Expected cross-sectional stock return idiosyncratic volatility and stock delistings
S Khovansky, O Zhylyevskyy - Journal of Economic Studies, 2024 - emerald.com
Purpose We estimate expected cross-sectional idiosyncratic stock return volatility (expected
IVOL), explore its dynamics and attempt to link it to the characteristics related to the real …
IVOL), explore its dynamics and attempt to link it to the characteristics related to the real …
Central limit theorems for conditionally strong mixing and conditionally strictly stationary sequences of random variables
DM Yuan, XL Zeng - Journal of the Korean Mathematical Society, 2024 - koreascience.kr
From the ordinary notion of upper-tail quantitle function, a new concept called conditionally
upper-tail quantitle function given a σ-algebra is proposed. Some basic properties of this …
upper-tail quantitle function given a σ-algebra is proposed. Some basic properties of this …
A note on a cross-sectional GMM estimator in the presence of an observable common shock
S Khovansky, O Zhylyevskyy - Statistics, 2020 - Taylor & Francis
This paper studies property of a modified GMM estimator employed for a single cross-
section of data that are strongly dependent due to an observed stochastic common shock …
section of data that are strongly dependent due to an observed stochastic common shock …