AnalyticBridge
A Data Science Central Community
Share 'Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets'
Matteo Barigozzi, SBS‐EM, ECARES, Université Libre de Bruxelles Christian T. Brownlees, New York University Giampiero M. Gallo, University of Florence David Veredas, SBS‐EM, ECARES, Université Libre de Bruxelles Abstract When observed over a large panel, measures of risk (such as realized volatilities) usually exhibit a secular trend around which individual risks cluster. In this article we propo…
You can share this blog post in two ways…
© 2021 TechTarget, Inc.
Powered by
Badges | Report an Issue | Privacy Policy | Terms of Service
