongkyu; Wei, K. C. John; Zhang, Linti - In: Critical finance review 12 (2023) 1/4, pp. 57-124

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The Fu (2009) Positive Relation between Idiosyncratic Volatility and Expected Returns Is Due to Look-Ahead Bias

Park, Seongkyu; Wei, K. C. John; Zhang, Linti - 2020

Expected idiosyncratic volatility and its positive relation to expected returns of Fu (2009) can be closely replicated, but only when we include information up to time t to estimate the idiosyncratic volatility at time t. Since this involves look-ahead bias, we re-estimate expected idiosyncratic...

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The impact of salient political and economic news on the trading activity

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