✦ LIBER ✦

Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market

✍ Scribed by Sang Hoon Kang; Chongcheul Cheong; Seong-Min Yoon

Publisher: Elsevier Science
Year: 2010
Tongue: English
Weight: 518 KB
Volume: 389
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2010.06.040

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Long memory properties in return and vol

Long memory properties in return and volatility: Evidence from the Korean stock market

✍ Sang Hoon Kang; Seong-Min Yoon 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 272 KB

The properties and mechanism of long-ter

The properties and mechanism of long-term memory in nonparametric volatility

✍ Handong Li; Shi-Nan Cao; Yan Wang 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 412 KB

The information content in implied idios

The information content in implied idiosyncratic volatility and the cross-section of stock returns: Evidence from the option markets

✍ Dean Diavatopoulos; James S. Doran; David R. Peterson 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 266 KB 👁 2 views

## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and