Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation
Year of publication: |
2021
|
---|---|
Authors: | Ni, Xuanming ; Qian, Long ; Zhao, Huimin ; Liu, Jia |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 76.2021, p. 1-9
|
Subject: | High-dimensional covariance estimator | Idiosyncratic correlation | Idiosyncratic volatility | PCA | Volatilität | Volatility | Korrelation | Correlation | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Schätzung | Estimation | Aktienmarkt | Stock market |
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