An empirical analysis of aggregate risk: isidiosyncratic volatility still increasing?
Iannini, Alice (A.A. 2019/2020) An empirical analysis of aggregate risk: isidiosyncratic volatility still increasing? Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 74. [Master's Degree Thesis]
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Abstract/Index
Data description and empirical approach. Data. Empirical approach. Results. Replication & extension. Trend reversal and structural break investigation. Robustness check-daily data. Small vs. big firms. Structural break test. Aggregate volatility decomposition.
References
Bibliografia: p. 71.
| 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) |
| Chair: | Empirical finance |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Porchia, Paolo |
| Academic Year: | 2019/2020 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 19 May 2021 07:51 |
| Last Modified: | 19 May 2021 07:51 |
| URI: | https://tesi.luiss.it/id/eprint/29507 |
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