Open AccessA Empirical Study on the Relationship Between Idiosyncratic Volatility and the Excess Returns of the Portfolio Using Markov Switching Model
Author(s) -
윤병조
Publication year - 2016
Publication title -
korean journal of financial engineering
Language(s) - English
Resource type - Journals
eISSN - 2713-7252
pISSN - 1738-124X
DOI - 10.35527/kfedoi.2016.15.1.004
Subject(s) - volatility (finance) , econometrics , markov chain , portfolio , economics , financial economics , stochastic volatility , mathematics , statistics
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