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Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns - MaRDI portal

Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns

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Publication:5133527

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DOI10.1108/S0731-905320140000033020zbMath1452.91301MaRDI QIDQ5133527

Zhijie Xiao, Chi Wan

Publication date: 10 November 2020

Published in: Essays in Honor of Peter C. B. Phillips (Search for Journal in Brave)

zbMATH Keywords

quantile regression robust estimation conditional skewness idiosyncratic volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Financial markets (91G15)

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