Sökning: "Pavel Hlousek"

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  1. 1. Quantitative Assessment of Volatility Pricing Factors

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Pavel Hlousek; [2020]
    Nyckelord :Idiosyncratic risk; Stock volatility; Factor models;

    Sammanfattning : In this thesis, I perform a quantitative assessment of three volatility pricing factors; market variance (MV), average stock variance (AV), and common idiosyncratic volatility (CIV). I show that the three volatility pricing factors coexist, although the factors exhibit similar time-variation and their innovations are correlated. LÄS MER