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Showing 1 to 1 of 1 for “"Forecasted idiosyncratic volatility"”.
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Essays on Liquidity Risk and Asset Pricing
… the second essay, I explore the relation between idiosyncratic volatility and the cross-section of expected returns. I use an EGARCH model to estimate the forecasted idiosyncratic volatility (FIVOL) and find that this estimate is not affected by the microstructure biases embodied by bid-ask …