Dynamics of Idiosyncratic Volatility and Market Volatility: An Emerging Market Perspective-Reference-Cited by-同舟云学术

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Dynamics of Idiosyncratic Volatility and Market Volatility: An Emerging Market Perspective

Published:2015-01-02 Issue:1 Volume:44 Page:74-100
ISSN:1226-508X
Container-title:Global Economic Review
language:en
Short-container-title:Global Economic Review

Author:

Tan Pei Pei,Galagedera Don U.A.

Publisher

Informa UK Limited

Subject

Political Science and International Relations,General Economics, Econometrics and Finance,Business and International Management

Link

http://www.tandfonline.com/doi/pdf/10.1080/1226508X.2015.956404

Reference51 articles.

1. Ahlbom, I. (2005)Volatility Decomposition: Empirical Patterns of the Idiosyncratic Risk on the Swedish Stock Market, Master Thesis, (Sweden: Lunds universitet/Department of Economics).

2. High idiosyncratic volatility and low returns: International and further U.S. evidence

3. World market risk, country-specific risk and expected returns in international stock markets

4. A model-independent measure of aggregate idiosyncratic risk

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1. Asymmetrical Volatility and Spillover Effects;Econophysics and Capital Asset Pricing;2017

2. Asymmetric Volatility and Volatility Spillovers;Postmodern Portfolio Theory;2016

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