Using Return Dispersion to Forecast Alpha Dispersion-Evidence from Taiwan Stock Market
碩士 === 國立臺灣大學 === 國際企業學研究所 === 98 === The relationship between volatility and alpha is one of the most important issues for investors. Main types of volatility model include the historical volatility, implied volatility, ARCH family of models, and cross-sectional volatility(dispersion). This paper...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/64070472411315234698 |