학회소식
[2015년 제 1차] Average Correlation Component in Market Volatility
작성자 : 관리자
조회수 : 785
게시일 :
2015-12-30
We explore the possibility of a risk-based explanation of the idiosyncratic volatility (hereafter, IVOL) puzzle of Ang et al. (2006, Journal of Financial Economics 61, 259) in the Korean stock market. We find that innovations in average correlation are ne
