The idiosyncratic volatility puzzle
Cortellesi, Eduardo (A.A. 2018/2019) The idiosyncratic volatility puzzle. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 75. [Master's Degree Thesis]
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Abstract/Index
Literature review. How a topic became a puzzle. The asset pricing framework. The volatility. The idiosyncratic volatility. Trading strategy. Trading strategy's results. Practical applications of idiosycratic volatility puzzle. Fourier and wavelet methods for time series in finance. Heterogeneity of investors’ investment horizons hypothesis and wavelet transform. Limitations and recommendations for future research.
References
Bibliografia: pp. 50-52.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Outstanding Thesis: | Department of Economics and Finance |
| Chair: | Empirical finance |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Grassi, Stefano |
| Academic Year: | 2018/2019 |
| Session: | Autumn |
| Additional Information: | La tesi è vincitrice del Premio "Tesi d'Eccellenza" 2018/2019 ed è stata pubblicata online dalla LUISS University Press nella collana Working Paper. |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 02 Apr 2020 12:53 |
| Last Modified: | 24 Aug 2020 09:01 |
| URI: | https://tesi.luiss.it/id/eprint/26235 |
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