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The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence from world stock indices and the Taiwan Stock Exchange

✍ Scribed by Peter A Ammermann; Douglas M Patterson


Book ID
117627894
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
386 KB
Volume
11
Category
Article
ISSN
0927-538X

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✍ Dean Diavatopoulos; James S. Doran; David R. Peterson πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 266 KB πŸ‘ 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