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Housing market volatility in the OECD area: Evidence from VAR based return decompositions

โœ Scribed by Engsted, Tom; Pedersen, Thomas Q.


Book ID
127338312
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
421 KB
Volume
42
Category
Article
ISSN
0164-0704

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โœ Dean Diavatopoulos; James S. Doran; David R. Peterson ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 266 KB ๐Ÿ‘ 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