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Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections
(2018-08-08)
The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed ...
CBOE
Cboe Global Markets, Inc. (Cboe) is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors
OptionMetrics
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CRSP
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Tick History is a historical market data service, offering global intra-day Time and Sales, Quotes, and Market Depth content dating back to January 1996 for an extensive range of equities, indices, foreign exchange, money, ...
Kibot
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CCM
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BEDOFIH
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