Hueng, C. James; Yau, Ruey - In: International Review of Economics & Finance 25 (2013) C, pp. 326-337
Studies have claimed that the “idiosyncratic volatility puzzle” in the firm-level data can be explained by certain time-series properties of the firm-specific shocks. The absence of this puzzle in the country-level index data implies that the time-series properties of the country-specific...