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Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility.
Stanislav Bozhkov
Habin Lee
Uthayasankar Sivarajah
Stella Despoudi
Monomita Nandy
Published in:
Ann. Oper. Res. (2020)
Keyphrases
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stock returns
cross section
cross sectional
panel data
cross sections
chinese stock market
stock market
stock price
developed countries
decision making
data mining
financial markets
risk management
wavelet transform
high resolution
multiscale
three dimensional