Global investigation on the country-level idiosyncratic volatility and its determinants Article

Caglayan, Mustafa Onur, Xue, Wenjun, Zhang, Liwen. (2020). Global investigation on the country-level idiosyncratic volatility and its determinants . JOURNAL OF EMPIRICAL FINANCE, 55 143-160. 10.1016/j.jempfin.2019.11.006

International Collaboration

cited authors

  • Caglayan, Mustafa Onur; Xue, Wenjun; Zhang, Liwen

sustainable development goals

authors

publication date

  • January 1, 2020

published in

keywords

  • BUSINESS CYCLES
  • Business & Economics
  • Business, Finance
  • CAPITAL-MARKET EQUILIBRIUM
  • CONDITIONAL QUANTILE ESTIMATION
  • Country Risk
  • Economics
  • INFORMATION
  • Idiosyncratic volatility
  • POLICY
  • Quantile GARCH model
  • RETURNS
  • RISK
  • STOCK VOLATILITY
  • Social Sciences
  • TRADING VOLUME
  • UNCERTAINTY

Digital Object Identifier (DOI)

publisher

  • ELSEVIER

start page

  • 143

end page

  • 160

volume

  • 55