Michal Svaton

University of Zurich - Department of Banking and Finance

Schönberggasse 1

Zürich, 8001

Switzerland

  • University of Zurich - Department of Banking and Finance

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Trend and Reversal of Idiosyncratic Volatility Revisited

Critical Finance Review
Number of pages: 57 Posted: 14 Feb 2019 Last Revised: 03 Nov 2020
Markus Leippold and Michal Svaton
University of Zurich and University of Zurich - Department of Banking and Finance
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Abstract:

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Idiosyncratic Volatility, Measurement Error, Bid-Ask Bounce, Asynchronicity