What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce-Reference-Cited by-同舟云学术

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What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Lesmond David A.,Pan Xuhui (Nick),Zhao Yihua

Publisher

Elsevier BV

Reference47 articles.

1. Illiquidity and stock returns: Cross-section and timeseries effects;Y Amihud;Journal of Financial Markets,2002

2. Testing for and estimation of multiple structural changes;J Bai;Journal of Applied Econometrics,1998

3. Idiosyncratic volatility and the cross-section of expected returns;T Bali;Journal of Financial and Quantitative Analysis,2008

4. Microstructure noise, realized variance, and optimal sampling;F M Bandi;Journal of Financial Economics,2006

5. Why Does Idiosyncratic Risk Increase with Market Risk?

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