A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns
Year of publication: |
2013-01-01
|
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Authors: | Garcia, René ; Mantilla-Garcia, Daniel ; Martellini, Lionel |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | Aggregate idiosyncratic volatility | cross-sectional dispersion | prediction of market returns |
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