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The pricing of idiosyncratic risk: evidence from the implied volatility distribution

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  • Stephan Süss

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  • Stephan Süss, 2012. "The pricing of idiosyncratic risk: evidence from the implied volatility distribution," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 247-267, June.
    • Handle: RePEc:kap:fmktpm:v:26:y:2012:i:2:p:247-267
    DOI: 10.1007/s11408-012-0183-4
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    More about this item

    Keywords

    Idiosyncratic risk; Implied volatility; Implied skewness; Principal portfolios; Random matrix theory; G12;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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