Estimation of the idiosyncratic and systemic volatilities of asset returns using factor stochastic volatility model
ABSTRACT Volatilities are fluctuations of asset prices over time that signifies risks in the market. Accurately estimating volatilities help portfolio managers mitigate market risks especially for highly volatile assets such as shares of publicly traded stocks. Covariation among the stocks is com...
| المؤلف الرئيسي: | |
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| التنسيق: | كتاب |
| اللغة: | English |
| منشور في: |
Quezon City
University of the Philippines
c2023
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| الموضوعات: |