Friday, August 19, 2011, 10:30-12:15 pm; Financial Econometrics
Volatility - C6

Session Chair: Roméo Tedongap, Stockholm School of Economics

  • Idiosyncratic Risk and the Cross-Section of Stock Returns PDF
    René Garcia, Daniel Mantilla-Garcia, Lionel Martellini
    EDHEC Business School, France
    • Discussant: Claudia Moise, Case Western Reserve University
  • Bond Variance Risk Premia PDF
    Philippe Mueller, Andrea Vedolin, Yu-min Yen
    London School of Economics
    • Discussant: Grigory Vilkov, Goethe University Frankfurt
  • On the Effects of Private Information on Volatility PDF
    Anne Opschoor1, Nick Taylor2, Michel Van der Wel1, Dick Van Dijk1
    Erasmus University1; Cardiff Business School2
    • Discussant: Christian Wagner, Vienna University of Economics and Business