Idiosyncratic Risk and Higher-Order Cumulants
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References listed on IDEAS
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More about this item
Keywordsdiosyncratic risk; idiosyncratic volatility; risk premia; cumulants; NIG distribution;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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