Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Author "Tewou, Kokouvi"

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  • Cross-sectional dependence in idiosyncratic volatility 

    Kalnina, Ilze; Tewou, Kokouvi (Université de Montréal. Département de sciences économiques., 2015-07)
    This paper introduces a framework for analysis of cross-sectional dependence in the idiosyncratic volatilities of assets using high frequency data. We first consider the estimation of standard measures of dependence in the idiosyncratic volatilities ...