Gherben van der Holst

Duyfken Trading Knowledge

Amsterdam

Netherlands

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

A Holistic Approach to the Predictive Power of Expected Volatility

Journal of Financial Research, Vol. 38, No. 4, 2015
Number of pages: 54 Posted: 06 Feb 2012 Last Revised: 01 Feb 2016
Gherben van der Holst and Remco C. J. Zwinkels
Duyfken Trading Knowledge and Vrije Universiteit Amsterdam
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Abstract:

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Cross-sectional returns, idiosyncratic volatility, GARCH, implied volatility