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Idiosyncratic volatility in the Australian equity market

Zhong, Angel - In: Pacific-Basin finance journal 50 (2018), pp. 105-125

Persistent link: https://www.econbiz.de/10012033763

Economic uncertainty : a key factor to understanding idiosyncratic volatility puzzle

Li, Yong; Mu, Yuandong; Qin, Tianyu - In: Finance research letters 42 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10014581390

The pricing of idiosyncratic volatility : an Australian study

Liu, Bin; Di Iorio, Amalia - In: Australian journal of management 41 (2016) 2, pp. 353-375

Persistent link: https://www.econbiz.de/10011577340

Time-varying variance scaling : application of the fractionally integrated ARMA model

Chen, An-sing; Chang, Hung-Chou; Cheng, Lee-Young - In: The North American journal of economics and finance : a … 47 (2019), pp. 1-12

Persistent link: https://www.econbiz.de/10012117796

Rational speculators, contrarians, and excess volatility

Lof, Matthijs - In: Management science : journal of the Institute for … 61 (2015) 8, pp. 1889-1901

Persistent link: https://www.econbiz.de/10011338806

Jump-diffusion long-run risks models, variance risk premium and volatility dynamics

Jin, Jianjian - 2013

This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...

Persistent link: https://www.econbiz.de/10009734341