Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev
function of realized U.S. stock variance,
2
,US t
σ , and realized variance of the country-specific risk,
2
,,ict
σ :
(6 …)
2222
,,,it i i USt ict
abσ σσ≈+ + ,
where
2
,,ict
σ is realized variance of the country-specific risk
,it
ζ . Equation …-specific risk
,it
ζ and its variance (
2
,,ict
σ ) should be uncorrelated with future stock
returns. In that case, equation (5 …