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Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Sáez, Marc - In: Applied financial economics 7 (1997) 4, pp. 379-394

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Spanning tests for options using principal components methods

Hansen, Charlotte S.; Tuypens, Bjorn E. - In: Applied financial economics 17 (2007) 7/9, pp. 739-746

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The Black-Litterman model : the definition of views based on volatility forecasts

Duqi, Andi; Franci, Leonardo; Torluccio, Giuseppe - In: Applied financial economics 24 (2014) 19/21, pp. 1285-1296

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Idiosyncratic volatility and stock returns : a cross country analysis

Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281

Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the … Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully …) estimated conditional idiosyncratic volatility of individual stocks across 36 countries from 1973 to 2007, we find that …

Persistent link: https://www.econbiz.de/10003886161