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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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.


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


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