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Correlated idiosyncratic volatility shocks

Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54

Persistent link: https://www.econbiz.de/10012630868

Correlated Idiosyncratic Volatility Shocks

Qiao, Xiao - 2019

Commonality in idiosyncratic volatility cannot be completely explained by time-varying volatility. We decompose the common factor in idiosyncratic volatility (CIV) of Herskovic et al. (2016) into two components: idiosyncratic volatility innovations (VIN) and time-varyingidiosyncratic volatility...

Persistent link: https://www.econbiz.de/10012902994

An introduction to analysis of financial data with R

Tsay, Ruey S. - 2013

Persistent link: https://www.econbiz.de/10009678179

Nonlinearity in high-frequency financial data and hierarchical models

McCulloch, Robert E. (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 5 (2001) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10001769738

Long-range dependence in daily stock volatilities

Ray, Bonnie K.; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 254-262

Persistent link: https://www.econbiz.de/10001469693

Residual income, value-relevant information and equity valuation : a simultaneous equations approach

Tsay, Ruey S.; Lin, Yi-mien; Wang, Hsiao-wen - In: Review of quantitative finance and accounting 31 (2008) 4, pp. 331-358

Persistent link: https://www.econbiz.de/10003799575

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