Is idiosyncratic volatility related to returns?evidence from a subset of firms with quality idiosyncratic volatility estimates
Year of publication: |
2021
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Authors: | Bergbrant, Mikael ; Kassa, Haimanot |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 127.2021, p. 1-20
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Subject: | Idiosyncratic volatility | Priced risk factors | GARCH | EGARCH | Conditional expected volatility | Conditional error variance | Volatilität | Volatility | ARCH-Modell | ARCH model | Risiko | Risk | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Schätzung | Estimation | CAPM | Portfolio-Management | Portfolio selection |
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