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Keywords: Graphical diagnostic
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2021) 10 (3): 419–427.
Published: 02 August 2021
... Licensed re-use rights only Idiosyncratic volatility Factor models Graphical diagnostic G11 G12 G14 In an influential paper, Ang et al. (2006) show that idiosyncratic volatility (IVOL) estimated using daily data is negatively correlated with expected returns in the cross...
Includes: Supplementary data
